Joint value at risk: a new conditional risk measure

In this PhD thesis a new firm level conditional risk measure is developed. It is named Joint Value at Risk (JVaR) and is defined as a quantile of a conditional distribution of interest, where the conditioning event is a latent upper tail event. It addresses the problem of how risk changes under extreme volatility scenarios. The properties of JVaR are studied based on a stochastic volatility representation of the underlying process. We prove that JVaR is leverage consistent, i.e. it is an increasing function of the dependence parameter in the stochastic representation. A feasible class of nonparametric M-estimators is introduced by exploiting the elicitability of quantiles and the stochastic ordering theory. Consistency and asymptotic normality of the two stage M-estimator are derived, and a simulation study is reported to illustrate its finite-sample properties. Parametric estimation methods are also discussed. The relation with the VaR is exploited to introduce a volatility contribution measure, and a tail risk measure is also proposed. The analysis of the dynamic JVaR is presented based on asymmetric stochastic volatility models. Empirical results with S&P500 data show that accounting for extreme volatility levels is relevant to better characterize the evolution of risk. The work is complemented by a review of the literature, where we provide an overview on quantile risk measures, elicitable functionals and several stochastic orderings.

Maximum principle, mean value operators and quasi boundedness in non-euclidean settings

This work deals with some classes of linear second order partial differential operators with non-negative characteristic form and underlying non- Euclidean structures. These structures are determined by families of locally Lipschitz-continuous vector fields in RN, generating metric spaces of Carnot- Carath´eodory type. The Carnot-Carath´eodory metric related to a family {Xj}j=1,...,m is the control distance obtained by minimizing the time needed to go from two points along piecewise trajectories of vector fields. We are mainly interested in the causes in which a Sobolev-type inequality holds with respect to the X-gradient, and/or the X-control distance is Doubling with respect to the Lebesgue measure in RN. This study is divided into three parts (each corresponding to a chapter), and the subject of each one is a class of operators that includes the class of the subsequent one. In the first chapter, after recalling “X-ellipticity” and related concepts introduced by Kogoj and Lanconelli in [KL00], we show a Maximum Principle for linear second order differential operators for which we only assume a Sobolev-type inequality together with a lower terms summability. Adding some crucial hypotheses on measure and on vector fields (Doubling property and Poincar´e inequality), we will be able to obtain some Liouville-type results. This chapter is based on the paper [GL03] by Guti´errez and Lanconelli. In the second chapter we treat some ultraparabolic equations on Lie groups. In this case RN is the support of a Lie group, and moreover we require that vector fields satisfy left invariance. After recalling some results of Cinti [Cin07] about this class of operators and associated potential theory, we prove a scalar convexity for mean-value operators of L-subharmonic functions, where L is our differential operator. In the third chapter we prove a necessary and sufficient condition of regularity, for boundary points, for Dirichlet problem on an open subset of RN related to sub-Laplacian. On a Carnot group we give the essential background for this type of operator, and introduce the notion of “quasi-boundedness”. Then we show the strict relationship between this notion, the fundamental solution of the given operator, and the regularity of the boundary points.

Spatial Disparity and Dynamic Trajectory of Convergence in China: Construction and Application of a Composite Index of Regional Development

China is a large country characterized by remarkable growth and distinct regional diversity. Spatial disparity has always been a hot issue since China has been struggling to follow a balanced growth path but still confronting with unprecedented pressures and challenges. To better understand the inequality level benchmarking spatial distributions of Chinese provinces and municipalities and estimate dynamic trajectory of sustainable development in China, I constructed the Composite Index of Regional Development (CIRD) with five sub pillars/dimensions involving Macroeconomic Index (MEI), Science and Innovation Index (SCI), Environmental Sustainability Index (ESI), Human Capital Index (HCI) and Public Facilities Index (PFI), endeavoring to cover various fields of regional socioeconomic development. Ranking reports on the five sub dimensions and aggregated CIRD were provided in order to better measure the developmental degrees of 31 or 30 Chinese provinces and municipalities over 13 years from 1998 to 2010 as the time interval of three “Five-year Plans”. Further empirical applications of this CIRD focused on clustering and convergence estimation, attempting to fill up the gap in quantifying the developmental levels of regional comprehensive socioeconomics and estimating the dynamic convergence trajectory of regional sustainable development in a long run. Four clusters were benchmarked geographically-oriented in the map on the basis of cluster analysis, and club-convergence was observed in the Chinese provinces and municipalities based on stochastic kernel density estimation.

Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

Production and characterization of novel thermoplastic (nano)composite materials for additive manufacturing applications

The increasing environmental global regulations have directed scientific research towards more sustainable materials, even in the field of composite materials for additive manufacturing. In this context, the presented research is devoted to the development of thermoplastic composites for FDM application with a low environmental impact, focusing on the possibility to use wastes from different industrial processes as filler for the production of composite filaments for FDM 3D printing. In particular carbon fibers recycled by pyro-gasification process of CFRP scraps were used as reinforcing agent for PLA, a biobased polymeric matrix. Since the high value of CFs, the ability to re-use recycled CFs, replacing virgin ones, seems to be a promising option in terms of sustainability and circular economy. Moreover, wastes from different agricultural industries, i.e. wheat and rice production processes, were valorised and used as biofillers for the production of PLA-biocomposites. The integration of these agricultural wastes into PLA bioplastic allowed to obtain biocomposites with improved eco-sustainability, biodegradability, lightweight, and lower cost. Finally, the study of novel composites for FDM was extended towards elastomeric nanocomposite materials, in particular TPU reinforced with graphene. The research procedure of all projects involves the optimization of production methods of composite filaments with a particular attention on the possible degradation of polymeric matrices. Then, main thermal properties of 3D printed object are evaluated by TGA, DSC characterization. Additionally, specific heat capacity (CP) and Coefficient of Linear Thermal Expansion (CLTE) measurements are useful to estimate the attitude of composites for the prevention of typical FDM issues, i.e. shrinkage and warping. Finally, the mechanical properties of 3D printed composites and their anisotropy are investigated by tensile test using distinct kinds of specimens with different printing angles with respect to the testing direction.

Smart tracking of composite parts: feasibility study and effect on mechanical behaviour

This research proposes a solution for integrating RFID - Radio Frequency Identification technology within a structure based on CFRPs - Carbon Fiber Reinforced Polymers. Therefore, the main objective is to use technology to monitor and track composite components during manufacturing and service life. The study can be divided into two macro-areas. The first portion of the research evaluates the impact of the composite materials used on transmitting the electromagnetic signal to and from the tag. RFID technology communicates through radio frequencies to to track and trace items associated with the tags. In the first instance, a feasibility study was carried out to assess using commercially available tags. Then, after evaluating different solutions, it was decided to incorporate the tags into coupons during production. The second portion of the research is focused on evaluating the impact on the composite material's resistance to tag embedding. It starts with designing tensile test specimens through the FEM model with different housing configurations. Subsequently, the best configuration was tested in the facilities of the In the Faculty of Aerospace Engineering at TU Delft, particularly in the Structure & Materials Laboratory, two tests were conducted: the first one based on ASTM D3039/D3039 - 14 - Standard Test Method for Tensile Properties of Polymer Matrix Composite Materials, the second one dividing the path to failure into failure intervals in a load-unload-reload. Both tests were accompanied by instruments such as DIC, AE, C-Scan and Optical Microscopes. The expected result of the inclusion of RFID tags in composite components is that it brings added value to the parts with which it is associated without affecting too much its mechanical properties. This comes first from the automatic identification of RFID during the production cycle and its useful life. As a result, improvements were made in the design of production facilities.