The Size Distribution of US Banks and Credit Unions

This study examines the firm size distribution of US banks and credit unions. A truncated lognormal distribution describes the size distribution, measured using assets data, of a large population of small, community-based commercial banks. The size distribution of a smaller but increasingly dominant cohort of large banks, which operate a high-volume low-cost retail banking model, exhibits power-law behaviour. There is a progressive increase in skewness over time, and Zipf’s Law is rejected as a descriptor of the size distribution in the upper tail. By contrast, the asset size distribution of the population of credit unions conforms closely to the lognormal distribution.

Simulating reinforced concrete members. Part 1: partial interaction properties

Reinforced concrete members are extremely complex under loading because of localised deformations in the concrete (cracks, sliding planes) and between the reinforcement and concrete (slip). An ideal model for simulating behaviour of reinforced concrete members should incorporate both global behaviour and the localised behaviours that are seen and measured in practice; these localised behaviours directly affect the global behaviour. Most commonly used models do not directly simulate these localised behaviours that can be seen or measured in real members; instead, they overcome these limitations by using empirically or semi-empirically derived strain-based pseudo properties such as the use of effective flexural rigidities for deflection; plastic hinge lengths for strength and ductility; and energy-based approaches for both concrete softening in compression and concrete softening after tensile cracking to allow for tension stiffening. Most reinforced concrete member experimental testing is associated with deriving these pseudo properties for use in design and analysis, and this component of development is thus costly. The aim of the present research is to reduce this cost substantially. In this paper, localised material behaviours and the mechanisms they induce are described. Their incorporation into reinforced concrete member behaviour without the need for empirically derived pseudo properties is described in a companion paper.

Generate disaggregated soil allocation data using a Minimum Cross Entropy Model

Montado ecosystem in the Alentejo Region, south of Portugal, has enormous agro-ecological and economics heterogeneities. A definition of homogeneous sub-units among this heterogeneous ecosystem was made, but for them is disposal only partial statistical information about soil allocation agro-forestry activities. The paper proposal is to recover the unknown soil allocation at each homogeneous sub-unit, disaggregating a complete data set for the Montado ecosystem area using incomplete information at sub-units level. The methodological framework is based on a Generalized Maximum Entropy approach, which is developed in thee steps concerning the specification of a r order Markov process, the estimates of aggregate transition probabilities and the disaggregation data to recover the unknown soil allocation at each homogeneous sub-units. The results quality is evaluated using the predicted absolute deviation (PAD) and the "Disagegation Information Gain" (DIG) and shows very acceptable estimation errors.

Spectral solution for the air stripping pollutants removal dynamic model with non linear steady state conditions

This work deals with the numerical simulation of air stripping process for the pre-treatment of groundwater used in human consumption. The model established in steady state presents an exponential solution that is used, together with the Tau Method, to get a spectral approach of the solution of the system of partial differential equations associated to the model in transient state.

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Rating corporate groups a modelling experience

This paper aims to provide a model that allows BPI to measure the credit risk, through its rating scale, of the subsidiaries included in the corporate groups who are their clients. This model should be simple enough to be applied in practice, accurate, and must give consistent results in comparison to what have been the ratings given by the bank. The model proposed includes operational, strategic, and financial factors and ends up giving one of three results: no support, partial support, or full support from the holding to the subsidiary, and each of them translates in adjustments in each subsidiary’s credit rating. As it would be expectable, most of the subsidiaries should have the same credit rating of its parent company.

Comparative analysis of Spanish Banks’ Standalone credit profile

The paper studies the relationship between four differently rated bank’s financial profile and their standalone credit rating issued by Moody’s. The comparative analysis shows an example that despite their pricing power and geographical coverage, larger banks do not necessarily have better credit ratings. Instead, business model and risk appetite seem to be the defining factors of banks’ vulnerability to shocks, such as the Spanish real estate crisis. The risk-return relationship is also identified in the banks’ fundamentals meaning that while expansionary strategy in riskier asset classes enhances margins, it also potentially distorts the credit risk profile.

A new credit monitoring framework for agents' networks

The purpose of this work is to develop a practicable approach for Telecom firms to manage the credit risk exposition to their commercial agents’ network. Particularly it will try to approach the problem of credit concession to clients’ from a corporation perspective and explore the particular scenario of agents that are part of the commercial chain of the corporation and therefore are not end-users. The agents’ network that served as a model for the presented study is composed by companies that, at the same time, are both clients and suppliers of the Telecommunication Company. In that sense the credit exposition analysis must took into consideration all financial fluxes, both inbound and outbound. The current strain on the Financial Sector in Portugal, and other peripheral European economies, combined with the high leverage situation of most companies, generates an environment prone to credit default risk. Due to these circumstances managing credit risk exposure is becoming increasingly a critical function for every company Financial Department. The approach designed in the current study combined two traditional risk monitoring tools: credit risk scoring and credit limitation policies. The objective was to design a new credit monitoring framework that is more flexible, uses both external and internal relationship history to assess risk and takes into consideration commercial objectives inside the agents’ network. Although not explored at length, the blueprint of a Credit Governance model was created for implementing the new credit monitoring framework inside the telecom firm. The Telecom Company that served as a model for the present work decided to implement the new Credit Monitoring framework after this was presented to its Executive Commission.

Functional and histopathological identification of the respiratory failure in a DMSXL transgenic mouse model of myotonic dystrophy.

Acute and chronic respiratory failure is one of the major and potentially life-threatening features in individuals with myotonic dystrophy type 1 (DM1). Despite several clinical demonstrations showing respiratory problems in DM1 patients, the mechanisms are still not completely understood. This study was designed to investigate whether the DMSXL transgenic mouse model for DM1 exhibits respiratory disorders and, if so, to identify the pathological changes underlying these respiratory problems. Using pressure plethysmography, we assessed the breathing function in control mice and DMSXL mice generated after large expansions of the CTG repeat in successive generations of DM1 transgenic mice. Statistical analysis of breathing function measurements revealed a significant decrease in the most relevant respiratory parameters in DMSXL mice, indicating impaired respiratory function. Histological and morphometric analysis showed pathological changes in diaphragmatic muscle of DMSXL mice, characterized by an increase in the percentage of type I muscle fibers, the presence of central nuclei, partial denervation of end-plates (EPs) and a significant reduction in their size, shape complexity and density of acetylcholine receptors, all of which reflect a possible breakdown in communication between the diaphragmatic muscles fibers and the nerve terminals. Diaphragm muscle abnormalities were accompanied by an accumulation of mutant DMPK RNA foci in muscle fiber nuclei. Moreover, in DMSXL mice, the unmyelinated phrenic afferents are significantly lower. Also in these mice, significant neuronopathy was not detected in either cervical phrenic motor neurons or brainstem respiratory neurons. Because EPs are involved in the transmission of action potentials and the unmyelinated phrenic afferents exert a modulating influence on the respiratory drive, the pathological alterations affecting these structures might underlie the respiratory impairment detected in DMSXL mice. Understanding mechanisms of respiratory deficiency should guide pharmaceutical and clinical research towards better therapy for the respiratory deficits associated with DM1.

A model of dynamic liquidity contracts

I study long-term financial contracts between lenders and borrowers in the absence of perfect enforceability and when both parties are credit constrained. Borrowers repeatedly have projects to undertake and need external financing. Lenders can commit to contractual agreements whereas borrowers can renege any period. I show that equilibrium contracts feature interesting dynamics: the economy exhibits efficient investment cycles; absence of perfect enforcement and shortage of capital skew the cycles toward states of liquidity drought; credit is rationed if either the lender has too little capital or if the borrower has too little collateral. This paper's technical contribution is its demonstration of the existence and characterization of financial contracts that are solutions to a non-convex dynamic programming problem.

Impact of (pro)renin receptor deficiency in adipose tissue using a genetically engineered mouse model

La stimulation du récepteur de la rénine/prorénine [(P) RR], un membre récemment découvert du système rénine-angiotensine (SRA), augmente l'activité du SRA et des voies de signalisation angiotensine II-indépendante. Pour étudier l'impact potentiel du (P)RR dans le développement de l`obésité, nous avons émis l'hypothèse que les souris déficientes en (P)RR uniquement dans le tissus adipeux (KO) auront une diminution du poids corporel en ciblant le métabolisme du tissu adipeux, l'activité locomoteur et/ou la prise alimentaire. Ainsi, des souris KO ont été générées en utilisant la technologie Cre/Lox. Le gain de poids et la prise alimentaire ont été évalués hebdomadairement dans les mâles et femelles KO et de type sauvage (WT) pendant 4 semaines alors qu’ils étaient maintenu sur une diète normal. De plus, un groupe de femelles a été placé pour 6 semaines sur une diète riche en gras et en glucides (HF/HC). La composition corporelle et l'activité ambulatoire ont été évaluées par l’EchoMRI et à l’aide de cages Physioscan, respectivement. Les tissus adipeux ont été prélevés et pesés. De plus, les gras péri-gonadaux ont été utilisés pour le microarray. Finalement, le niveaux d'expression d'ARNm du (P)RR ont été évalués. Comme le gène du (P)RR est situé sur le chromosome X, les mâles étaient des KOs complets et les femelles étaient des KOs partielles. Les souris KO avaient un poids corporel significativement plus petit par rapport à WT, les différences étant plus prononcées chez les mâles. De plus, les femelles KOs étaient résistantes à l'obésité lorsqu'elles ont été placées sur la diète HF/HC et donc elles avaient significativement moins de masse grasse par rapport aux WTs. L’analyse histologique des gras péri-gonadaux des KOs nous ont dévoilés qu’il avait une réduction du nombre d'adipocytes mais de plus grande taille. Bien qu'il n'y ait eu aucun changement dans la consommation alimentaire, une augmentation de près de 3 fois de l'activité ambulatoire a été détectée chez les mâles. De plus, nous avons observé que leurs tibias étaient de longueur réduite ce qui suggère fortement l'affection de leur développement. Les gras péri-gonadaux des souris KO avaient une expression réduite de l`ABLIM2 (Actin binding LIM protein family, member 2) qui est associé avec le diabète de type II chez l'humain. Ainsi, les données recueillies suggèrent fortement que le (P)RR est impliquée dans la régulation du poids corporelle.

Essays in partial identification and applications to treatment effects and policy evaluation.

Dans cette thèse, je me suis interessé à l’identification partielle des effets de traitements dans différents modèles de choix discrets avec traitements endogènes. Les modèles d’effets de traitement ont pour but de mesurer l’impact de certaines interventions sur certaines variables d’intérêt. Le type de traitement et la variable d’intérêt peuvent être défini de manière générale afin de pouvoir être appliqué à plusieurs différents contextes. Il y a plusieurs exemples de traitement en économie du travail, de la santé, de l’éducation, ou en organisation industrielle telle que les programmes de formation à l’emploi, les techniques médicales, l’investissement en recherche et développement, ou l’appartenance à un syndicat. La décision d’être traité ou pas n’est généralement pas aléatoire mais est basée sur des choix et des préférences individuelles. Dans un tel contexte, mesurer l’effet du traitement devient problématique car il faut tenir compte du biais de sélection. Plusieurs versions paramétriques de ces modèles ont été largement étudiées dans la littérature, cependant dans les modèles à variation discrète, la paramétrisation est une source importante d’identification. Dans un tel contexte, il est donc difficile de savoir si les résultats empiriques obtenus sont guidés par les données ou par la paramétrisation imposée au modèle. Etant donné, que les formes paramétriques proposées pour ces types de modèles n’ont généralement pas de fondement économique, je propose dans cette thèse de regarder la version nonparamétrique de ces modèles. Ceci permettra donc de proposer des politiques économiques plus robustes. La principale difficulté dans l’identification nonparamétrique de fonctions structurelles, est le fait que la structure suggérée ne permet pas d’identifier un unique processus générateur des données et ceci peut être du soit à la présence d’équilibres multiples ou soit à des contraintes sur les observables. Dans de telles situations, les méthodes d’identifications traditionnelles deviennent inapplicable d’où le récent développement de la littérature sur l’identification dans les modèles incomplets. Cette littérature porte une attention particuliere à l’identification de l’ensemble des fonctions structurelles d’intérêt qui sont compatibles avec la vraie distribution des données, cet ensemble est appelé : l’ensemble identifié. Par conséquent, dans le premier chapitre de la thèse, je caractérise l’ensemble identifié pour les effets de traitements dans le modèle triangulaire binaire. Dans le second chapitre, je considère le modèle de Roy discret. Je caractérise l’ensemble identifié pour les effets de traitements dans un modèle de choix de secteur lorsque la variable d’intérêt est discrète. Les hypothèses de sélection du secteur comprennent le choix de sélection simple, étendu et généralisé de Roy. Dans le dernier chapitre, je considère un modèle à variable dépendante binaire avec plusieurs dimensions d’hétérogéneité, tels que les jeux d’entrées ou de participation. je caractérise l’ensemble identifié pour les fonctions de profits des firmes dans un jeux avec deux firmes et à information complète. Dans tout les chapitres, l’ensemble identifié des fonctions d’intérêt sont écrites sous formes de bornes et assez simple pour être estimées à partir des méthodes d’inférence existantes.

Patient-specific model of a scoliotic torso for surgical planning

A method for the construction of a patient-specific model of a scoliotic torso for surgical planning via inter- patient registration is presented. Magnetic Resonance Images (MRI) of a generic model are registered to surface topography (TP) and X-ray data of a test patient. A partial model is first obtained via thin-plate spline registration between TP and X-ray data of the test patient. The MRIs from the generic model are then fit into the test patient using articulated model registration between the vertebrae of the generic model’s MRIs in prone position and the test patient’s X-rays in standing position. A non-rigid deformation of the soft tissues is performed using a modified thin-plate spline constrained to maintain bone rigidity and to fit in the space between the vertebrae and the surface of the torso. Results show average Dice values of 0.975 ± 0.012 between the MRIs following inter-patient registration and the surface topography of the test patient, which is comparable to the average value of 0.976 ± 0.009 previously obtained following intra-patient registration. The results also show a significant improvement compared to rigid inter-patient registration. Future work includes validating the method on a larger cohort of patients and incorporating soft tissue stiffness constraints. The method developed can be used to obtain a geometric model of a patient including bone structures, soft tissues and the surface of the torso which can be incorporated in a surgical simulator in order to better predict the outcome of scoliosis surgery, even if MRI data cannot be acquired for the patient.

Studies on Pseudoscalar Meson Bound States and Semileptonic Decays in a Relativistic Potential Model

In this thesis quark-antiquark bound states are considered using a relativistic two-body equation for Dirac particles. The mass spectrum of mesons includes bound states involving two heavy quarks or one heavy and one light quark. In order to analyse these states within a unified formalism, it is desirable to have a two-fermion equation that limits to one body Dirac equation with a static interaction for the light quark when the other particle's mass tends to infinity. A suitable two-body equation has been developed by Mandelzweig and Wallace. This equation is solved in momentum space and is used to describe the complete spectrum of mesons. The potential used in this work contains a short range one-gluon exchange interaction and a long range linear confining and constant potential terms. This model is used to investigate the decay processes of heavy mesons. Semileptonic decays are more tractable since there is no final state interactions between the leptons and hadrons that would otherwise complicate the situation. Studies on B and D meson decays are helpful to understand the nonperturbative strong interactions of heavy mesons, which in turn is useful to extract the details of weak interaction process. Calculation of form factors of these semileptonic decays of pseudo scalar mesons are also presented.

Model of single-electron decay from a strongly isolated quantum dot

Recent measurements of electron escape from a nonequilibrium charged quantum dot are interpreted within a two-dimensional (2D) separable model. The confining potential is derived from 3D self-consistent Poisson-Thomas-Fermi calculations. It is found that the sequence of decay lifetimes provides a sensitive test of the confining potential and its dependence on electron occupation