Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

Effect of the number of shells on the pressure and energy of two-dimensional free bubble clusters

We have performed Surface Evolver simulations of two-dimensional hexagonal bubble clusters consisting of a central bubble of area lambda surrounded by s shells or layers of bubbles of unit area. Clusters of up to twenty layers have been simulated, with lambda varying between 0.01 and 100. In monodisperse clusters (i.e., for lambda = 1) [M.A. Fortes, F Morgan, M. Fatima Vaz, Philos. Mag. Lett. 87 (2007) 561] both the average pressure of the entire Cluster and the pressure in the central bubble are decreasing functions of s and approach 0.9306 for very large s, which is the pressure in a bubble of an infinite monodisperse honeycomb foam. Here we address the effect of changing the central bubble area lambda. For small lambda the pressure in the central bubble and the average pressure were both found to decrease with s, as in monodisperse clusters. However, for large,, the pressure in the central bubble and the average pressure increase with s. The average pressure of large clusters was found to be independent of lambda and to approach 0.9306 asymptotically. We have also determined the cluster surface energies given by the equation of equilibrium for the total energy in terms of the area and the pressure in each bubble. When the pressures in the bubbles are not available, an approximate equation derived by Vaz et al. [M. Fatima Vaz, M.A. Fortes, F. Graner, Philos. Mag. Lett. 82 (2002) 575] was shown to provide good estimations for the cluster energy provided the bubble area distribution is narrow. This approach does not take cluster topology into account. Using this approximate equation, we find a good correlation between Surface Evolver Simulations and the estimated Values of energies and pressures. (C) 2008 Elsevier B.V. All rights reserved.

Can varying the number of teams in a shift schedule constitute a preventive strategy?

OBJECTIVE: The study examines the implications for shiftworkers of applying different numbers of teams in the organization of shiftwork. METHODS: The participating operators came from five different companies applying continuous shift rotation systems. The companies shared the same product organization and a common corporate culture belonging to the same multinational company. Each company had a shift system consisting of four, five or six teams, with the proportion of shifts outside day work decreasing as the number of teams increased. Questionnaire and documentary data were used as data sources. RESULTS: Operators in systems with additional teams had more daywork but also more irregular working hours due to both overtime and schedule changes. Operators using six teams used fewer social compensation strategies. Operators in four teams were most satisfied with their work hours. Satisfaction with the time available for various social activities outside work varied inconsistently between the groups. CONCLUSIONS: In rotating systems the application of more teams reduces the number of shifts outside day work. This apparent improvement for shiftworkers was counteracted by a concomitant irregularity produced by greater organizational requirements for flexibility. The balance of this interaction was found to have a critical impact on employees.

Study of the influence of count’s number in myocardium in the determination of reproducible functional parameters in Gated-SPECT studies simulated with GATE

Myocardial Perfusion Gated Single Photon Emission Tomography (Gated-SPET) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV) function. But standard protocols of the Gated-SPECT studies require long acquisition times for each study. It is therefore important to reduce as much as possible the total duration of image acquisition. However, it is known that this reduction leads to decrease on counts statistics per projection and raises doubts about the validity of the functional parameters determined by Gated-SPECT. Considering that, it’s difficult to carry out this analysis in real patients. For ethical, logistical and economical matters, simulated studies could be required for this analysis. Objective: Evaluate the influence of the total number of counts acquired from myocardium, in the calculation of myocardial functional parameters (LVEF – left ventricular ejection fraction, EDV – end-diastolic volume, ESV – end-sistolic volume) using routine software procedures.

Conjetura de Goldbach: uma visão aritmética

Dissertação de Mestrado, Matemática para Professores, 1 de Novembro de 2013, Universidade dos Açores.

Ensino da Matemática : Os Number Bonds de Singapura

(...) Os number bonds (esquemas todo-partes) constituem um dos procedimentos didáticos mais famosos do Método de Singapura. Estas representações auxiliam a compreensão numérica basilar, nomeadamente a capacidade de decompor quantidades e a álgebra fundamental (adições e subtrações). Neste artigo, analisaremos o que são, quais as vantagens e a forma de utilização destes esquemas no 1.º ano de escolaridade. (...)

Factores de rentabilização do processo de serragem de granitos com engenhos multi-lâminas

Este trabalho visa apresentar um enquadramento da realidade económica e industrial do sector transformador de granitos ornamentais em Portugal e fazer uma análise do processo de serragem, com engenhos multi-lâminas e granalha de aço, na medida em que este é o método de seccionamento de blocos de granito mais utilizado pelas grandes indústrias do sector. Tendo em conta a importância económica desta operação produtiva na indústria em causa, foi definido como fito deste projecto a análise estatística dos custos de produção; a definição de fórmulas de cálculo que permitam prever o custo médio de serragem; e o estudo de soluções economicamente viáveis e ambientalmente sustentáveis para o problema das lamas resultantes do expurgo dos engenhos. Para a persecução deste projecto foi realizada uma recolha de dados implementando rotinas de controlo e registo dos mesmos, em quadros de produção normalizados e de fácil preenchimento, pelos operadores destes equipamentos. Esta recolha de dados permitiu isolar, quantificar e formular os factores de rentabilização do processo de serragem selecionando, dentro da amostra de estudo obtida, um conjunto de serragens com características similares e com valores próximos dos valores da média estatística. Apartir dos dados destas serragens foram geradas curvas de tendência polinomial com as quais se analisaram as variações provocadas no custo médio de serragem, pelas variações do factor em estudo. A formulação dos factores de rentabilização e os dados estatísticos obtidos permitiram depois o desenvolvimento de fórmulas de cálculo do custo médio de serragem que establecem o custo de produção diferenciado em função das espessuras com, ou sem, a incorporação dos factores de rentabilização. Como consequência do projecto realizado obteve-se um conjunto de conclusões util, para o sector industrial em causa, que evidencia a importancia da Ocupação dos engenhos e rentabilização de um espaço confinado, da Resistência oferecida à serragem pelos granitos, e da Diferença de altura entre os blocos de uma mesma carga, nos custos de transformação.

Determining the number of clusters in categorical data

Cluster analysis for categorical data has been an active area of research. A well-known problem in this area is the determination of the number of clusters, which is unknown and must be inferred from the data. In order to estimate the number of clusters, one often resorts to information criteria, such as BIC (Bayesian information criterion), MML (minimum message length, proposed by Wallace and Boulton, 1968), and ICL (integrated classification likelihood). In this work, we adopt the approach developed by Figueiredo and Jain (2002) for clustering continuous data. They use an MML criterion to select the number of clusters and a variant of the EM algorithm to estimate the model parameters. This EM variant seamlessly integrates model estimation and selection in a single algorithm. For clustering categorical data, we assume a finite mixture of multinomial distributions and implement a new EM algorithm, following a previous version (Silvestre et al., 2008). Results obtained with synthetic datasets are encouraging. The main advantage of the proposed approach, when compared to the above referred criteria, is the speed of execution, which is especially relevant when dealing with large data sets.

The influence of count's number in myocardium in the determination of reproducible parameters in Gated-SPECT studies simulated with GATE

Myocardial Perfusion Gated Single Photon Emission Tomography (Gated-SPET) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV). The purpose of this study is to evaluate the influence of the total number of counts acquired from myocardium, in the calculation of myocardial functional parameters using routine software procedures. Methods: Gated-SPET studies were simulated using Monte Carlo GATE package and NURBS phantom. Simulated data were reconstructed and processed using the commercial software package Quantitative Gated-SPECT. The Bland-Altman and Mann-Whitney-Wilcoxon tests were used to analyze the influence of the number of total counts in the calculation of LV myocardium functional parameters. Results: In studies simulated with 3MBq in the myocardium there were significant differences in the functional parameters: Left ventricular ejection fraction (LVEF), end-systolic volume (ESV), Motility and Thickness; between studies acquired with 15s/projection and 30s/projection. Simulations with 4.2MBq show significant differences in LVEF, end-diastolic volume (EDV) and Thickness. Meanwhile in the simulations with 5.4MBq and 8.4MBq the differences were statistically significant for Motility and Thickness. Conclusion: The total number of counts per simulation doesn't significantly interfere with the determination of Gated-SPET functional parameters using the administered average activity of 450MBq to 5.4MBq in myocardium.

The roman conquered by delay: reducing the number of preemptions using sleep states

Sleep-states are emerging as a first-class design choice in energy minimization. A side effect of this is that the release behavior of the system is affected and subsequently the preemption relations between tasks. In a first step we have investigated how the behavior in terms of number of preemptions of tasks in the system is changed at runtime, using an existing procrastination approach, which utilizes sleepstates for energy savings purposes. Our solution resulted in substantial savings of preemptions and we expect from even higher yields for alternative energy saving algorithms. This work is intended to form the base of future research, which aims to bound the number of preemptions at analysis time and subsequently how this may be employed in the analysis to reduced the amount of system utilization, which is reserved to account for the preemption delay.

Estimating the number of nodes in wireless sensor networks

We propose an efficient algorithm to estimate the number of live computer nodes in a network. This algorithm is fully distributed, and has a time-complexity which is independent of the number of computer nodes. The algorithm is designed to take advantage of a medium access control (MAC) protocol which is prioritized; that is, if two or more messages on different nodes contend for the medium, then the node contending with the highest priority will win, and all nodes will know the priority of the winner.

Task-based occupational exposure assessment and particle number concentration: two important data resources to perform risk assessment for occupational exposure to particles

Environment monitoring has an important role in occupational exposure assessment. However, due to several factors is done with insufficient frequency and normally don´t give the necessary information to choose the most adequate safety measures to avoid or control exposure. Identifying all the tasks developed in each workplace and conducting a task-based exposure assessment help to refine the exposure characterization and reduce assessment errors. A task-based assessment can provide also a better evaluation of exposure variability, instead of assessing personal exposures using continuous 8-hour time weighted average measurements. Health effects related with exposure to particles have mainly been investigated with mass-measuring instruments or gravimetric analysis. However, more recently, there are some studies that support that size distribution and particle number concentration may have advantages over particle mass concentration for assessing the health effects of airborne particles. Several exposure assessments were performed in different occupational settings (bakery, grill house, cork industry and horse stable) and were applied these two resources: task-based exposure assessment and particle number concentration by size. The results showed interesting results: task-based approach applied permitted to identify the tasks with higher exposure to the smaller particles (0.3 μm) in the different occupational settings. The data obtained allow more concrete and effective risk assessment and the identification of priorities for safety investments.

The influence of number of counts in the myocardium in the determination of reproducible functional parameters in gated-SPECT studies simulated with GATE

Myocardial perfusion gated-single photon emission computed tomography (gated-SPECT) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV) function. The aim of this study is to analyze the influence of counts/pixel and concomitantly the total counts in the myocardium for the calculation of myocardial functional parameters. Material and methods: Gated-SPECT studies were performed using a Monte Carlo GATE simulation package and the NCAT phantom. The simulations of these studies use the radiopharmaceutical 99mTc-labeled tracers (250, 350, 450 and 680MBq) for standard patient types, effectively corresponding to the following activities of myocardium: 3, 4.2, 5.4-8.2MBq. All studies were simulated using 15 and 30s/projection. The simulated data were reconstructed and processed by quantitative-gated-SPECT software, and the analysis of functional parameters in gated-SPECT images was done by using Bland-Altman test and Mann-Whitney-Wilcoxon test. Results: In studies simulated using different times (15 and 30s/projection), it was noted that for the activities for full body: 250 and 350MBq, there were statistically significant differences in parameters Motility and Thickness. For the left ventricular ejection fraction (LVEF), end-systolic volume (ESV) it was only for 250MBq, and 350MBq in the end-diastolic volume (EDV), while the simulated studies with 450 and 680MBq showed no statistically significant differences for global functional parameters: LVEF, EDV and ESV. Conclusion: The number of counts/pixel and, concomitantly, the total counts per simulation do not significantly interfere with the determination of gated-SPECT functional parameters, when using the administered average activity of 450MBq, corresponding to the 5.4MBq of the myocardium, for standard patient types.

Projecto de um sistema de transmissão de um veículo de competição formula student

Dissertação apresentada na Faculdade de Ciência e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Mecânica.