Fuzzy Monte Carlo model for transmission power systems reliability based decision making

This thesis presents the Fuzzy Monte Carlo Model for Transmission Power Systems Reliability based studies (FMC-TRel) methodology, which is based on statistical failure and repair data of the transmission power system components and uses fuzzyprobabilistic modeling for system component outage parameters. Using statistical records allows developing the fuzzy membership functions of system component outage parameters. The proposed hybrid method of fuzzy set and Monte Carlo simulation based on the fuzzy-probabilistic models allows catching both randomness and fuzziness of component outage parameters. A network contingency analysis to identify any overloading or voltage violation in the network is performed once obtained the system states. This is followed by a remedial action algorithm, based on Optimal Power Flow, to reschedule generations and alleviate constraint violations and, at the same time, to avoid any load curtailment, if possible, or, otherwise, to minimize the total load curtailment, for the states identified by the contingency analysis. For the system states that cause load curtailment, an optimization approach is applied to reduce the probability of occurrence of these states while minimizing the costs to achieve that reduction. This methodology is of most importance for supporting the transmission system operator decision making, namely in the identification of critical components and in the planning of future investments in the transmission power system. A case study based on Reliability Test System (RTS) 1996 IEEE 24 Bus is presented to illustrate with detail the application of the proposed methodology.

IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility

National inflation rates reflect domestic and international (regional and global) influences. The relative importance of these components remains a controversial empirical issue. We extend the literature on inflation co-movement by utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously determined regional groupings. We find that most of inflation variability is explained by the country specific disturbance term. Nevertheless, the contribution of the global component in explaining industrialised countries’ inflation rates has increased over time.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

Macroeconomic shocks and the business cycle: evidence from a structural factor model

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Policy matters, Both monetary and fiscal policy shocks have sizeable effects on output and prices, with little evidence of crowding out; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian "cleansing" view of recessions.

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

La personnalité comme facteur prédictif des symptômes comportementaux et psychologiques chez les patients qui présentent des troubles cognitifs légers

Background and Aims: Both personality changes and behavioural and psychological symptoms (BPS) may be associated with mild cognitive impairment (MCI) in later life and help identify incipient dementia. We wished to investigate the links between personality and BPS in MCI. Method: We studied premorbid personality traits as estimated five years back and their changes in 83 control subjects and 52 MCI patients using the NEO-PI-R for the Five-Factor Model completed by a proxy. Information on BPS was obtained using the Neuropsychiatrie Inventory (NPI). Analyses were controlled for current depression and anxiety. Results: premorbid neuroticism and openness to experience were associated with the total NPI score. The changes in neuroticism, extraversion, openness to experiences, and conscientiousness were associated with apathy and affective symptoms. Conclusions: Personality changes and BPS occur in MCI. The occurrence of affective BPS and apathy is associated with both premorbid personality and their changes. - Cette thèse a eu pour objectif d'étudier l'impact des traits de la personnalité sur le développement de symptômes comportementaux et psychologiques (SCP) chez des personnes qui présentent de troubles cognitifs légers (Mild Cognitive Impairment ou MCI) par rapport à un groupe de sujets contrôle en bonne santé sans troubles cognitifs. Cette thèse s'est s'inserite dans une étude plus large regroupant des aspects neuropsychologiques, génétiques et des marqueurs structuraux cérébraux d'imagerie chez les mêmes participants. La découverte d'un MCI a un impact important en soulevant la question d'éventuels traitements préventifs et de modification du cours d'un trouble ou d'une maladie sous-jacente. Les manifestations cliniques, notamment les SCP, sont source de souffrance chez le patient et les proches et la première cause d'institutionnalisation. Connaître les liens entre la personnalité et les SCP chez les patients qui présentent un MCI s'avère primordial si l'on veut les détecter précocement et favoriser un traitement mieux adapté, tant pharmacologique que psychothérapeutique, pour tenter de freiner leur impact sur l'évolution de la maladie. Nous avons comparé 52 patients MCI avec 83 sujets contrôles. La personnalité au moment de l'étude et estimée rétrospectivement à cinq ans en arrière a été évalué par un proche à l'aide du NEO-PI-R, principal instrument basé sur le Five Factor Model. Pour évaluer la présence de SCP nous avons utilisé l'inventaire neuropsychiatrique (NPI-Q). Les analyses ont étés contrôlées en tenant compte des principales variables confondantes. Le groupe MCI présente des traits de personnalité prémorbide différents de ceux des participants contrôles avec des niveaux inférieurs d'ouverture à l'expérience, d'agréabilité et de conscience. Les changements de personnalité sont marqués chez les MCI avec une augmentation du névrosisme et une diminution de l'extraversion et de la conscience. La personnalité est restée stable chez le groupe contrôle. Le groupe MCI présente souvent des SCP, en particulier des symptômes affectifs (dépression, anxiété, irritabilité, troubles du sommeil) et de l'apathie tandis que les SCP sont presqu'inexistantes chez le groupe contrôle. Les valeurs de névrosisme plus élevés et l'ouverture à l'expérience plus basses sont associées à la présence de SCP. En plus, le changement de la personnalité, à savoir l'augmentation du névrosisme et la diminution de conscience sont associées à la présence de SCP, aux symptômes affectifs et à l'apathie. La diminution d'extraversion et d'ouverture à l'expérience sont associées à la présence de SCP, aux symptômes affectifs mais pas à l'apathie. Cette étude montre que la personnalité change déjà au stade de MCI et que l'apparition des SCP affectifs et de l'apathie est précoce. Certains profils prémorbides et changements de personnalité sont associés à la présence de SCP. L'évaluation de ces changements peut favoriser le diagnostic précoce des troubles cognitifs. Des études prospectives sur des patients MCI sont essentielles afin d'approfondir la compréhension des facteurs de risque liés à la personnalité sur le déclin cognitif et les SCP associés.

The hierarchical structures of the NEO-PI-R and the 16PF5

The present study compares the higher-level dimensions and the hierarchical structures of the fifth edition of the 16 PF with those of the NEO PI-R. Both inventories measure personality according to five higher-level dimensions. These inventories were however constructed according to different methods (bottom-up vs. top-down). 386 participants filled out both questionnaires. Correlations, regressions and canonical correlations made it possible to compare the inventories. As expected they roughly measure the same aspects of personality. There is a coherent association among four of the five dimensions measured in the tests. However Agreeableness, the remaining dimension in the NEO PI-R, is not represented in the 16 PF 5. Our analyses confirmed the hierarchical structures of both instruments, but this confirmation was more complete in the case of the NEO PI-R. Indeed, a parallel analysis indicated that a four-factor solution should be considered in the case of the 16 PF 5. On the other hand, the NEO PI-R's five-factor solution was confirmed. The top-down construction of this instrument seems to make for a more legible structure. Of the two five-dimension constructs, the NEO PI-R thus seems the more reliable. This confirms the relevance of the Five Factor Model of personality.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

The Inaccuracy of National Character Stereotypes

Consensual stereotypes of some groups are relatively accurate, whereas others are not. Previous work suggesting that national character stereotypes are inaccurate has been criticized on several grounds. In this article we (a) provide arguments for the validity of assessed national mean trait levels as criteria for evaluating stereotype accuracy and (b) report new data on national character in 26 cultures from descriptions (N = 3323) of the typical male or female adolescent, adult, or old person in each. The average ratings were internally consistent and converged with independent stereotypes of the typical culture member, but were weakly related to objective assessments of personality. We argue that this conclusion is consistent with the broader literature on the inaccuracy of national character stereotypes.

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Career interventions for adults frequently include personality assessment. Personality in career counseling contexts should no longer be considered as vocational personality associated with personality interests but, rather, as a set of dispositions that has an impact on several vocational and career-related outcomes, such as work engagement, work satisfaction, job performance, etc. Although the relationship between personality and the vocational and career related outcomes is not direct, it might certainly be mediated by several regulatory processes, such as work adaptability, and moderated by contextual and environmental factors. Personality assessment initiates an individual's self-regulatory process and contributes to the overall effectiveness of career interventions when feedback is individualized and stimulates a deconstruction, reconstruction, and co-construction of the vocational or multiple self-concept. Personality assessments can also promote the reconstruction of a self-concept more aligned with the perception of the environment about the personality of the counselee, strengthening the reality principle allowing more rational and controlled choices. In addition, some specific personality profiles, such as having high levels of neuroticism and low levels of conscientiousness, can be considered as risk factors frequently leading to career decision-making difficulties. Moreover, people with low conscientiousness benefit less from career interventions, so special attention should be devoted to counselees having that characteristic. Two case studies are provided to illustrate these important aspects of personality assessment in career interventions.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Étude des résultats des traitements psychosociaux auprès de jeunes adultes présentant un premier épisode psychotique : influence des traits de personnalité

L'objectif général de cette thèse est d'examiner le lien entre les traits de personnalité évalués selon l'approche des cinq facteurs et les résultats des traitements psychosociaux auprès de jeunes adultes présentant un premier épisode psychotique. Afin d'atteindre cet objectif, 129 personnes ont été recrutées à participer à une étude expérimentale randomisée. Les participants ont été assignés soit à un groupe de thérapie cognitive-comportementale, soit à un groupe d'entraînement aux habiletés sociales visant la gestion des symptômes, soit à une liste d'attente. Les participants ont complété pré- et post-traitement le Questionnaire bref de personnalité NEO Révisé (Costa & McCrae, 1992), l'Échelle abrégée d'évaluation psychiatrique (Lukoff et al., 1986; Ventura et al., 1993) et l'Échelle d'adaptation cybernétique (Edwards & Baglioni, 1993). Dans le premier article, les profils de personnalité et la stabilité temporelle des traits de personnalité des jeunes adultes présentant un premier épisode psychotique ont été étudiés. Les résultats révèlent différents profils de personnalité et une stabilité des traits de personnalité. Dans le second article, les profils de personnalité et la valeur prédictive des traits de personnalité ou des profils sur les résultats thérapeutiques ont été investigués. Les résultats révèlent aussi différents profils de personnalité, aucun spécifiquement lié aux symptômes. Aucun lien n'a pu être rapporté entre les traits de personnalité et l'amélioration symptomatologique. Toutefois, les traits de personnalité et les profils sont liés à l'amélioration des stratégies actives d'adaptation. Dans le dernier article, la valeur prédictive des traits de personnalité sur les résultats thérapeutiques selon le groupe de traitement spécifique a été étudiée. Les résultats démontrent un lien entre les traits de personnalité et l'amélioration symptomatologique et des stratégies d'adaptation selon le traitement. Les traits de personnalité sont particulièrement liés aux résultats thérapeutiques des stratégies actives d'adaptation. Cette thèse contribue à l'avancement des connaissances en se penchant sur l'importance des traits de personnalité dans le traitement psychosocial des jeunes adultes présentant un premier épisode psychotique et en soulignant la nécessité d'étudier davantage les différences individuelles de la personnalité de cette clientèle. Les implications cliniques des résultats et les recommandations pour la recherche sont présentées.

Epidemiología de pacientes atendidos por uso de sustancias psicoactivas en el servicio de Toxicología de Colsubsidio 2011-2012

Introducción: Es una necesidad para los países del mundo, tener información epidemiológica mucho más precisa y oportuna sobre las sustancias psicoactivas (SPA), partiendo del conocimiento científico de porqué unas personas abusan de las sustancias y otras no. El objetivo de investigación es establecer el perfil epidemiológico y evolución de los pacientes consumidores de SPA que acuden al servicio de toxicología de Colsubsidio durante el 2011 y 2012. Caracterizar la población, identificar su patrón de consumo y explorar las tendencias, para poder generar estrategias dirigidas de atención y prevención. Metodología: Estudio descriptivo observacional exploratorio retrospectivo. 610 historias clínicas fueron analizadas para variables epidemiológicas y clínicas, por medio de análisis univariados acorde al tipo de variable y análisis bivariados exploratorios en los cuales se compararon proporciones. Resultados: Se evaluaron un total de 610 pacientes, 475 hombres y 135 mujeres. El promedio de edad, la mediana y la moda fue de 24,9, 17 y 16 años respectivamente; la mayoría solteros y cursando bachillerato; la mayoría menores de 18 años fueron remitidos por ICBF y psiquiatría. Los patrones de abuso y dependencia representaron los porcentajes más elevados. Las sustancias más consumidas fueron marihuana, etanol y tabaco. El tratamiento para el 44,3% de los pacientes fue valoración por especialidades, seguido de básico (33,1%), y sólo 1,1% asistieron para prevención en el consumo de SPA. Discusión: Es necesario dirigir los esfuerzos y recursos a la generación de campañas de diagnóstico temprano y prevención en el consumo de SPA principalmente para la población adolescente.