In this thesis, the structural model in credit risk and the credit derivatives is studied under both Black-Scholes setting and Variance Gamma (VG) setting. Using a Variance Gamma process, the distribution of the firm value process becomes asymmetric and leptokurtic. Also, the jump structure of VG processes allows random default times of the reference entities. Among structural models, the most emphasis is made on the Black-Cox model by building a relation between the survival probabilities of the Black-Cox model and the value of a binary down and out barrier option. The survival probabilities under VG setting are calculated via a Partial Integro Differential Equation (PIDE). Some applications of binary down and out barrier options, default probabilities and Credit Default Swap par spreads are also illustrated in this study.

Over the past two decades there has been an upsurge in interest in structural equation modelling (SEM). Applications abound in the social sciences and econometrics, but the use of this multivariate technique is not so common in public health research. This dissertation discusses the methodology, the criticisms and practical problems of SEM. We examine actual applications of SEM in public health research. Comparisons are made between multiple regression and SEM and between factor analysis and SEM. A complex model investigating the utilization of antenatal care services (ANC) by migrant women in Belgium is analysed using SEM. The dissertation concludes with a discussion of the results found and on the use of SEM in public health research. Structural equation modelling is recommended as a tool for public health researchers with a warning against using the technique too casually. / Mathematical Sciences / M. Sc. (Statistics)

Made available in DSpace on 2016-06-02T20:06:10Z (GMT). No. of bitstreams: 1 6069.pdf: 3171774 bytes, checksum: a737da63d3ddeb0d44dfc38839337d42 (MD5) Previous issue date: 2014-03-10 / Financiadora de Estudos e Projetos / The usual regression model fits data under the assumption that the explanatory variable is measured without error. However, in many situations the explanatory variable is observed with measurement errors. In these cases, measurement error models are recommended. We study a structural measurement error model for replicated observations. Estimation of parameters of the proposed models was obtained by the maximum likelihood and maximum pseudolikelihood methods. The behavior of the estimators was assessed in a simulation study with different numbers of replicates. Moreover, we proposed the likelihood ratio test, Wald test, score test, gradient test, Neyman's C test and pseudolikelihood ratio test in order to test hypotheses of interest related to the parameters. The proposed test statistics are assessed through a simulation study. Finally, the model was fitted to a real data set comprising measurements of concentrations of chemical elements in samples of Egyptian pottery. The computational implementation was developed in R language. / Um dos procedimentos usuais para estudar uma relação entre variáveis é análise de regressão. O modelo de regressão usual ajusta os dados sob a suposição de que as variáveis explicativas são medidas sem erros. Porém, em diversas situações as variáveis explicativas apresentam erros de medição. Nestes casos são utilizados os modelos com erros de medição. Neste trabalho estudamos um modelo estrutural com erros de medição para observações replicadas. A estimação dos parâmetros dos modelos propostos foi efetuada pelos métodos de máxima verossimilhança e de máxima pseudoverossimilhança. O comportamento dos estimadores de alguns parâmetros foi analisado por meio de simulações para diferentes números de réplicas. Além disso, são propostos o teste da razão de verossimilhanças, o teste de Wald, o teste escore, o teste gradiente, o teste C de Neyman e o teste da razão de pseudoverossimilhanças com o objetivo de testar algumas hipóteses de interesse relacionadas aos parâmetros. As estatísticas propostas são avaliadas por meio de simulações. Finalmente, o modelo foi ajustado a um conjunto de dados reais referentes a medições de concentrações de elementos químicos em amostras de cerâmicas egípcias. A implementação computacional foi desenvolvida em linguagem R.

This diploma thesis deals with study of feasibility of waterpark monolithic reinforced concrete structure with roof terrace. This structure has one underground floor, which has water park utility function and two above ground floors. On the roof is terrace with grass, mobile bar and with space to relax. Subject of this diploma thesis is the main loadbearing frame, which has span 32 m. The structure is assessed according to limit states of valid norms and also takes into account construction stages and time dependent analysis. The structure is calculated on beam and slab-plate structural models. Structural analysis and general drawings are done.

El presente documento investiga los efectos de la política macroprudencial, medida por el requerimiento de capital sobre la economía peruana. Este estudio adapta y estima un modelo semi-estructural a la economía peruana, incorporando un instrumento de política macroprudencial y el sector crediticio. Para su estimación se utilizan datos de frecuencia trimestral y se estima mediante el Método Generalizado de Momentos. Se encuentra que el requerimiento de capital tiene un efecto negativo sobre el crecimiento del crédito y producto, y sobre la inflación. Además, mediante un análisis de escenarios se encuentra que los costos de la política macroprudencial resultan mayores que los de política monetaria. Por último, se encuentran indicios de que la política macroprudencial y monetaria deben coordinarse. / This document investigates the effects of macroprudential policy on the Peruvian economy, measured as the capital requirement ratio. This study adapts and estimates a semi-structural model to the Peruvian economy, incorporating a macroprudential policy instrument and a credit sector. The model is estimated using quarterly frequency data. It is estimated using the Generalized Method of Moments. The capital requirement has a negative effect on the growth of credit and product, and on inflation. Furthermore, through a scenario analysis, it is found that the costs of macroprudential policy are higher than those of monetary policy. Finally, there are signs that macroprudential and monetary policy need to be coordinated. / Trabajo de investigación

This study examined impact of national culture on human resource management (HRM) functioning in present-day Pakistan. / No digital full text provided

資訊科技導入組織的主要目的就是要為組織帶來最佳的效益。然而資訊科技導入的案例有半數以上是不成功的。作者會用不同的理論及實務來探討資訊科技與組織之間的互動關係，企圖了解問題的癥結並找出對策。每一種研究的方式都會因理論以及個案的差異而有不同的結論。本個案嘗試採用結構化理論、科技結構化理論以及組織例規理論這三個彼此有關聯的理論為基礎，以組織例規(Organizational Routines) 為視角，配合一個由知名全球化外商公司轉換為本土跨國公司的一個企業電腦事業群之產品資料管理（Product Data Management, PDM）科技的導入與持續使用四年的狀況為研究標的，以質性個案研究方法透過長期觀察、實務分析以及近期訪談來蒐集資料並整理分析，企圖從本個案進展的八年期間所發生的重要事件，來分析PDM科技與組織之間的互動關係，並發掘該事業群產品生命週期的組織運作要點，PDM科技背後的精神以及PDM科技在該事業群能夠持續運作四年下來的原因。更期望透過本研究讓即將導入PDM科技或者已經在使用該科技的組織能夠從例規的角度來思考組織成員、科技以及組織制度三者之間的關係，進而從中獲取可借鏡之處。 / The major purpose of introducing information technology into an organization is to bring the most value of the technology out to the organization. However, the results show that more than half of the cases failed to fulfill that purpose. Researchers have developed different theories to describe the interaction between technology and organization in order to come up with solutions for successful introduction of technology into organization. Naturally, different theories, together with different real practices, may draw different conclusions. This study tries to apply three most prominent inter-related theories: “Structuration Theory”, “Structural Model of Technology” and “The Theory of Organizational Routines,” to a selected case of implementing PDM (Product Data Management) into one of the Business Groups of Taiwan-based global IT company to analyze why and how its case turned out to be sustainable four years after the go-live. With that, this study also tries to derive useful information for enterprises with similar background for their upcoming introduction of information technology into their organizations. Organizations with existing information technologies in place may also be able to reflect on this study for possible fine-tuning opportunities.

Les simulations numériques des équations d’Euler deux-fluides réalisé sur des maillages grossiers éliminent les structures fins d’écoulement gaz-solide dans les lits fluidisés. Pour précisément estimer l’hydrodynamique globale de lit, il faut proposer une modélisation qui prend en compte les effets de structure non-résolue. Dans ce but, les maillages sont raffinés pour obtenir le résultat de simulation pleinement résolue ce que les grandeurs statistiques ne modifient plus avec un autre raffinement pour le lit fluidisé périodique dilué gaz-particules sur une géométrie 3D cartésienne et ce résultat est utilisé pour tests "a priori". Les résultats de tests "a priori" montrent que l’équation filtrée de la quantité de mouvement est effectuée mais il faut prendre en compte le flux de la fraction volumique de solide de sous-maille en raison de l’interaction locale de la vitesse du gaz et la fraction volumique de solide pour la force traniée. Nous proposons les modèles fonctionnels et structurels pour le flux de la fraction volumique de solide de sous-maille. En plus, les modèles fermetures du tenseur de sous-maille de la phase dispersée sont similaires aux modèles classiquement utilisés en écoulement turbulent monophasique. Tous les modèles sont validés par test "a priori" et "a posteriori" / Eulerian two fluid approach is generally used to simulate gas-solid flows in industrial circulating fluidized beds. Because of limitation of computational resources, simulations of large vessels are usually performed by using too coarse grid. Coarse grid simulations can not resolve fine flow scales which can play an important role in the dynamic behaviour of the beds. In particular, cancelling out the particle segregation effect of small scales leads to an inadequate modelling of the mean interfacial momentum transfer between phases and particulate shear stresses by secondary effect. Then, an appropriate modelling ac counting for influences of unresolved structures has to be proposed for coarse-grid simu-lations. For this purpose, computational grids are refined to get mesh-independent result where statistical quantities do not change with further mesh refinement for a 3-D peri-odic circulating fluidized bed. The 3-D periodic circulating fluidized is a simple academic configuration where gas-solid flow conducted with A-type particles is periodically driven along the opposite direction of the gravity. The particulate momentum and agitation equations are filtered by the volume averaging and the importance of additional terms due to the averaging procedure are investigated by budget analyses using the mesh independent result. Results show that the filtered momentum equation of phases can be computed on coarse grid simulations but sub-grid drift velocity due to the sub-grid correlation between the local fluid veloc- ity and the local particle volume fraction and particulate sub-grid shear stresses must be taken into account. In this study, we propose functional and structural models for sub- grid drift velocity, written in terms of the difference between the gas velocity-solid volume fraction correlation and the multiplication of the filtered gas velocity with the filtered solid volume fraction. Particulate sub-grid shear stresses are closed by models proposed for single turbulent flows. Models’ predictabilities are investigated by a priori tests and they are validated by coarse-grid simulations of 3-D periodic circulating, dense fluidized beds and experimental data of industrial scale circulating fluidized bed in manner of a posteriori tests

This study examined impact of national culture on human resource management (HRM) functioning in present-day Pakistan.

Chapter 1: I analyze economies of scale for fire and police services by considering how per-household costs are affected by a municipality’s size. Using 2005-2008 municipal data for the Province of Ontario, I employ a partial-linear model to non-parametrically estimate per-household cost curves for each service. The results show that cost per household is a U-shaped function of municipal size for each service. For fire services, these costs are minimized at a population of about 20,000 residents, while for police services they are minimized at about 50,000 residents. Based on these results, implications are drawn for municipal amalgamation policy. Chapter 2: I review how the literature has continued to exclude the business property tax (BPT) from the marginal effective tax rate (METR) on capital investment for over 25 years. I recast the METR theory as it relates to the BPT and compute 2013 estimates of the METR for all 10 provinces in Canada with provincial BPTs included. Building on these estimates, I compute the METR inclusive of municipal BPTs for the largest municipality in each province. I find the BPT to be substantially damaging to municipal, provincial and international competitiveness. With the business property tax representing over 60% of the Canadian METR, among the various capital taxes it is by far the largest contributor to Canada’s investment barrier. Chapter 3: I estimate the responsiveness of structure investment and the tax base to commercial property taxes, taking a new step toward resolving the “benefit view” vs. “capital tax view” debate within the literature. Using a first-difference structural model to analyze 2006-2013 municipal data for the Province of Ontario, I improve upon past studies and build onto the literature in a number of ways. I find that commercial structure investment and tax base are highly sensitive to the property tax with Ontario’s assessment-weighted average tax elasticity (and tax-base elasticity) ranging from -0.80 to -0.90 at 2011 taxation levels. The results support the capital tax view of the business property tax, building onto the growing consensus that business property taxes substantially impact investment in structures and the value of the tax base.