Submitted by Fernando Daitx (fernandodait@fgvmail.br) on 2015-06-21T17:21:43Z No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-06-22T19:58:43Z (GMT) No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-06-29T12:04:21Z (GMT) No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5) / Made available in DSpace on 2015-06-29T12:04:59Z (GMT). No. of bitstreams: 1 Fernando_Daitx_Dissertacao.pdf: 1327893 bytes, checksum: 351c7092e5875256773db2e050b79c8a (MD5) Previous issue date: 2015-04-07 / A presente dissertação tem como objetivo apresentar dois importantes modelos usados na análise de risco. Essa análise culmina em uma aplicação empírica para cada um deles. Apresenta-se primeiro o modelo Nelson-Siegel dinâmico, que estima a curva de juros usando um modelo paramétrico exponencial parcimonioso. É citada a referência criadora dessa abordagem, que é Nelson & Siegel (1987), passa-se pela apresentação da mais importante abordagem moderna que é a de Diebold & Li (2006), que é quem cria a abordagem dinâmica do modelo Nelson-Siegel, e que é inspiradora de diversas extensões. Muitas dessas extensões também são apresentadas aqui. Na parte empírica, usando dados da taxa a termo americana de Janeiro de 2004 a Março de 2015, estimam-se os modelos Nelson-Siegel dinâmico e de Svensson e comparam-se os resultados numa janela móvel de 12 meses e comparamos seus desempenhos com aqueles de um passeio aleatório. Em seguida, são apresentados os modelos ARCH e GARCH, citando as obras originais de Engle (1982) e Bolleslev (1986) respectivamente, discutem-se características destes modelos e apresentam-se algumas extensões ao modelo GARCH, incluindo aí alguns modelos GARCH multivariados. Passa-se então por uma rápida apresentação do conceito de VaR (Value at Risk), que será o objetivo da parte empírica. Nesta, usando dados de 02 de Janeiro de 2004 até 25 de Fevereiro de 2015, são feitas uma estimação da variância de um portfólio usando os modelos GARCH, GJR-GARCH e EGARCH e uma previsão do VaR do portfólio a partir da estimação feita anteriormente. Por fim, são apresentados alguns trabalhos que usam os dois modelos conjuntamente, ou seja, que consideram que as taxas ou os fatores que as podem explicam possuem variância variante no tempo.

Dagligen bedömer människan sin omgivning utifrån sina fem sinnen. Då ett intryck ges från omgivningen sker en process, signaler skickas till hjärnan via nerver ifrån det sinne som stimulerats. På grund av den olika uppsättningen nervceller upplevs samma intryck skilt bland människor. I textilproduktion används visuell bedömning genom hela produktionsprocessen, från garn till färdig vara där tyget slutligen kontrolleras i sin helhet vid avsyningen. Avsyningsprocessen sker vid ett avsyningsbord där en operatör matar fram tyg på bordet. Frammatningen stoppas då fel upptäcks och de märks ut med hjälp av felkoder. Att avsyna och bedöma fel kan vara mycket svårt då uppfattningen om hur något ser ut är individuellt och således tolkas det som granskas olika. AB Ludvig Svensson har utformat uppdraget som går ut på att studera företagets bedömningsgrunder för tyg och utveckla dem för att kunna hantera svårbedömda fel. Företaget sorterar in svårbedömda fel i något de kallar en gråzon. Gråzon är oftast en benämning för ett svårdefinierat område.För att få en förståelse för var och hur fel uppstår i produktionen har observationer gjorts på företaget där hela textilprocessen studerats. Genom samtal med berörd personal och analyser av felvaror har bedömningsunderlag utvecklats. Bedömningsunderlaget går ut på att ge avsyningspersonalen så mycket information och kunskap som möjligt för en enklare bedömning. Studien har visat att gråzonen kan delas in i två delar, gråzon 1 och gråzon 2. Gråzon 1 behandlar tydliga fel där felkällan är okänd och gråzon 2 behandlar otydliga fel där den eventuella felkällan är känd. För att eliminera gråzon 1 ligger fokus på att ge avsyningspersonalen så mycket information om varan och dess processer som möjligt. Gråzon 2 kan minskas med hjälp av designbeskrivning om hur varan ska upplevas vid avsyningen. Beskrivningen placeras på ett textilt referensprov som avsynaren alltid använder vid syning av en vara.Daily man's surroundings are evaluated based on their five senses. When an impression is given from the surroundings a process starts, signals are sent to the brain via nerves from the stimulated sense. Due to the different set of neurons the same impression is experienced differently among people. In textile production visual evaluation is used throughout the entire production process, from yarn to finished product, in which the fabric finally is checked in its whole at the inspection. The inspection process occurs at an inspection table where an operator feeds the fabric on to the table. The feeding is stopped when defects are discovered which are marked by defect codes. To inspect and evaluate defects can be very difficult when the perception of how something looks is individual and therefore what is examined is interpreted differently.AB Ludvig Svensson has designed the mission that is to study the company's evaluation criteria’s for fabric and develop them to be able to deal with imponderable defects. The company sorts imponderable defects into what they call a gray zone. Gray zone is usually a term used to describe an elusive area.To gain an understanding of where and how defects occurs in the production observations have been made at the company where the whole textile process has been studied. Through conversations with concerned staff and analysis of products with defects, evaluation material has been developed. The evaluation material is meant to give the inspection staff as much information and knowledge as possible for an easier evaluation. The study has shown that the gray zone can be divided into two parts, gray zone 1 and gray zone 2. Gray zone 1 process clear defects where the defect source is unknown and gray zone 2 process unclear defects where the possible defect source is known. To eliminate gray zone 1, focus lays on providing the inspection staff with as much information about the product and its processes as possible. Gray zone 2 can be reduced with the help of a description from the designer of how the product should be experienced at the inspection. The description is placed on a fabric reference sample that the inspector always uses during the inspection process. / Program: Textilingenjörsutbildningen

Exchange rate forecasting is hard issue for most of floating exchange rate economies. Studying exchange rate is very attractive matter since almost no model could beat random walk in short run yet. Relative yields and information in relative yield curves are contemporary topics in empirical literature and this study follows Chen and Tsang (2009) who model exchange rate changes with relative factors obtained from Nelson-Siegel (1987) yield curve model and find that relative factor model can forecast exchange rate change up to 2 years and perform better than random walk in short run. Analysis follows the methodology defined by Chen and Tsang (2009) and TL/USD, TL/EUR exchange rate changes are modeled by the relative factors namely relative level, relative slope and relative curvature. Basically, 162 weekly datasets from 09.01.2007 to 16.03.2010 are used and the relative factors for each week are estimated. Afterwards, regression analysis is made and results show that relative level and relative curvature factors are significant up to 4-6 weeks horizon but relative slope does not provide any valuable information for exchange rate prediction in Turkish financial market. Length of forecasting horizon of relative factor model is too short when compared to other exchange rate models. Since it is accepted that exchange rates follow random walk, we provided some tests to compare performance of the model. Similar to the literature, only short run performance of relative factor model is compared to random walk model and concluded that the relative factor model does not provide better forecasting performance in Turkish financial market

Submitted by José Monteiro Varanda Neto (jose_monteiro30@hotmail.com) on 2015-08-14T18:36:48Z No. of bitstreams: 1 Dissertação - José Monteiro.pdf: 1137645 bytes, checksum: 3dfe90b213db6fbf853412ca9eeaaed4 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-08-14T19:05:56Z (GMT) No. of bitstreams: 1 Dissertação - José Monteiro.pdf: 1137645 bytes, checksum: 3dfe90b213db6fbf853412ca9eeaaed4 (MD5) / Made available in DSpace on 2015-08-14T19:08:47Z (GMT). No. of bitstreams: 1 Dissertação - José Monteiro.pdf: 1137645 bytes, checksum: 3dfe90b213db6fbf853412ca9eeaaed4 (MD5) Previous issue date: 2015-08-10 / This paper is intended to systematize a model for both forecasting and explaining short term movements of the term structure of interest rates in the Brazilian local currency market, based on the probable relationship between these movements and the levels and variations in the relevant macroeconomic variables. The methodology used was to divide the procedure in two stages: In the first stage, the Svensson (1994) model is used to fit the available daily Yield Curve to the parameters of the model, for each specific date. This is accomplished by maximizing the R2 statistic in the OLS regression, as suggested in the original paper by Nelson-Siegel (1987). Then, the medians of the two decay parameters are calculated, and arbitrarily kept constant to make the second stage calculations easier. In the second stage, once the daily estimators that best fit the overall set of dates for the Yield Curve had been obtained, another OLS regression is performed considering Svensson’s betas to be dependent on the macroeconomic state variables. / Este trabalho visa sistematizar um modelo para previsão e explicação dos movimentos de curto prazo da estrutura a termo de taxas de juros pré-fixada em reais do Brasil, baseado na relação dos movimentos em questão com os níveis e alterações que se processam nas variáveis macroeconômicas relevantes. A metodologia usada foi dividir o procedimento em duas etapas: Na primeira etapa, o modelo de Svensson (1994) é usado para ajustar a Estrutura a Termo de Taxas de Juros de cada data específica para obter os parâmetros daquela data. Isso é conseguido através da maximização da estatística R2 na regressão de mínimos quadrados, como sugerido no artigo original de Nelson e Siegel (1987). Então, as medianas dos dois parâmetros de decaimento utilizados são calculadas e mantidas arbitrariamente constantes para facilitar os cálculos da segunda etapa. Na segunda etapa, uma vez que os estimadores que melhor se ajustam às curvas de juros foram obtidos, outra regressão de MQO é realizada considerando os betas de Svensson dependentes de variáveis macroeconômicas de estado.

The thesis is focused on finding the most appropriate method for constructing the yield curve which will meet the criteria of Solvency II and also the selected evaluation criteria. An overview of advantages of each method is obtained by comparing these methods. Yield curves are constructed using the Czech interest rate swap data from 2007 to 2013. The selection of the evaluated methods respects their public availability and their practical application in life insurance or central banks. This thesis is divided into two parts. The first part describes the theoretical background which is necessary to understand the examined issues. In the second part the analysis of selected methods was carried out with detailed evaluation.

Enligt infosoc-direktivets artikel 3 har upphovsmän en ensamrätt att överföra sina verk till allmänheten. EU-domstolen har i en rad mål nått slutsatsen att publiceringen av länkar som leder till ett verk utgör en överföring av verket till allmänheten. När en länk leder till ett lag­ligen uppladdat verk, som tillgängliggjorts gratis, är den emellertid att betrakta som tillåten och kräver inte upphovsmannens samtycke. Detta beror på att länken under dessa omständig­heter inte anses ha tillgängliggjort verket för en ny publik. Kravet på att en överföring, för att höra till ensamrätten, måste ske till en ny publik framgår inte av infosoc-direktivets lydelse. Rekvisitet har utvecklats i praxis, med åberopande av framförallt internationell rätt. Denna uppsats syftar till att undersöka hur länkar hanteras av EU-domstolen, samt om domstolens praxis till sin metod respektive till sina resultat är lämplig. Min slutsats är att ny publik-rekvisitet saknar stöd i såväl infosoc-direktivet som inter­nationell rätt, och att det till och med i vissa delar framstår som svårförenligt med dessa rättskällor. Genom en praxisgenomgång når jag slutsatsen att ny publik-rekvisitet har tillämpats på ett anmärkningsvärt inkonsekvent sätt, och att detta antagligen kan förklaras med en ändamålshänsyn som inte uttalats i domskälen. Generellt framstår ny publik-rekvisitet som ett verktyg EU-domstolen använt då de velat nå slutsatsen att ett visst agerande antingen ska vara tillåtet eller ej, och stöd för detta saknats i rättskällorna. När det kommer till länkar har alltså ny publik-rekvisitet använts för att motivera att dessa ska vara tillåtna. Utifrån en avvägning mellan upphovsmannens intressen och intresset av informations- och yttrandefrihet anser jag att EU-domstolens inställning som huvudregel är befogad. Jag anser dock att det finns vissa omständigheter som i det specifika fallet skulle kunna motivera att en viss länkningsåtgärd bör betraktas som ett intrång. Särskilt ser jag att sådana situationer skulle kunna komma att uppstå då material inbäddas i vinstsyfte på ett sätt som konkurrerar med upphovsmannens tillgängliggörande av verket. Utifrån EU-domstolens hittills avlagda praxis framstår det som svårt att beakta dessa omständigheter inom ramen för ny publik-rekvisitets tillämpning. Sammantaget når jag slutsatsen att ny publik-rekvisitet inte utgör ett effektivt och lämpligt verktyg för att dra gränsen mellan tillåtna och otillåtna överföringar till allmänheten. Länkar hade kunnat hanteras på ett nyanserat sätt där majoriteten, men inte alla, tillåts även utan ny publik-rekvisitet. Om inte annat bör ny publik-rekvisitet omdefinieras så att det kan leda till lämpliga resultat även med en konsekvent tillämpning, och så det går att förena med övrig upphovsrättslig reglering. / According to Article 3 in the InfoSoc Directive, the creator of a creative work owns the exclusive right to communicate his work to the public. The CJEU has made it clear that the act of hyperlinking to a webpage where a work has been uploaded constitutes communication to the public. However, when a link leads to a creative work that has been uploaded freely and legally, the act of linking does not constitute a copyright infringement. This is motivated by the notion that a link under those circumstances does not communicate the work to a new public. The perception that a communication, to constitute an infringement, must be made to a new public is not based on the writings in the InfoSoc Directive. The criterion is developed by the CJEU, referring primarily to international law. This essay is an investigation of whether and under which circumstances linking constitutes a copyright infringement according to the CJEU. The approach chosen by the court is evaluated, considering both the suitability of its methods and its results. My conclusion is that the new public criterion lacks support in superior legal sources. To some degree, the criterion even appears discordant with both union and international law. Looking at the CJEU rulings, I reach the conclusion that the new public criterion has been used and defined in a remarkably inconsistent manner, and that this is probably due to an application of the criterion in accordance with a desired outcome. The new public criterion is, inter alia, used to support that the act of linking does not constitute an infringement. With consideration for both the interests of the rightsholder and the freedom of expression, I deem it suitable to let most links fall without the scope of the creator’s exclusive right. There are, however, circumstances under which I think it could be suitable to let a specific link fall within the rights of the creator. Such a situation could be at hand when imbedded links are used for profit by an actor in direct competition with the rightsholder. The rulings by the CJEU do not, as of yet, open up for such circumstances to be taken into consideration when applying the new public criterion. In conclusion, I believe that the new public criterion does not constitute an effective or suitable tool for drawing the line between lawful and unlawful communications to the public. Links can be handled in a nuanced way where the majority, but not all, are allowed – without the new public criterion. If nothing else, the new public criterion should be redefined so that it can lead to suitable results with a consistent definition, and to make it reconcilable with international and union copyright law.

Adapting the concept of the ”popular cultural memory” and its necessary “context knowledge” established by Karin Kukkonen, this bachelor thesis seeks to examine how this memory is “at work” and expresses itself in contemporary fiction, by doing an intertextual reading of the swedish author Amanda Svensson's debut Hey Dolly. Within the intertextual structures of Hey Dolly the reader encounters allusions and references that address almost everything from contemporary popular culture to established authors in the swedish canon, mainly as means for the characters to help them express their emotions and thoughts, by “choosing” from already available content of popular culture to use and modify. The intertextuality alluding to the popular cultural memory does at the same time address the concept of the ideal reader throughout the novel. This ideal reader is addressed by the narrator as one of those “in the know”, as competent enough to see this “popular cultural memory” at work in the novel by “getting” these intertextual allusions and references. Thus any (real) reader has to be equipped with the same expertise of popular culture as the narrator in order to fully understand this intertextuality. The intertextual practices of Hey Dolly should be understood as traits used by the author to express and implicate her/his awareness of the texts “surroundings”, traits indeed found even in the name of Hey Dolly's main protagonist, symptomatically influenced from contemporary, western American commercial culture. Given the premiss where this intertextual framework relies on a heavily contemporary influenced popular cultural context, it potentially would run the risk of not being understood, should future popular culture contexts operate under different premisses. In this regard the high cultural canon memory would have to be regarded as being more stable and “reliable” than the popular cultural memory, as the norms for the canon are more fixed and rarely negotiated.  Arguing that this intertextual reading of Hey Dolly is of an immense value and significant for understanding how the Zeitgeist operates and should be approached, this thesis is still based on the premiss where the intertextual reading of Hey Dolly has largely been nonexistent when looking at how Hey Dolly has been received. Instead in the swedish media we find a consistent dominance of how its reception has been read from almost exclusively a gendered point of view, where Hey Dolly is seen and regarded as the forthcoming of a new representation of the girl/woman ideal. The intertextual reading of Hey Dolly would instead be regarded as “secondary” at best, where the story by itself is self sufficient, even if the reader lacks the necessary context knowledge of how this ”popular cultural memory” is at work in the text.

Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. This article proposes an IRRBB model that follows EBA's regulations. Among other things, this framework contains a deterministic stress test of the risk-free yield curve, in addition to this, two different types of stochastic stress tests of the yield curve were made. The results show that the deterministic stress tests give the highest risk, but that the outcomes are considered less likely to occur compared to the outcomes generated by the stochastic models. It is also demonstrated that EBA's proposal for a stress model could be better adapted to the low interest rate environment that we experience now. Furthermore, a discussion is held on the need for a more standardized framework to clarify, both for the institutions themselves and the supervisory authorities, the risks that institutes are exposed to. / Finansiella institutioner är exponerade mot flera olika typer av risker. En av de risker som kan ha en stor påverkan är ränterisk i bankboken (IRRBB). 2018 släppte European Banking Authority (EBA) ett regelverk gällande IRRBB som ska se till att institutioner gör tillräckliga riskberäkningar. Detta papper föreslår en IRRBB modell som följer EBAs regelverk. Detta regelverk innehåller bland annat ett deterministiskt stresstest av den riskfria avkastningskurvan, utöver detta så gjordes två olika typer av stokastiska stresstest av avkastningskurvan. Resultatet visar att de deterministiska stresstesten ger högst riskutslag men att utfallen anses vara mindre sannolika att inträffa jämfört med utfallen som de stokastiska modellera genererade. Det påvisas även att EBAs förslag på stressmodell skulle kunna anpassas bättre mot den lågräntemiljö som vi för tillfället befinner oss i. Vidare förs en diskussion gällande ett behov av ett mer standardiserat ramverk för att tydliggöra, både för institutioner själva och samt övervakande myndigheter, vilka risker institutioner utsätts för.

In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. We let the methods construct yield curves on multiple sets of zero yields with different origins. It is found that while the interpolation methods show greater ability to adapt to variable market conditions as well as hedge arbitrary fixed income claims, they are outperformed by the parametric methods regarding the smoothness of the resulting yield curve as well as their sensitivity to noise and perturbations in the input rates. This apart from the Nelson-Siegel method's problem of capturing the behavior of underlying rates with a high curvature. The Nelson-Siegel-Svensson method did also exhibit instability issues when exposed to perturbations in the input rates. The Nelson-Siegel method and the forward monotone convex spline interpolation method emerge as most favorable in their respective categories. The ultimate selection between the two methods must however take the application at hand into consideration due to their fundamentally different characteristics. / I denna studie utvärderas fyra välanvända metode för att konstruera yieldkurvor på ett antal punkter. Detta med syfte att utröna vilken metod som är bäst lämpad för att estimera yieldkurvor på Europeiska nollkupongräntor. Metoderna som utvärderas är Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline-interpolering samt forward monotone convex spline-interpolering. Vi låter metoderna estimera yieldkurvor på flera sammansättningar nollkupongräntor med olika ursprung. Vi ser att interpoleringsmetoderna uppvisar en större flexibilitet vad gäller att anpassa sig till förändrade marknadsförutsättningar samt att replikera godtyckliga ränteportföljer. När det gäller jämnhet av yieldkurvan och känsligheten för brus och störningar i de marknadsräntor som kurvan konstrueras utifrån så presterar de parametiska metoderna däremot avsevärt bättre. Detta bortsett från att Nelson-Siegel-metoden hade problem att fånga beteendet hos nollkupongräntor med hög kurvatur. Vidare hade Nelson-Siegel-Svensson-metoden problem med instabilitet när de underliggande marknadsrentorna utsattes för störningar. Nelson-Siegen-metoden samt foward monotone convex spline-interpolering visade sig vara bäst lämpade för att konstruera yieldkurvor på de Europeiska marknaderna av de utvärderade metoderna. Vilken metod av de två som slutligen bör användas behöver bedömas från fall till fall grundat i vilken tillämpning som avses.

在金融海嘯之後, 信用風險的重要性益發為銀行金融業所重視。 為深入探索此議題, 本文以 CreditMetrics(TM) 模型為基底, 設定台灣 458 間上市櫃公司為虛擬資產組合, 做出其資產組合價值分配與資產組合損失分配, 以估量信用風險的大小, 提供銀行業計提資本時一個適當的方向。 在模型上, 本文採納 CreditMetrics(TM) 考量交易對手資產報酬率相關性的優點, 此點使我們交易對手評等的移轉產生相關性, 不致低估信用風險; 並修正其以外部評等機構所提供的無條件移轉矩陣為模型參數的設定, 使用排序普羅比模型 (Ordered Probit Model) 在移轉矩陣上引入總體因子, 搭配 Svensson 四因子模型所估計的放款殖利率, 做出條件情境的的經濟資本, 增加資本計提的準確度。 此外, 為了解總體因子的重要性, 本文將之與評等因子做比較。 實證結果發現, 加入總體因子會對信用風險造成一定程度的衝擊, 銀行業實不宜再以無條件情境做為計提資本的標準。 而在評等與曝險額呈現正相關的條件下, 評等因子的重要性比起總體因子有過之而無不及。 銀行業在計提資本時, 與其費盡心思在模型中納入總體因子, 也許應該先看看評等是否已經納入考量。