Global ETD Search

21	METABOLIC ACIDOSIS AND THE DIVERSE ROLES OF THE Cl/HCO<sub>3</sub> EXCHANGER (AE3) IN INTRACELLULAR pH HOMEOSTASIS Salameh, Ahlam Ibrahim January 2016 (has links) No description available. Physiology Nanoscience Astrocytes Cancer Crosstalk Dendritic Cells Epilepsy Hippocampus Keratinocytes Macrophages Melanocytes Mudullary raphe Neurons pH-regulation Recovery Rate Skeletal Muscles Slc4
22	離散型動態回復率模型之建構與應用 / Discrete dynamic recovery rate modeling and its application 邵惠敏, Shao, Hui Min Unknown Date (has links) 本文主要研究動態回復率之建構。並搭配使用機率勺斗法，將資產之離散損失分配建構出合成型擔保債權憑證分劵損失分配。歸納出離散動態回復率對合成型擔保憑證分劵之風險承擔與信用價差變化。本文發現在動態回復率中，即使在相同條件下有一樣預期損失，能使其債權群組損失分配之標準差較固定回復率小，且可使投資組合巨額損失部份產生厚尾分配現象。動態回復率對各分劵面臨共同存活與違約機率具有緩和或增強分劵承擔風險之作用。在單因子高斯連繫結構靜態違約下，透過隨機回復率能增加動態系統性風險因子之描繪。類似於將系統風險因子分配由標準常態分配改成t分配或是債權群組間違約相關係提高。動態回復率合成型擔保債權憑證損失分配系統性風險 dynamic recovery rate CDO loss distribution systematic risk
23	A taxa de recuperação de créditos ruins em bancos comerciais privados brasileiros Araújo, Evaristo Donato 07 April 2004 (has links) 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. Administração contábil e financeira Inadimplência Taxa de recuperação Recovery rate Default rate Loss given default Commercial banks Administração de empresas Bancos - Finanças Inadimplência (Finanças) Crédito bancário - Administração Créditos - Avaliação de riscos Créditos - Modelos matemáticos Administração de crédito Bancos comerciais - Brasil Cobrança de contas
24	Essais sur le processus de défaillance des entreprises en Tunisie : déterminants, recouvrements et spécificités institutionnelles / Essays on Tunisian bankruptcy process : determinants, recovery and institutional specificities Letaief, Aziza 15 December 2014 (has links) Cette thèse porte sur le processus de défaillance des entreprises en Tunisie. L’objectif est d’étudier le sujet d’un point de vue, à la fois, macroéconomique, microéconomique et juridique. Le travail est précédé d’une revue de la littérature axée sur les principaux intervenants dans le processus de faillite : les débiteurs, les créanciers et la législation en matière de faillite.La première partie propose une synthèse des résultats de nombreux travaux de recherche se rapportant, d’une part, aux différentes stratégies fixées par les débiteurs et les créanciers en vue de protéger leurs propres intérêts et d’autre part, à l’efficacité des procédures collectives dans la prévention des éventuelles utilisations opportunistes de la loi. Dans un second temps, la thèse traite le sujet d’un point de vue macroéconomique en cherchant à déterminer l’effet des fluctuations macroéconomiques sur le taux de défaillance en Tunisie sur la période allant de 1997 à 2010. Des variables spécifiques au cas tunisien et exprimant au mieux l’importance des secteurs de l’industrie et du tourisme dans l’économie tunisienne ont été considérées dans le modèle en plus des variables communément utilisées dans la littérature et qui ont prouvé leur rôle relativement significatif dans l’explication des taux de défaillance.La troisième partie de la thèse se concentre sur le niveau d’efficacité des procédures collectives tunisiennes dans la résolution du problème de défaut de paiement. Son efficacité est étudiée de point de vue : i) création de valeur et ce en termes de recouvrement total des créanciers à travers la maximisation de la valeur de l’entreprise défaillante, et ii) recouvrement des créanciers sécurisés. L’intérêt particulier porté sur la classe des créanciers sécurisés (notamment les banques) est justifié par l’importance du secteur bancaire dans le financement des entreprises en Tunisie et par conséquent dans le développement de l’économie tunisienne.La dernière partie de la thèse propose une analyse approfondie de la loi de faillite tunisienne dans le cadre d’une étude comparative avec 18 autres pays européens et non européens.A travers une approche « Law and Finance », dix indices juridiques ont été construits pour « mesurer » dix fonctions de Droit de faillite. Ensuite, des analyses univariée et multivariée ont été menées pour dégager les points de similarité ou de disparité entre les différentes lois de faillite. / This thesis focuses on the Tunisian bankruptcy process. The objective is to treat the subject from a macroeconomic, microeconomic and legal point of view. The work is preceded by a literature review focused on the main actors in the bankruptcy process: debtors, creditors and bankruptcy law. The first part provides a summary of many research results relating on the one hand, to the different strategies set by debtors and creditors to protect their own interests and on the other hand to the effectiveness of the procedures in preventing any opportunistic uses of the law. In the second part, we seek to determine the effect of macroeconomic fluctuations on the failure rate of businesses in Tunisia over the period 1997-2010. The selected variables are those that have been frequently used in the literature and that showed their significant impact onto the rate of corporate failure. Other original variables, more specific to the Tunisian case were considered to account for the importance of industry and tourism sectors in the Tunisian economy. The third part of this thesis focuses on the efficiency of bankruptcy procedures in Tunisia, a country characterized by the importance of its banking sector. We gathered original and unique information on Tunisian firms that went bankrupt between 1995-2009. We find that the Tunisian reorganization procedures are able to generate substantial recoveries, but those are mainly captured by the preferential claims (employees and public claims). This is coherent with the authorities’ willingness to improve social protection, but this raises concerns as the Tunisian firms are mainly financed by bankers. Our analysis shows that the secured creditors are poorly protected under bankruptcy: they rank almost last in the priority order of repayment, and their recovery rate is similar to one of the unsecured creditors. We also find that the rather high level of recovery rate is mainly attributable to the reorganization procedures. We finally find that the court’s choice between reorganization and liquidation is not influenced by the structure of claims. Thus, in Tunisia, the creditors are losing hand once bankruptcy is triggered.To better understand the characteristics of Tunisian bankruptcy procedures, the last part of the thesis offers a comparative study of Tunisian bankruptcy law with 18 other European and non-European countries. Ten legal indexes were constructed through "Law and Finance" approach to "measure" ten functions of bankruptcy law.Univariate and multivariate analyzes were conducted to identify the similarity or disparity points between the various bankruptcy laws. Défaillance des entreprises Tunisie Loi de faillite Fluctuations macroéconomiques Développement économique, Taux de recouvrement Créanciers sécurisés Analyse économique du droit Comparaison internationale Corporate failure Tunisia Bankruptcy law Macroeconomic fluctuations Economic development Recovery rate Secured creditors "Law & finance” approach International comparison 332.7
25	考量隨機回復率與風險因子承載係數之CDO評價模型 / Pricing CDO with random recovery rate and random factor loading 李慎, Li, Shen Unknown Date (has links) 本研究以Amraoui & Hitier (2008)隨機回復率模型(BNP model)以及Andersen and Sidenius(2004)隨機風險因子承載係數模型(RFL model)為基礎，進行對分劵信用價差、債劵群組累積損失機率分配，以及對基準違約相關係數的影響等分析。我們發現當回復率改成動態後可以反映更多系統風險，權益分劵信用價差絕大多數都會下降。在累積損失機率分配方面加入BNP後變為較平滑；改用RFL則會使機率分配在小額損失處又產生一次起伏；同時考量BNP與RFL會使小額損失發生機率減少、極端損失機率增加。實作三組市場資料時，發現不管市場違約機率高或低，共同考慮BNP與RFL的模型在四個模型中是最適合擬和市價的，顯示在市價的校準上有更多彈性，特別是在承擔名目本金60~100%先償分劵的校準上只有共同考慮BNP與RFL的模型能發揮功效。回復率風險因子承載係數基準違約相關係數擔保債權憑證隨機回復率隱含違約相關係數權益分券先償分劵信用價差校準 CDO recovery rate random factor loading base correlation credit spread equity tranche senior tranche implied correlation BNP super senior tranche
26	資訊與金融市場論文兩篇 / Two essays on information and financial markets 劉文謙, Liu, Wen Chien Unknown Date (has links) 【第一篇論文中文摘要】本文檢測公司負債合約中的利差是否可被最終的違約後償還率所解釋。透過1962年至2007年間在美國金融市場上發行但最後卻違約的負債合約資料來進行實證，發現違約後償還率的確有反映在發行時的利差上，且此關聯性會隨著美國開放商業銀行進行證券承銷業務後隨之更加顯著。我們並且進一步發現此償還率的資訊能更加有效反映原因與發行公司的資訊不對稱程度降低有關。此外，我們同時又發現此負債合約中的利差與違約後償還率的關聯性對於公司治理較差、以及非投資等級的發行公司會更為顯著。最後，我們的實證結果在考量內生問題、潛在可能遺漏解釋變數、以及其他模型設定後，仍同樣具有堅實性。【第二篇論文中文摘要】本文使用臺指選擇權的日內資料來探討選擇權提前交易期間是否具有資訊內涵與價格發現的功能。就作者所知，我們是第一篇透過選擇權資料探討提前交易期間資訊內涵的研究。首先，我們分別透過價、量、與高階動差三類資訊變數指標來衡量提前交易期間的資訊內涵。實證結果顯示：選擇權提前交易期間不只能有效反映隔夜資訊 (公開資訊)，且具有預測當日現貨指數開盤後5分鐘內股價指數移動的能力 (反應私有資訊)，說明提前交易期間的確具有資訊內涵與價格發現的功能。此外，我們進一步發現價平選擇權包含最強的資訊內涵，此應與投資人尋求交易流動性最高的價平選擇權來迅速實現其利潤以反映其資訊有關。最後，本研究亦發現前一日海外市場 (美國) 投資人情緒傳染效果的強度會影響提前交易期間選擇權的資訊內涵，而前一日是否交易 (週末效果與假日效果)則不會影響此資訊內涵。 / 【第一篇論文英文摘要】 We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the U.S. from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications. 【第二篇論文英文摘要】 This study uses tick-by-tick data to examine the information content and price discovery of TAIEX option trading during the pre-opening period. To the best of our knowledge, this is the first study that focuses on the options market. We construct three groups of information variables to measure the information content of the pre-opening period, including the price, volume, and high moment information variables. We find that option trading during the pre-opening period not only can reflect the overnight information (public information) but also predict the 5-minute intraday returns after the opening of spot market (private information), showing the information content and price discovery of option trading during the pre-opening period. We also find that at-the-money options contain the strongest richness of information content, which may result from its highest liquidity. Finally, we also find that the empirical results would be stronger depending on the intensity of investor sentiment from overseas (U.S. market) of last day but not the length of hours without trading (weekend and holiday effect). 違約後償還率資訊不對稱銀行管制公司治理信用評等格拉斯-史蒂格法金融服務現代法選擇權交易選擇權資訊內涵提前交易期間臺指選擇權 Recovery rate Information asymmetry Bank regulation Corporate governance Credit rating Glass-Steagall Act Financial Services Modernization Act Option trading Option information content Pre-opening trading TAIEX option
27	Metapopulation dynamics of dengue epidemics in French Polynesia / Dynamique métapopulationelle des épidémies de dengue en Polynésie française Teissier, Yoann 22 May 2017 (has links) La dengue circule en Polynésie française sur un mode épidémique depuis plus de 35 ans. Néanmoins, en dépit de la taille relativement faible de la population de Polynésie française, la circulation de la dengue peut persister à de faibles niveaux pendant de nombreuses années. L’objectif de ce travail de thèse est de déterminer si l'épidémiologie de la dengue dans le système insulaire de la Polynésie française répond aux critères d’un contexte de métapopulation. Après avoir constitué une base de données regroupant les cas de dengue répertoriés sur les 35 dernières années, nous avons réalisé des analyses épidémiologiques descriptives et statistiques. Celles-ci ont révélé des disparités spatio-temporelles distinctes pour l’incidence de la dengue des archipels et des îles, mais la structure de l'épidémie globale à l’échelle de la Polynésie française pour un même sérotype ne semble pas être affectée. Les analyses de la métapopulation ont révélé l'incidence asynchrone de la dengue dans un grand nombre d’îles. Celle-ci s’observe plus particulièrement par la différence de dynamique de l’incidence entre les îles plus peuplées et celles ayant une population plus faible. La taille critique de la communauté nécessaire à la persistance de la dengue n’est même pas atteinte par la plus grande île de Polynésie Française, Tahiti. Ce résultat suggère que la dengue peut uniquement persister grâce à sa propagation d’île en île. L'incorporation de la connectivité des îles à travers des modèles de migration humaine dans un modèle mathématique a produit une dynamique de la dengue davantage en adéquation avec les données observées, que les tentatives de modélisation traitant la population dans son ensemble. Le modèle de la métapopulation a été capable de simuler la même dynamique que les cas de dengue observés pour l'épidémie et la transmission endémique qui a suivi pour la période de 2001 à 2008. Des analyses complémentaires sur la différenciation de l'incidence de la maladie et de l'infection seront probablement instructives pour affiner le modèle de métapopulation de l'épidémiologie de la dengue en Polynésie française. / Dengue has been epidemic in French Polynesia for the past 35 years. Despite the relatively small population size in French Polynesia, dengue does not disappear and can persist at low levels for many years. In light of the large number of islands comprising French Polynesia, this thesis addresses the extent to which a metapopulation context may be the most appropriate to describe the epidemiology and persistence of dengue in this case. After compiling a database of dengue cases over the last 35 years, we used a number of descriptive and statistical epidemiological analyses that revealed distinct spatio-temporal disparity in dengue incidence for archipelago and islands. But the global structure of the epidemics of the same serotype were not affected. Metapopulation analyses revealed asynchronous dengue incidence among many of the islands and most notably larger islands lagged behind the smaller islands. The critical community size, which determines dengue persistence, was found to exceed even the largest island of Tahiti, suggesting that dengue can only exist by island-hopping. Incorporation of island connectedness through patterns of human migration into a mathematical model enabled a much better fit to the observed data than treating the population as a whole. The metapopulation model was able to capture to some extent the epidemic and low level transmission dynamics observed for the period of 2001-2008. Further analyses on differentiating incidence of disease and infection will likely prove informative for the metapopulation model of dengue epidemiology in French Polynesia. Dengue Épidémies Métapopulation Polynésie française Modélisation SEIR Transmission endémique Persistance Infection Migration Population Circulation insulaire Population critique Connections insulaires Modèle Logiciel R Études statistiques Identification des facteurs de risques Densité de la population Vecteur Aedes aegypti Géographie insulaire Milieu tropical Distance de vol du vecteur Immunité de la population Densité vectorielle Taux de récupération de l’hôte Mortalité du vecteur Cycle de transmission des virus Arbovirus Dynamique de la dengue Simulations Dynamique épidémique Dengue Epidemics Metapopulation French Polynesia Modeling SEIR Endemic transmission Persistence Infection Migration Population Insular circulation Critical population Insular connections Model Ordinary differential equation (ODE) R software Statistical study Risk factor identification Population density Vector Aedes aegypti Insular geography Tropical environment Vector flight distance Population immunity Vector density Host recovery rate Vector mortality Virus transmission cycle Arbovirus Dengue dynamic Simulations Epidemic dynamics 614.4

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