Portfolio valuation in banks

Frequent references are made to the use of portfolio spread rates in managing financial risks in banks, but indications as to the procedures for determining such rates are very scant.The purpose of this article is to present some initial ideas on the subject: a Standard Funding system indicates what each portfolio should have earned, while an Actual Funding system points out what each portfolio did, in fact, earn; additionally, by comparing the outcomes of the two funding systems for each portfolio, it is possible to determine what each portfolio earned (or lost) in the way of arbitrage.

Optimal design of piezolaminated structures using B-spline strip finite element models

A package of B-spline finite strip models is developed for the linear analysis of piezolaminated plates and shells. This package is associated to a global optimization technique in order to enhance the performance of these types of structures, subjected to various types of objective functions and/or constraints, with discrete and continuous design variables. The models considered are based on a higher-order displacement field and one can apply them to the static, free vibration and buckling analyses of laminated adaptive structures with arbitrary lay-ups, loading and boundary conditions. Genetic algorithms, with either binary or floating point encoding of design variables, were considered to find optimal locations of piezoelectric actuators as well as to determine the best voltages applied to them in order to obtain a desired structure shape. These models provide an overall economy of computing effort for static and vibration problems.

Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

Magnetized strangelets at finite temperature

The main properties of strangelets, namely their energy per baryon, radius and electric charge, are studied in the unpaired magnetized strange quark matter (MSQM) and paired magnetized colour flavour locked (MCFL) phases. Temperature effects are taken into account in order to study their stability compared to the Fe-56 isotope and nonmagnetized strangelets within the framework of the MIT bag model. We conclude that the presence of a magnetic field tends to stabilize the strangelets more, even when temperature is considered. It is also shown that MCFL strangelets are more stable than ordinary MSQM strangelets for typical gap values of the order of O(100) MeV. A distinctive feature in the detection of strangelets either in cosmic rays or in heavy-ion collider experiments could be their electric charge. We find that the electric charge is modified in the presence of the magnetic field, leading to higher (lower) charge values for MSQM (MCFL) strangelets, when compared to the nonmagnetized case.

Finite element studies of the mechanical behaviour of the diaphragm in normal and pathological cases

The diaphragm is a muscular membrane separating the abdominal and thoracic cavities, and its motion is directly linked to respiration. In this study, using data from a 59-year-old female cadaver obtained from the Visible Human Project, the diaphragm is reconstructed and, from the corresponding solid object, a shell finite element mesh is generated and used in several analyses performed with the ABAQUS 6.7 software. These analyses consider the direction of the muscle fibres and the incompressibility of the tissue. The constitutive model for the isotropic strain energy as well as the passive and active strain energy stored in the fibres is adapted from Humphrey's model for cardiac muscles. Furthermore, numerical results for the diaphragmatic floor under pressure and active contraction in normal and pathological cases are presented.

Residential property loans and performance during property price booms: evidence from European banks

Understanding the performance of banks is of the utmost relevance, because of the impact of this sector on economic growth and financial stability. Of all the different assets that make up a bank portfolio, the residential mortgage loans constitute one of its main. Using the dynamic panel data method, we analyse the influence of residential mortgage loans on bank profitability and risk, using a sample of 555 banks in the European Union (EU-15), over the period from 1995 to 2008. We find that banks with larger weights of residential mortgage loans show lower credit risk in good times. This result explains why banks rush to lend on property during booms due to the positive effects it has on credit risk. The results show further that credit risk and profitability are lower during the upturn in the residential property price cycle. The results also reveal the existence of a non-linear relationship (U-shaped marginal effect), as a function of bank’s risk, between profitability and the residential mortgage loans exposure. For those banks that have high credit risk, a large exposure of residential mortgage loans is associated with higher risk-adjusted profitability, through lower risk. For banks with a moderate/low credit risk, the effects of higher residential mortgage loan exposure on its risk-adjusted profitability are also positive or marginally positive.

Analysis of functionally graded sandwich plate structures with piezoelectric skins, using B-spline finite strip method

Functionally graded materials are composite materials wherein the composition of the constituent phases can vary in a smooth continuous way with a gradation which is function of its spatial coordinates. This characteristic proves to be an important issue as it can minimize abrupt variations of the material properties which are usually responsible for localized high values of stresses, and simultaneously providing an effective thermal barrier in specific applications. In the present work, it is studied the static and free vibration behaviour of functionally graded sandwich plate type structures, using B-spline finite strip element models based on different shear deformation theories. The effective properties of functionally graded materials are estimated according to Mori-Tanaka homogenization scheme. These sandwich structures can also consider the existence of outer skins of piezoelectric materials, thus achieving them adaptive characteristics. The performance of the models, are illustrated through a set of test cases. (C) 2012 Elsevier Ltd. All rights reserved.

Efeitos imediatos da mobilização com movimento na dor, Amplitude de movimento e actividade electromiográfica dos músculos da cintura escapular em indivíduos com síndrome do conflito subacromial

Introdução: A síndrome do conflito subacromial (SCSA) é a causa mais frequente de dor no ombro. Alterações na cinemática escapuloumeral e na activação dos músculos escapulares têm sido identificadas em pessoas com SCSA. A mobilização com movimento (MWM) é uma técnica de terapia manual, desenvolvida por Mulligan, que visa normalizar a cinemática articular. Objectivos: Determinar os efeitos imediatos da MWM na dor, na amplitude de movimento (ADM) de abdução no plano da escápula (APE), e na amplitude do sinal electromiográfico (EMG) do trapézio e grande dentado (GD), em pessoas com SCSA. Métodos: Foram incluídas no estudo 24 pessoas com SCSA, divididas de forma aleatória em 2 grupos de 12, MWM e Placebo. As medidas de resultados avaliadas foram: a dor nos testes de Neer e Hawkins-Kennedy; o limiar de dor à pressão; a ADM de APE até ao início da dor; e a percentagem da contracção isométrica voluntária máxima dos músculos trapézio (superior, médio e inferior) e GD. Resultados: A aplicação da MWM resultou numa significativa diferença, com redução da dor, no teste de Hawkins-Kennedy (p=0,028), num aumento do limiar de dor à pressão (p=0,002) e da ADM de APE até ao início da dor (p=0,010), e numa diminuição da actividade EMG do trapézio superior (TS), na fase concêntrica, abaixo dos 90˚ (p=0,028), comparativamente ao grupo Placebo. Foi, ainda, identificada uma diminuição estatisticamente significativa da actividade EMG do TS, nas restantes fases do movimento (p<0,05), um aumento do limiar de dor à pressão (p<0,001) e da ADM até ao início da dor (p=0,006) entre, antes e após a intervenção com MWM. Conclusão: A MWM poderá ser uma técnica efectiva em indivíduos com SCSA, pelos seus efeitos na redução de dor, aumento de ADM até ao início da dor e diminuição da actividade EMG do TS.

Efeitos imediatos da mobilização com movimento da rotação medial da tibio-femural m movimento da rot e movimento, em ind com flexão do joelho, na dor e na amplitude de movimento, em indivíduos com síndrome s da mobilização com dor e na amplitude de patelo-femural

Introdução: O síndrome patelo-femural é uma das disfunções músculo-esqueléticas mais comuns ao nível do joelho. É de etiologia multifatorial, sendo a rotação lateral da tíbia um dos fatores contribuintes, sendo que pode potenciar alterações da biomecânica da articulação patelo-femural por aumentar as forças de reação sobre a articulação. Brian Mulligan sugere que a técnica para a correção da rotação lateral da tíbia pode ser benéfica no alívio da dor e no aumento da amplitude de flexão do joelho, em pacientes com síndrome patelo-femural, apesar da evidência acerca da efetividade desta técnica ser ainda escassa. Objetivo: Avaliar os efeitos da técnica de mobilização com movimento de rotação medial da tíbio-femural com flexão do joelho, ao nível da intensidade da dor e da amplitude de movimento de flexão do joelho, durante o agachamento, em indivíduos com síndrome patelo-femural. Métodos: Estudo experimental, com uma amostra constituída por 20 estudantes universitários, do género feminino, com síndrome patelo-femural e dor ao agachamento bilateral. Estes foram distribuídos aleatoriamente por dois grupos: experimental (intervenção com técnica de mobilização com movimento) e placebo (intervenção placebo). Foram avaliadas a amplitude de flexão do joelho com um goniómetro eletrónico (Biometrics®) e a intensidade de dor com a Escala Visual Analógica, durante o agachamento bilateral, antes e imediatamente após as respetivas intervenções. O nível de significância foi de 0,05. Resultados: A realização da Análise da Covariância revelou que, relativamente à intensidade da dor, foi possível constatar que existiram diferenças significativas entre os dois grupos (p<0,001). Entre a avaliação inicial e a final, o grupo experimental diminuiu mais 2,1cm na Escala Visual Analógica do que o grupo placebo. Em relação à avaliação da amplitude articular, foi possível constatar que, existiram diferenças significativas, entre os dois grupos (p=0,004). Entre a avaliação inicial e a final, o grupo experimental teve mais 8,6º de aumento na amplitude articular do que o grupo placebo. Conclusão: Para indivíduos com síndrome patelo-femural, a técnica de mobilização com movimento para correção da rotação lateral da tíbia, parece ser benéfica no alívio da dor e no ganho de amplitude de flexão do joelho, analisando o movimento de agachamento bilateral.

Efeitos imediatos de um Sustained Natural Apophyseal Glide na atividade muscular dos eretores espinhais, na dor e na amplitude de flexão, em indivíduos com dor lombar crónica não específica

Introdução: O Sustained Natural Apophyseal Glide tem sido sugerido como uma técnica com potenciais benefícios na redução da dor e no aumento da amplitude de flexão lombar em indivíduos com dor lombar. Contudo, não existe evidência sobre esta técnica na atividade muscular dos eretores espinhais. Objetivo: Avaliar os efeitos imediatos de um Sustained Natural Apophyseal Glide na atividade muscular dos eretores espinhais, na intensidade da dor e na amplitude real de flexão lombar, em indivíduos com dor lombar crónica não específica. Métodos: Estudo experimental com uma amostra de 20 estudantes universitários, com dor lombar crónica não específica e com dor à flexão da coluna lombar, que foram aleatoriamente distribuídos em dois grupos: experimental - Sustained Natural Apophyseal Glide e placebo – intervenção placebo. Foram avaliadas a atividade muscular dos eretores espinhais recorrendo à eletromiografia de superfície (bioPLUX research®), a intensidade da dor através da Escala Visual Analógica e a amplitude real de flexão lombar pelo método de duplo inclinómetro (Universal Inclinometer®), antes e após a intervenção, pela análise do movimento de flexão-extensão do tronco. O nível de significância foi de 0,05. Resultados: Foram encontradas diferenças significativas, em ambos os grupos, para a fase de relaxamento (Grupo experimental: p=0,013 e Grupo placebo: p=0,047), assim como para a fase de extensão, no grupo experimental (p=0,037), verificando-se uma diminuição da atividade muscular da baseline para a avaliação final. A Análise da Covariância revelou que, relativamente à intensidade da dor, verificaram-se diferenças significativas entre os dois grupos (p=0,002), sendo que o grupo experimental diminuiu mais 2cm na Escala Visual Analógica do que o grupo placebo. Pela análise da amplitude real de flexão lombar, embora o aumento não fosse significativamente diferente entre os grupos (p=0,086), o grupo experimental teve mais 1,7º de aumento do que o grupo placebo. Conclusão: Os resultados sugerem que, a curto prazo, o Sustained Natural Apophyseal Glide parece produzir um efeito significativo na diminuição da atividade muscular dos eretores espinhais, durante o movimento dinâmico de extensão do tronco, assim como no alívio da dor. Embora não se tenham observado alterações significativas no aumento da amplitude articular, os resultados no grupo experimental foram superiores à diferença mínima detetável, sugerindo um efeito positivo da técnica aplicada.

Tensile behaviour of a structural adhesive at high temperatures by the extended finite element method

Component joining is typically performed by welding, fastening, or adhesive-bonding. For bonded aerospace applications, adhesives must withstand high-temperatures (200°C or above, depending on the application), which implies their mechanical characterization under identical conditions. The extended finite element method (XFEM) is an enhancement of the finite element method (FEM) that can be used for the strength prediction of bonded structures. This work proposes and validates damage laws for a thin layer of an epoxy adhesive at room temperature (RT), 100, 150, and 200°C using the XFEM. The fracture toughness (G Ic ) and maximum load ( ); in pure tensile loading were defined by testing double-cantilever beam (DCB) and bulk tensile specimens, respectively, which permitted building the damage laws for each temperature. The bulk test results revealed that decreased gradually with the temperature. On the other hand, the value of G Ic of the adhesive, extracted from the DCB data, was shown to be relatively insensitive to temperature up to the glass transition temperature (T g ), while above T g (at 200°C) a great reduction took place. The output of the DCB numerical simulations for the various temperatures showed a good agreement with the experimental results, which validated the obtained data for strength prediction of bonded joints in tension. By the obtained results, the XFEM proved to be an alternative for the accurate strength prediction of bonded structures.

Jurassic micropaleontology of the Grand Banks

Jurassic foraminifera in the marine deposits (up to 3km thick) of the Grand Banks of Newfoundland define eight biostratigraphic zones of Pliensbachian through Tithonian age. Jurassic marine deposition (~4cm/10k.y) kept pace with subsidence resulting in a relatively continuous, shallow marine sedimentation pattern. Central Grand Banks subsidence ceased in Late Jurassic time and the area became emergent with erosion taking place until Albian time. Grand Banks Jurassic foraminiferal assemblages are of a distinctly Old World affinity reflecting the contracted early Atlantic paleogeography. Compositional differences with Portuguese Middle-Late Jurassic microfauna are probably related to differences in depositional history of the Portuguese and Grand Banks Basin.

Feasibility of the extended finite element method for the simulation of composite bonded joints

Adhesive-bonding for the unions in multi-component structures is gaining momentum over welding, riveting and fastening. It is vital for the design of bonded structures the availability of accurate damage models, to minimize design costs and time to market. Cohesive Zone Models (CZM’s) have been used for fracture prediction in structures. The eXtended Finite Element Method (XFEM) is a recent improvement of the Finite Element Method (FEM) that relies on traction-separation laws similar to those of CZM’s but it allows the growth of discontinuities within bulk solids along an arbitrary path, by enriching degrees of freedom. This work proposes and validates a damage law to model crack propagation in a thin layer of a structural epoxy adhesive using the XFEM. The fracture toughness in pure mode I (GIc) and tensile cohesive strength (sn0) were defined by Double-Cantilever Beam (DCB) and bulk tensile tests, respectively, which permitted to build the damage law. The XFEM simulations of the DCB tests accurately matched the experimental load-displacement (P-d) curves, which validated the analysis procedure.

Strength prediction of single- and double-lap joints by standard and extended finite element modelling

The structural integrity of multi-component structures is usually determined by the strength and durability of their unions. Adhesive bonding is often chosen over welding, riveting and bolting, due to the reduction of stress concentrations, reduced weight penalty and easy manufacturing, amongst other issues. In the past decades, the Finite Element Method (FEM) has been used for the simulation and strength prediction of bonded structures, by strength of materials or fracture mechanics-based criteria. Cohesive-zone models (CZMs) have already proved to be an effective tool in modelling damage growth, surpassing a few limitations of the aforementioned techniques. Despite this fact, they still suffer from the restriction of damage growth only at predefined growth paths. The eXtended Finite Element Method (XFEM) is a recent improvement of the FEM, developed to allow the growth of discontinuities within bulk solids along an arbitrary path, by enriching degrees of freedom with special displacement functions, thus overcoming the main restriction of CZMs. These two techniques were tested to simulate adhesively bonded single- and double-lap joints. The comparative evaluation of the two methods showed their capabilities and/or limitations for this specific purpose.

On lattices from combinatorial game theory modularity and a representation theorem: finite case

We show that a self-generated set of combinatorial games, S. may not be hereditarily closed but, strong self-generation and hereditary closure are equivalent in the universe of short games. In [13], the question "Is there a set which will give a non-distributive but modular lattice?" appears. A useful necessary condition for the existence of a finite non-distributive modular L(S) is proved. We show the existence of S such that L(S) is modular and not distributive, exhibiting the first known example. More, we prove a Representation Theorem with Games that allows the generation of all finite lattices in game context. Finally, a computational tool for drawing lattices of games is presented. (C) 2014 Elsevier B.V. All rights reserved.