Historically, banks have always had a central role in the economy. Their decisions do not only affect their shareholders and customers but the whole economic system. As a consequence, the financial crisis of 2007-2008 has shown that bank management is a huge matter and that the failure of one bank can affect tremendously the whole banking system and the economy. For these reasons, banks need to be regulated by external organisations that constrain them to adjust their regulatory capital via their risk weighted assets. This paper examines the significant factors of the spread between the scenarios on Common Equity Tier 1 (CET1) of the 2016 stress test for EU banks. CET1 is a component of capital adequacy ratio and measures the connections between capital euntens’ris-weighted assets. On a methodological standpoint, this research is based on a positivist approach this meaning that a quantitative analysis has been performed. The sample used in this research is composed of 51 banks from 15 countries across EU and European Economic Area. All of these banks have been analysed by the European Banking Authority (EBA) which has conducted stress test in order to assess CET1 as regards to Basel III framework. The researchers have elaborated a conceptual model in order to select the most relevant variables that might affect the spread of CET1. The hypotheses are based on previous researches and take into account the following independent variables: Size, Stock Exchange Listed, Leverage ratio, Loans on Assets, Net Interest Margin, Risk-Weighted Assets to Total Assets and Profitability. Simple linear regression and multiple linear regressions have been performed to test the impact of all the independent variables on the spread of CET1. The statistical analyses have revealed that there are no significant relationships between the selected variables, except for size that has a significant negative impact on the spread as part of the multiple regression. Therefore, none of the hypotheses can be supported. These results provide new insights in the banking sector and to a larger extent for finance. They may be considered as a basis for future research on the spread of CET1.

Doctor of Philosophy / Department of Electrical and Computer Engineering / Caterina Scoglio / Vector-borne diseases not only cause devastating economic losses, they also significantly impact human health in terms of morbidity and mortality. From an economical and humane point of view, mitigation and control of vector-borne diseases are essential. Studying dynamics of vector-borne disease transmission is a challenging task because vector-borne diseases show complex dynamics impacted by a wide range of ecological factors. Understanding these factors is important for the development of mitigation and control strategies. Mathematical models have been commonly used to translate assumptions concerning biological (medical, demographical, behavioral, immunological) aspects into mathematics, linking biological processes of transmission and dynamics of infection at population level. Mathematical analysis translates results back into biology. Classical deterministic epidemic models do not consider spatial variation, assuming space is homogeneous. Spatial spread of vector-borne diseases observed many times highlights the necessity of incorporating spatial dynamics into mathematical models. Heterogeneous demography, geography, and ecology in various regions may result in different epidemiological characteristics. Network approach is commonly used to study spatial evolution of communicable diseases transmitted among connected populations. In this dissertation, the spread of vector-borne diseases in time and space, is studied to understand factors that contribute to disease evolution. Network-based models have been developed to capture different features of disease transmission in various environments. Network nodes represent geographical locations, and the weights represent the level of contact between regional pairings. Two competent vector populations, Aedes mosquitoes and Culex mosquitoes, and two host populations, cattle and humans were considered. The deterministic model was applied to the 2010 Rift Valley fever outbreak in three provinces of South Africa. Trends and timing of the outbreak in animals and humans were reproduced. The deterministic model with stochastic parameters was applied to hypothetical Rift Valley fever outbreak on a large network in Texas, the United States. The role of starting location and size of initial infection in Rift Valley fever virus spread were studied under various scenarios on a large-scale network. The reproduction number, defined as the number of secondary infections produced by one infected individual in a completely susceptible population, is typically considered an epidemic threshold of determining whether a disease can persist in a population. Extinction thresholds for corresponding Continuous-time Markov chain model is used to predict whether a disease can perish in a stochastic setting. The network level reproduction number for diseases vertically and horizontally transmitted among multiple species on heterogeneous networks was derived to predict whether a disease can invade the whole system in a deterministic setting. The complexity of computing the reproduction number is reduced because the expression of the reproduction number is the spectral radius of a matrix whose size is smaller than the original next generation matrix. The expression of the reproduction number may have a wide range of applications to many vector-borne diseases. Reproduction numbers can vary from below one to above one or from above one to below one by changing movement rates in different scenarios. The observations provide guidelines on executing movement bans in case of an epidemic. To compute the extinction threshold, corresponding Markov chain process is approximated near disease free equilibrium. The extinction threshold for Continuous-time Markov chain model was analytically connected to the reproduction number under some assumptions. Numerical simulation results agree with analytical results without assumptions, proposing a mathematical problem of proving the existence of the relationships in general. The distance of the extinction threshold were shown to be closer to one than the reproduction number. Consistent trends of probability of extinction varying with disease parameters observed through numerical simulations provide novel insights into disease mitigation, control, and elimination.

The concept of using spread spectrum and open radio standards to provide license-free, short range Peer-to-Peer (P2P) communication is explored. This research makes use of the Time Compression Overlap Add (TC-OLA) algorithm to transparently spread the spectrum of the Digital Mobile Radio (DMR) standard; this allows for reuse of existing hardware, software, and expertise relating to this well established protocol. Initial high level hardware designs of a communication device established the need to implement a proof of concept system which could be validated against Radio Frequency (RF) regulations. This proof of concept system was constructed using a hardware implementation of DMR processed through custom TC-OLA blocks in GNU Radio (GR). A spectral and performance analysis of this system was performed, showing that this approach has several benefits over existing license free communication options. / Graduate / 2020-07-11

ABSTRACT The multi-disciplinary accelerator based facilities at iThemba LABS are used intensively for nuclear physics experiments, radiotherapy and the production of radioisotopes. To increase the beam intensity for radioisotope production and to improve the beam quality of the 66 MeV proton beam, a double-gap horizontal half-wave flat-topping resonator has been developed for the separated-sector cyclotron to operate at the associated fixed frequency. This type of flattopping resonator has never before been implemented in a cyclotron and this study is the first to show that it can be done, featuring a special characteristic not offered by other types. The resonator is reviewed against the other types of resonators that are already in use at other institutes around the world. The flat-topping voltage of the selected type has a sinusoidal half-wave distribution along a radial line in each of its acceleration gaps with the nodal points located on the injection and extraction orbits. The flat-topping voltage therefore progressively increases from zero at both of the two most critical orbits in a cyclotron to a maximum at about halfway between them. As a result will this resonator, apart from its basic function to reduce the energy spread in the beam, not decrease the orbit separation at the injection and extraction orbits in the cyclotron, as is the case with other types of flat-topping resonators. This advantageous feature implies that the beam pattern in the cyclotron is not affected in the regions of the delicate injection and extraction components and therefore will these components or the operational control of the beam not require any modification to accommodate the resonator. In order to design a resonator that will meet our requirements, the theory of the beam dynamics and resonator characteristics were studied to ascertain the expected improvement in beam quality and beam intensity when a flat-topping resonator is implemented with the cyclotron. All resonator types were considered and studied in terms of their power dissipation, voltage distribution, harmonic number, space requirements and influence on the beam. The horizontal half-wave resonator type, with two acceleration gaps, was selected as the most suitable for our application, because of its preferred electromagnetic characteristics and its geometric shape that permits the installation inside an existing vacuum chamber through an existing flange. Initially a half-scale resonator model was build to test the feasibility of such a resonator and also to verify the calculation methods. Transmission line methods and numerical field analysis in 3D were applied to determine the resonator characteristics. In the former method a computer program, POISSON, was used to calculate curvilinear squares on sections through a triangular-shaped transmission line and in the latter method a commercial computer program, SOPRANO, was used. SOPRANO is part of an internationally acclaimed suite of programs and the acquired knowledge and skill to use this state-of-the-art software for the studying and designing of such and other electromagnetic devices also put the institute amongst the front-runners in the world. The calculated characteristics of the half- and full-scale resonator models, the study of the different electromagnetic modes that resonate in close proximity to the required frequency, the heat transport modelling and the theory and implementation of the coupling and tuning devices are all in good agreement with their respective measured results and are reported in this document. This study lead the way to have the first-ever double-gap horizontal half-wave flat-topping resonator in a cyclotron successfully commissioned at iThemba LABS and the first tests with beam report very stable operation. Accelerator physicists now have another option to utilize for the establishing of flat-topped acceleration voltages.

A atividade bancária envolve em suas operações diversas formas de riscos. Dentre esses riscos está o risco de crédito representado como sendo uma medida de incerteza relacionada ao recebimento de um valor compromissado concedido pela instituição financeira ao tomador de empréstimo. Nesse trabalho são apresentadas as principais metodologias de quantificação do risco de crédito como Credit Metrics, KMV, Credit Portfolio View e CreditRisk+. Esta última metodologia é aplicada a quatro portfólios de financiamentos à pessoa jurídica, evidenciando o Capital Econômico Alocado - CEA, a distribuição do risco de crédito em diferentes ramos e setores de atividade da economia e o spread necessário para cobrir as perdas esperadas e inesperadas. Após essa quantificação do risco de crédito, verifica-se, utilizando o conceito de Risk Adjusted Returno on Capital - RAROC, qual dos quatro portfólios de empréstimo bancário foi o mais rentável para a instituição financeira. / Banking operations involve several kinds of risk. Among those risks, there is one called the credit risk associated with a measure of uncertainty related to receiving pré-committed values from the financial institutions credit-takers. In this research, the main methodologies used for the quantification of credit risk are discussed: Credit Metrics, KMV, Credit Portfolio View e CreditRisk+. The later is then applied to four company-targeted lending portfolios, thus showing Allocated Economic Capital AEC, the distribution of credit risk in different sectors and industries in the economy, and the necessary spread for covering expected and unexpected losses. After this effort to quantify credit risk, proceed to check, using the concept of Risk Adjusted Return on Capital RAROC, which of the four lending portfolios proved to be more profitable for the financial institution.

O presente trabalho visa a analisar aspectos específicos da microeconomia bancária no que se refere à relação entre banco e consumidor. Três diferentes abordagens são adotadas. No primeiro capítulo a abordagem é teórica. Um modelo de equilíbrio geral com incerteza é desenvolvido, com o objetivo de analisar a relação depositante banco e as características do equilíbrio dos contratos de depósito bancários. Questões como eficiência e concentração são analisadas, tanto em um contexto estático quanto na relação de longo prazo entre bancos e depositante. Os resultados sugerem contratos de equilíbrio com características contingentes ao espaço de contratos factíveis e uma relação entre esforço eficiente do banco e não comprometimento pleno do depositante na relação de longo prazo. A segunda parte do trabalho se concentra em analisar empiricamente a relação entre banco e tomador de recursos e tem como objetivo contribuir com avanços metodológicos para a decomposição do spread bancário no Brasil. Para tanto, estima-se uma função custo multiproduto para o setor bancário brasileiro e calcula-se, a partir dela, os preços de Aumann-Shapley dos diversos produtos oferecidos pelos bancos. Essa aplicação da teoria de alocação de custos conjuntos à firma bancária permite que se faça a alocação dos custos administrativos de forma mais precisa, melhorando a decomposição do spread no Brasil. Além disso, novos avanços são conseguidos em termos de precisão por meio da ampliação da amostra e portanto pela correção de um grave viés de seleção presente na abordagem original do Banco Central. A terceira - e última - parte do trabalho faz uma discussão institucional dos sistemas de resolução de insolvências coorporativas e da relação destes com a decisão do banco de emprestar e portanto com o funcionamento do mercado de crédito. A motivação foi a de analisar um aspecto específico da relação banco tomador com impactos diretos sobre preço e volume de empréstimos concedidos. Neste ponto, questões relacionadas a incentivos e eficiência emergem e são analisados tendo como pano de fundo a reforma do sistema legal de insolvência brasileiro, atualmente em curso. / The present work analyzes specific aspects of microeconomics of banking, concerning the relationship between financial intermediaries and non-financial agents. Three different approaches are adopted. In the first chapter the approach is theoretical. A model of general equilibrium with uncertainty is developed, analyzing the relationship between banks and depositors and the characteristics of the equilibrium deposit contracts. Efficiency and concentration issues are analyzed, in a static context and in a long-term relationship among banks and depositors. Results suggest that deposit contracts observed in equilibrium are contingent to the space of contract possibilities and that it exists a relationship between efficient effort exerted by the bank and no full commitment by depositors in a long term relationship. Chapter 2 makes an empirical analysis of the bank-borrower relationship, contributing with methodological improvements for the decomposition of banking spreads in Brazil. A multi-product cost function for the Brazilian banking industry is estimated and used to calculate the Aumann-Shapley prices for each of the defined banking products. That application of cost allocation to the banking firm allows a better allocation of administrative costs, improving on the original decomposition made by Brazilian Central Bank. Additionally, a more accurate decomposition results from the use of a larger sample and therefore the correction of a serious selection bias present in the original approach. The third chapter concentrates on an institutional discussion about insolvency resolution. The main motivation was the analysis of a specific aspect of the bank-borrower relationship and its impacts on price and volumes of loan concessions. At this point, incentives and efficiency issues emerge and are analyzed having the Brazilian legal system of insolvency reform, now in course, as a background.

Novas demandas por serviços de valor agregado têm surgido constantemente em sistemas de telefonia celular. Somente o tráfego de voz não tem sido mais suficiente para suprir as necessidades dos usuários, que hoje clamam também por serviços de dados que sejam rápidos, eficientes, baratos, com mobilidade e que atendam às mais diversas aplicações, como correio eletrônico, vídeo-conferência ou acesso à Internet. Este trabalho apresenta um método de determinação das taxas mínimas necessárias nos canais de tráfego para atender a essas aplicações. Utilizando-se da tecnologia CDMA2000, será feita uma análise do impacto na interface aérea da alocação dos canais de tráfego determinados. A mesma análise será feita nos casos em que se determinem taxas mínimas e/ou máximas alocadas para cada usuário, comparando-se também tempo necessário para a transmissão dos dados, eficiência na célula (taxa útil / taxa total transmitida), etc. As conclusões deste trabalho podem indicar estratégias para se atender aos usuários de serviços de dados em redes de telefonia móvel sob diferentes aspectos, como melhor relação custo-benefício, nichos específicos (concentrar-se em serviços que demandem maiores ou menores taxas de transmissão, por exemplo) ou até mesmo prever a quantidade de recursos de rede necessária para atender a uma determinada base de usuários. / Mobile telephony systems have been constantly asked for new demands of value added services. Voice traffic only is not enough anymore to support the new needs of mobile users because nowadays they ask for fast, cost-efficient, cheap and mobile services to support electronic mail, videoconference or Internet access. This work presents a method of how to determine minimum rates on traffic channels to support these services. Considering CDMA2000 technology, an impact analysis will be made in the air interface for these specific traffic channels. Same analysis will be made when minimum or maximum rates are reserved for each user, also comparing the time needed for data transmission, efficiency of the cell (useful rate / maximum rate) and others. The conclusions of this work may allow strategies to support data users in mobile telephony networks in such different ways, as better cost-effective solution, specific segment of the market (i.e., to concentrate in services with higher or lower transmission rates) or even to foresee the amount of resources needed in a network to support a forecasted number of users.

Uma notável tendência na área de alimentos é o desenvolvimento de produtos que agreguem sabor, praticidade, conveniência e tragam benefícios à saúde. Dentro desse cenário, encontram-se os alimentos funcionais, que têm sido alvos de pesquisas científicas para elucidar os benefícios que trazem ao homem. Os probióticos e prebióticos são os ingredientes fisiologicamente ativos que compõem o alimento e agem na manutenção do equilíbrio da microbiota do trato gastrintestinal humano. A combinação de probióticos e prebióticos resulta em um produto simbiótico. Com outro apelo de alimento funcional, pode-se citar o tomate, fruto que apresenta licopeno em sua composição, pigmento com potencial antioxidante e ação preventiva contra diversos tipos de câncer. O presente trabalho teve como objetivo desenvolver um produto tipo patê potencialmente simbiótico, à base de queijo quark, adicionado de derivados de tomate, manjericão e queijo parmesão, bem como avaliar as suas características físico-químicas, microbiológicas, de textura instrumental e sua aceitabilidade sob o ponto de vista sensorial durante o seu armazenamento a 4 ± 1 °C por até 28 dias. Foram produzidos três tratamentos do produto tipo patê (em triplicata), todos eles suplementados com inulina: T1 (controle) com a cultura starter Streptococcus thermophilus ST-M6; T2 com a cultura starter ST-M6 e a adição dos probióticos Bifidobacterium animalis subsp. lactis Bb-12 e Lactobacillus acidophilus NFCMe T3 com a cultura starterST-M6, a cultura probiótica Bb-12 e a adição de Lactobacillus sakei 2a. Os produtos foram armazenados a 4 ± 1 °C e durante os períodos de amo stragem (1, 7, 14, 21 e 28 dias), foi analisada a viabilidade dos probióticos, da cultura starter e de L. sakei 2a, a fim de avaliar a possível adaptação desta cepa bacteriocinogênica ao meio lácteo, uma vez que foi isolada de linguiça frescal. Adicionalmente, o pH e o perfil de textura instrumental do produto (teste de dupla penetração de amostras em analisador de textura TA-XT2) foram analisados e, a partir de amostras mantidas congeladas no dia seguinte à sua fabricação, foi determinada a composição centesimal das diferentes formulações. Além disso, aos 7, 14 e 21 dias, as amostras foram avaliadas sensorialmente (teste de aceitabilidade com escala hedônica estruturada de 9 pontos) por 50 provadores em cada seção. Paralelamente, foi feito um monitoramento microbiológico das amostras quanto à presença de contaminantes. O pH dos três tratamentos apresentou uma queda significativa ao longo dos 28 dias (0,16 a 0,21) e foi significativamente menor (p<0,05) para T2 (4,67 após 28 dias) em relação a T1 (4,85) e T3 (4,76). Quanto à viabilidade da cultura starter, os produtos apresentaram populações médias ao longo do armazenamento sempre acima de 8,95 log UFC/g. As culturas probióticas NCFM e Bb-12 apresentaram contagens acima do mínimo recomendado pela legislação durante o armazenamento, com populações acima de 8 log UFC/g para Bb- 12 e populações de NCFM que diminuíram significativamente (p<0,05) de 8,61 (7 dias) a 7,93 log UFC/g (28 dias) para T2. L. sakei 2a mostrou-se adaptar bem ao produto lácteo, com viabilidade que se manteve na faixa de 8,10 a 8,18 log UFC/g ao longo dos 28 dias. Quanto ao perfil de textura, T2 foi mais estável durante o armazenamento, com parâmetros mais constantes ao longo do estudo, em comparação a T1 e T3. Na análise sensorial, não foram encontradas diferenças significativas (p>0,05) entre os tratamentos durante os dias avaliados e, tampouco, entre os dias estudados para um mesmo tratamento. As amostras tiveram uma boa aceitação pelos provadores, principalmente T2, com notas médias acima de 7 (gostei regularmente), apesar de não diferirem significativamente. O produto inovador tipo patê de base láctea no sabor tomate desenvolvido mostrou-se um bom veículo para os micro-organismos probióticos B. animalis Bb-12 e L. acidophilus NCFM e para L. sakei 2a, potencialmente simbiótico e sensorialmente aceitável. / A remarkable trend in the food area is the development of products that are tasty, convenient, and able to bring healthy benefits. Within this scenario, functional foodshave been object of scientific studies to elucidate their benefits to the human being. Probiotics and prebiotics are physiologically active ingredients in food which positively influence the maintenance of the human gastrointestinal tract balance. A synbiotic product combines probiotic and prebiotics ingredients. The tomato is also remarkable, regarding some compounds with functional attributes in its composition. Lycopene is the pigment present in the fruit that has antioxidant potential and is correlated with reduced incidence of some cancer types. This study aimed to develop a potentially synbiotic quark cheese-based spread product containing tomato and with basil and parmesan cheese, as well as evaluating its physico-chemical and microbiological features, and its instrumental texture profile and sensory acceptability, during storage at 4 ± 1 °C f or up to 28 days. Three different trials of quark cheese-based spread product were produced (in triplicates), all supplemented with inulin: T1 (control) with the starter culture Streptococcus thermophilus ST-M6; T2 with the starter culture ST-M6 plus the addition of the probiotics Lactobacillus acidophilus NCFM and Bifidobacterium animalis subsp. lactis Bb-12, and T3 with the starter culture ST-M6, the probiotic culture Bb-12, and the addition of Lactobacillus sakei 2a. The products were stored at 4 ± 1 °C and, duri ng the sampling periods (1, 7, 14, 21, and 28 days), the viability of probiotics, starter culture, and L. sakei 2a was assessed. The adaptation of L. sakei 2a to the dairy matrix was also evaluated, once this bacteriocin-producing strain was isolated from a Brazilian sausage. Additionally, the pH and instrumental texture profile of the product was assessed (double penetration of samples test, using a TA-XT2 texture analyzer), and the chemical composition was determined, using samples kept frozen after the first day of production. Besides, the trials were sensory evaluated (acceptability test, using a 9-point structured hedonic scale), after 7, 14, and 21 days, by 50 consumers in each session. At the same time, samples were microbiologically monitored for the presence of contaminants. The pH of the three trials displayed a significantly decrease throughout the 28 days of storage (0.16 up to 0.21), and it was significantly lower (p<0.05) for T2 (4.67 after 28 days), compared to T1 (4.85) and T3 (4.76). Regarding the viability of the starter culture, the products showed mean populations always above 8.95 log CFU/g during storage. The probiotic cultures NCFM and Bb-12 displayed counts above the minimum recommended by the Brazilian regulatory standards throughout storage, with populations above 8 log CFU/g for Bb-12, and counts of NCFM decreased significantly (p<0.05) from 8.61 (7 days) to 7.93 log CFU/g (28 days) for T2. L. sakei 2a was able to adequately adapt to the dairy product, with populations that maintained between 8.10 and 8.18 log CFU/g during the 28 days of storage. With respect to the texture profile, T2 was considered the most stable trial during storage, as displayed preservation ofmore homogeneous parameters throughout study, compared to T1 and T3. Regarding sensory evaluation, there were neither significantly differences (p>0,05) among the trials during the studied period nor among the studied periods for the same trial. The samples had a good acceptance by consumers, with mean scores above 7 (like regularly), mainly T2, although the trials did not differ significantly. The innovative tomato dairy-based spread product developed revealed to be an adequate matrix for the probiotic microorganisms B. animalis Bb-12 and L. acidophilus NCFM, and for L. sakei 2a, potentially synbiotic, and sensory acceptable.

A fire growth calculation method has been developed that couples a computational fluid dynamics (CFD) model with bench scale cone calorimeter test data for predicting the rate of flame spread on compartment contents such as furniture. The commercial CFD code TASCflow has been applied to solve time averaged conservation equations using an algebraic multigrid solver with mass weighted skewed upstream differencing for advection. Closure models include k-epsilon for turbulence, eddy breakup for combustion following a single step irreversible reaction with Arrhenius rate constant, finite difference radiation transfer, and conjugate heat transfer. Radiation properties are determined from concentrations of soot, CO2 and H2O using the narrow band model of Grosshandler and exponential wide band curve fit model of Modak. The growth in pyrolyzing area is predicted by treating flame spread as a series of piloted ignitions based on coupled gas-fluid boundary conditions. The mass loss rate from a given surface element follows the bench scale test data for input to the combustion prediction. The fire growth model has been tested against foam-fabric mattresses and chairs burned in the furniture calorimeter. In general, agreement between model and experiment for peak heat release rate (HRR), time to peak HRR, and total energy lost is within pm 20%. Used as a proxy for the flame spread velocity, the slope of the HRR curve predicted by model agreed with experiment within pm 20% for all but one case.

"In warehouse storage applications, it is important to classify the burning behavior of commodities and rank them according to material flammability for early fire detection and suppression operations. In this study, the large-scale effects of warehouse fires are decoupled into separate processes of heat and mass transfer. As a first step, two nondimensional parameters are shown to govern the physical phenomena at the large-scale, a mass transfer number, and the soot yield of the fuel which controls the radiation observed in the large-scale. In this study, a methodology is developed to obtain a mass-transfer parameter using mass-loss (burning rate) measurements from bench-scale tests. Two fuels are considered, corrugated cardboard and polystyrene. Corrugated cardboard provides a source of flaming combustion in a warehouse and is usually the first item to ignite and sustain flame spread. Polystyrene is typically used as the most hazardous product in large-scale fire testing. A mixed fuel sample (corrugated cardboard backed by polystyrene) was also tested to assess the feasibility of ranking mixed commodities using the bench-scale test method. The nondimensional mass transfer number was then used to model upward flame propagation on 20-30 foot stacks of Class III commodity consisting of paper cups packed in corrugated cardboard boxes on rack-storage. Good agreement was observed between the model and large-scale experiments during the initial stages of fire growth."