Optimal Capital Requirements in Financial Networks with Fire Sales

I explore and analyze a problem of finding the socially optimal capital requirements for financial institutions considering two distinct channels of contagion: direct exposures among the institutions, as represented by a network and fire sales externalities, which reflect the negative price impact of massive liquidation of assets.These two channels amplify shocks from individual financial institutions to the financial system as a whole and thus increase the risk of joint defaults amongst the interconnected financial institutions; this is often referred to as systemic risk. In the model, there is a trade-off between reducing systemic risk and raising the capital requirements of the financial institutions. The policymaker considers this trade-off and determines the optimal capital requirements for individual financial institutions. I provide a method for finding and analyzing the optimal capital requirements that can be applied to arbitrary network structures and arbitrary distributions of investment returns.

In particular, I first consider a network model consisting only of direct exposures and show that the optimal capital requirements can be found by solving a stochastic linear programming problem. I then extend the analysis to financial networks with default costs and show the optimal capital requirements can be found by solving a stochastic mixed integer programming problem. The computational complexity of this problem poses a challenge, and I develop an iterative algorithm that can be efficiently executed. I show that the iterative algorithm leads to solutions that are nearly optimal by comparing it with lower bounds based on a dual approach. I also show that the iterative algorithm converges to the optimal solution.

Finally, I incorporate fire sales externalities into the model. In particular, I am able to extend the analysis of systemic risk and the optimal capital requirements with a single illiquid asset to a model with multiple illiquid assets. The model with multiple illiquid assets incorporates liquidation rules used by the banks. I provide an optimization formulation whose solution provides the equilibrium payments for a given liquidation rule.

I further show that the socially optimal capital problem using the ``socially optimal liquidation" and prioritized liquidation rules can be formulated as a convex and convex mixed integer problem, respectively. Finally, I illustrate the results of the methodology on numerical examples and

discuss some implications for capital regulation policy and stress testing.

Methods for Hypothesis Testing in Animal Carcinogenicity Experiments

Thesis (Ph.D.)--University of Washington, 2016-08

Optimal static and sequential design : a critical review

The aim of this thesis is to review and augment the theory and methods of optimal experimental design. In Chapter I the scene is set by considering the possible aims of an experimenter prior to an experiment, the statistical methods one might use to achieve those aims and how experimental design might aid this procedure. It is indicated that, given a criterion for design, a priori optimal design will only be possible in certain instances and, otherwise, some form of sequential procedure would seem to be indicated. In Chapter 2 an exact experimental design problem is formulated mathematically and is compared with its continuous analogue. Motivation is provided for the solution of this continuous problem, and the remainder of the chapter concerns this problem. A necessary and sufficient condition for optimality of a design measure is given. Problems which might arise in testing this condition are discussed, in particular with respect to possible non-differentiability of the criterion function at the design being tested. Several examples are given of optimal designs which may be found analytically and which illustrate the points discussed earlier in the chapter. In Chapter 3 numerical methods of solution of the continuous optimal design problem are reviewed. A new algorithm is presented with illustrations of how it should be used in practice. It is shown that, for reasonably large sample size, continuously optimal designs may be approximated to well by an exact design. In situations where this is not satisfactory algorithms for improvement of this design are reviewed. Chapter 4 consists of a discussion of sequentially designed experiments, with regard to both the philosophies underlying, and the application of the methods of, statistical inference. In Chapter 5 we criticise constructively previous suggestions for fully sequential design procedures. Alternative suggestions are made along with conjectures as to how these might improve performance. Chapter 6 presents a simulation study, the aim of which is to investigate the conjectures of Chapter 5. The results of this study provide empirical support for these conjectures. In Chapter 7 examples are analysed. These suggest aids to sequential experimentation by means of reduction of the dimension of the design space and the possibility of experimenting semi-sequentially. Further examples are considered which stress the importance of the use of prior information in situations of this type. Finally we consider the design of experiments when semi-sequential experimentation is mandatory because of the necessity of taking batches of observations at the same time. In Chapter 8 we look at some of the assumptions which have been made and indicate what may go wrong where these assumptions no longer hold.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

Design of experiment in drug development: optimal allocations in multi-arm clinical trials and design space for multi-step processes

In this thesis, we deal with the design of experiments in the drug development process, focusing on the design of clinical trials for treatment comparisons (Part I) and the design of preclinical laboratory experiments for proteins development and manufacturing (Part II). In Part I we propose a multi-purpose design methodology for sequential clinical trials. We derived optimal allocations of patients to treatments for testing the efficacy of several experimental groups by also taking into account ethical considerations. We first consider exponential responses for survival trials and we then present a unified framework for heteroscedastic experimental groups that encompasses the general ANOVA set-up. The very good performance of the suggested optimal allocations, in terms of both inferential and ethical characteristics, are illustrated analytically and through several numerical examples, also performing comparisons with other designs proposed in the literature. Part II concerns the planning of experiments for processes composed of multiple steps in the context of preclinical drug development and manufacturing. Following the Quality by Design paradigm, the objective of the multi-step design strategy is the definition of the manufacturing design space of the whole process and, as we consider the interactions among the subsequent steps, our proposal ensures the quality and the safety of the final product, by enabling more flexibility and process robustness in the manufacturing.

Chemical looping reforming from methane to syngas: investigation on CeO2 oxygen carrier lifetime and optimal process times

Emissions of CO2 are constantly growing since the beginning of industrial era. Interruption of the production of major emitters sectors (energy and agriculture) is not a viable way and reducing all the emission through carbon capture and storage (CCS) is not economically viable and little publicly accepted, therefore, it becomes fundamentals to take actions like retrofitting already developed infrastructure employing cleanest resources, modify the actual processes limiting the emissions, and reduce the emissions already present through direct air capture. The present thesis will deeply discuss the aspects mentioned in regard to syngas and hydrogen production since they have a central role in the market of energy and chemicals. Among the strategies discussed, greater emphasis is given to the application of looping technologies and to direct air capture processes, as they have been the main point of this work. Particularly, chemical looping methane reforming to syngas was studied with Aspen Plus thermodynamic simulations, thermogravimetric analysis characterization (TGA) and testing in a fixed bed reactor. The process was studied cyclically exploiting the redox properties of a Ce-based oxide oxygen carrier synthetized with a simple forming procedure. The two steps of the looping cycles were studied isothermally at 900 °C and 950° C with a mixture of 10 %CH4 in N2 and of 3% O2 in N2, for carrier reduction and oxidation, respectively. During the stay abroad, in collaboration with the EHT of Zurich, a CO2 capture process in presence of amine solid sorbents was investigated, studying the difference in the performance achievable with the use of contactors of different geometry. The process was studied at two concentrations (382 ppm CO2 in N2 and 5.62% CO2 in N2) and at different flow rates, to understand the dynamics of the adsorption process and to define the mass transfer limiting step.

Development and testing of methodologies for the control and diagnosis of innovative combustion systems

In pursuit of aligning with the European Union's ambitious target of achieving a carbon-neutral economy by 2050, researchers, vehicle manufacturers, and original equipment manufacturers have been at the forefront of exploring cutting-edge technologies for internal combustion engines. The introduction of these technologies has significantly increased the effort required to calibrate the models implemented in the engine control units. Consequently the development of tools that reduce costs and the time required during the experimental phases, has become imperative. Additionally, to comply with ever-stricter limits on 〖"CO" 〗_"2" emissions, it is crucial to develop advanced control systems that enhance traditional engine management systems in order to reduce fuel consumption. Furthermore, the introduction of new homologation cycles, such as the real driving emissions cycle, compels manufacturers to bridge the gap between engine operation in laboratory tests and real-world conditions. Within this context, this thesis showcases the performance and cost benefits achievable through the implementation of an auto-adaptive closed-loop control system, leveraging in-cylinder pressure sensors in a heavy-duty diesel engine designed for mining applications. Additionally, the thesis explores the promising prospect of real-time self-adaptive machine learning models, particularly neural networks, to develop an automatic system, using in-cylinder pressure sensors for the precise calibration of the target combustion phase and optimal spark advance in a spark-ignition engines. To facilitate the application of these combustion process feedback-based algorithms in production applications, the thesis discusses the results obtained from the development of a cost-effective sensor for indirect cylinder pressure measurement. Finally, to ensure the quality control of the proposed affordable sensor, the thesis provides a comprehensive account of the design and validation process for a piezoelectric washer test system.

Doehlert Design-desirability Function Multi-criteria Optimal Separation Of 17 Phenolic Compounds From Extra-virgin Olive Oil By Capillary Zone Electrophoresis.

In Brazil, the consumption of extra-virgin olive oil (EVOO) is increasing annually, but there are no experimental studies concerning the phenolic compound contents of commercial EVOO. The aim of this work was to optimise the separation of 17 phenolic compounds already detected in EVOO. A Doehlert matrix experimental design was used, evaluating the effects of pH and electrolyte concentration. Resolution, runtime and migration time relative standard deviation values were evaluated. Derringer's desirability function was used to simultaneously optimise all 37 responses. The 17 peaks were separated in 19min using a fused-silica capillary (50μm internal diameter, 72cm of effective length) with an extended light path and 101.3mmolL(-1) of boric acid electrolyte (pH 9.15, 30kV). The method was validated and applied to 15 EVOO samples found in Brazilian supermarkets.

Variabilidade da frequência cardíaca após treinamento concorrente : comparação entre homens e mulheres de meia-idade = Heart rate variability after concurrent training : comparison between middle-aged men and women

Universidade Estadual de Campinas . Faculdade de Educação Física

Effect of casting atmosphere on the shear bond strength of a ceramic to Ni-Cr and Ni-Cr-Be alloys

The success of metal-ceramic restorations depends on an optimal bond between metal and ceramic. This study evaluated the effect of 3 casting atmospheres on the metal-ceramic bond strength (MCBS) of 2 Ni-Cr alloys, with beryllium (Fit Cast V) and without beryllium (Fit Cast SB). Sixty acrylic resin patterns (8 mm long and 5 mm diameter) were obtained using a fluorocarbon resin matrix. Wax was used to refine the surface of acrylic resin patterns that were invested and cast in an induction casting machine under normal, vacuum, and argon atmospheres at a temperature of 1340ºC. The castings were divested manually and airborne-particle abraded with 100-µm aluminum-oxide. Ten castings were obtained for each group. The IPS Classic V ceramic was applied (2 mm high and 5 mm diameter). The shear bond strength was tested in a mechanical testing machine with a crosshead speed of 2.0 mm/min. The MCBS data (MPa) were subjected to 2-way analysis of variance (α=0.05). There was no statistically significant difference (p>0.05) between the alloys or among the casting atmospheres. Within the limitations of this study, it may be concluded that the presence of beryllium and the casting atmosphere did not interfere in the MCBS of the evaluated metal-ceramic combinations

Array-CGH testing in spontaneous abortions with normal karyotypes

In about 50% of first trimester spontaneous abortion the cause remains undetermined after standard cytogenetic investigation. We evaluated the usefulness of array-CGH in diagnosing chromosome abnormalities in products of conception from first trimester spontaneous abortions. Cell culture was carried out in short- and long-term cultures of 54 specimens and cytogenetic analysis was successful in 49 of them. Cytogenetic abnormalities (numerical and structural) were detected in 22 (44.89%) specimens. Subsequent, array-CGH based on large insert clones spaced at ~1 Mb intervals over the whole genome was used in 17 cases with normal G-banding karyotype. This revealed chromosome aneuplodies in three additional cases, giving a final total of 51% cases in which an abnormal karyotype was detected. In keeping with other recently published works, this study shows that array-CGH detects abnormalities in a further ~10% of spontaneous abortion specimens considered to be normal using standard cytogenetic methods. As such, array-CGH technique may present a suitable complementary test to cytogenetic analysis in cases with a normal karyotype.

Treadmill exercise testing of asymptomatic men and women without evidence of heart disease

The aim of this study was to test the hypothesis of differences in performance including differences in ST-T wave changes between healthy men and women submitted to an exercise stress test. Two hundred (45.4%) men and 241 (54.6%) women (mean age: 38.7 ± 11.0 years) were submitted to an exercise stress test. Physiologic and electrocardiographic variables were compared by the Student t-test and the chi-square test. To test the hypothesis of differences in ST-segment changes, data were ranked with functional models based on weighted least squares. To evaluate the influence of gender and age on the diagnosis of ST-segment abnormality, a logistic model was adjusted; P < 0.05 was considered to be significant. Rate-pressure product, duration of exercise and estimated functional capacity were higher in men (P < 0.05). Sixteen (6.7%) women and 9 (4.5%) men demonstrated ST-segment upslope ≥0.15 mV or downslope ≥0.10 mV; the difference was not statistically significant. Age increase of one year added 4% to the chance of upsloping of segment ST ≥0.15 mV or downsloping of segment ST ≥0.1 mV (P = 0.03; risk ratio = 1.040, 95% confidence interval (CI) = 1.002-1.080). Heart rate recovery was higher in women (P < 0.05). The chance of women showing an increase of systolic blood pressure ≤30 mmHg was 85% higher (P = 0.01; risk ratio = 1.85, 95%CI = 1.1-3.05). No significant difference in the frequency of ST-T wave changes was observed between men and women. Other differences may be related to different physical conditioning.

Estimating HIV-1 incidence using the serologic testing algorithm for recent HIV infections at HIV counseling and testing centers in the city of São Paulo, Brazil

The network of HIV counseling and testing centers in São Paulo, Brazil is a major source of data used to build epidemiological profiles of the client population. We examined HIV-1 incidence from November 2000 to April 2001, comparing epidemiological and socio-behavioral data of recently-infected individuals with those with long-standing infection. A less sensitive ELISA was employed to identify recent infection. The overall incidence of HIV-1 infection was 0.53/100/year (95% CI: 0.31-0.85/100/year): 0.77/100/year for males (95% CI: 0.42-1.27/100/year) and 0.22/100/ year (95% CI: 0.05-0.59/100/year) for females. Overall HIV-1 prevalence was 3.2% (95% CI: 2.8-3.7%), being 4.0% among males (95% CI: 3.3-4.7%) and 2.1% among females (95% CI: 1.6-2.8%). Recent infections accounted for 15% of the total (95% CI: 10.2-20.8%). Recent infection correlated with being younger and male (p = 0.019). Therefore, recent infection was more common among younger males and older females.

Development and mechanical testing of a short intramedullary nail for fixation of femoral rotational osteotomy in cerebral palsy patients

Background: Rotational osteotomy is frequently indicated to correct excessive femoral anteversion in cerebral palsy patients. Angled blade plate is the standard fixation device used when performed in the proximal femur, but extensile exposure is required for plate accommodation. The authors developed a short locked intramedullary nail to be applied percutaneously in the fixation of femoral rotational osteotomies in children with cerebral palsy and evaluated its mechanical properties. Methods: The study was divided into three stages. In the first part, a prototype was designed and made based on radiographic measurements of the femoral medullary canal of ten-year-old patients. In the second, synthetic femoral models based on rapid-prototyping of 3D reconstructed images of patients with cerebral palsy were obtained and were employed to adjust the nail prototype to the morphological changes observed in this disease. In the third, rotational osteotomies were simulated using synthetic femoral models stabilized by the nail and by the AO-ASIF fixed-angle blade plate. Mechanical testing was done comparing both devices in bending-compression and torsion. Results: The authors observed proper adaptation of the nail to normal and morphologically altered femoral models, and during the simulated osteotomies. Stiffness in bending-compression was significantly higher in the group fixed by the plate (388.97 +/- 57.25 N/mm) than in that fixed by the nail (268.26 +/- 38.51 N/mm) as torsional relative stiffness was significantly higher in the group fixed by the plate (1.07 +/- 0.36 Nm/degrees) than by the nail (0.35 +/- 0.13 Nm/degrees). Conclusions: Although the device presented adequate design and dimension to fit into the pediatric femur, mechanical tests indicated that the nail was less stable than the blade plate in bending-compression and torsion. This may be a beneficial property, and it can be attributed to the more flexible fixation found in intramedullary devices.

Cost effectiveness of OptiMal (R) rapid diagnostic test for malaria in remote areas of the Amazon Region, Brazil

Background: In areas with limited structure in place for microscopy diagnosis, rapid diagnostic tests (RDT) have been demonstrated to be effective. Method: The cost-effectiveness of the Optimal (R) and thick smear microscopy was estimated and compared. Data were collected on remote areas of 12 municipalities in the Brazilian Amazon. Data sources included the National Malaria Control Programme of the Ministry of Health, the National Healthcare System reimbursement table, hospitalization records, primary data collected from the municipalities, and scientific literature. The perspective was that of the Brazilian public health system, the analytical horizon was from the start of fever until the diagnostic results provided to patient and the temporal reference was that of year 2006. The results were expressed in costs per adequately diagnosed cases in 2006 U. S. dollars. Sensitivity analysis was performed considering key model parameters. Results: In the case base scenario, considering 92% and 95% sensitivity for thick smear microscopy to Plasmodium falciparum and Plasmodium vivax, respectively, and 100% specificity for both species, thick smear microscopy is more costly and more effective, with an incremental cost estimated at US$ 549.9 per adequately diagnosed case. In sensitivity analysis, when sensitivity and specificity of microscopy for P. vivax were 0.90 and 0.98, respectively, and when its sensitivity for P. falciparum was 0.83, the RDT was more cost-effective than microscopy. Conclusion: Microscopy is more cost-effective than OptiMal (R) in these remote areas if high accuracy of microscopy is maintained in the field. Decision regarding use of rapid tests for diagnosis of malaria in these areas depends on current microscopy accuracy in the field.