Valor en riesgo del portafolio de TES de los bancos colombianos

En este trabajo se realiza la medición del riesgo de mercado para el portafolio de TES de un banco colombiano determinado, abordando el pronóstico de valor en riesgo (VaR) mediante diferentes modelos multivariados de volatilidad: EWMA, GARCH ortogonal, GARCH robusto, así como distintos modelos de VaR con distribución normal y distribución t-student, evaluando su eficiencia con las metodologías de backtesting propuestas por Candelon et al. (2011) con base en el método generalizado de momentos, junto con los test de independencia y de cobertura condicional planteados por Christoffersen y Pelletier (2004) y por Berkowitz, Christoffersen y Pelletier (2010). Los resultados obtenidos demuestran que la mejor especificación del VaR para la medición del riesgo de mercado del portafolio de TES de los bancos colombianos, es el construido a partir de volatilidades EWMA y basado en la distribución normal, ya que satisface las hipótesis de cobertura no condicional, independencia y cobertura condicional, al igual que los requerimientos estipulados en Basilea II y en la normativa vigente en Colombia.

Efectividad en redes Inter-Organizacionales : una aproximación al concepto y su medición

El concepto de efectividad en Redes Inter-organizacionales se ha investigado poco a pesar de la gran importancia en el desarrollo y sostenibilidad de la red. Es muy importante entender este concepto ya que cuando hablamos de Red, nos referimos a un grupo de más de tres organizaciones que trabajan juntas para alcanzar un objetivo colectivo que beneficia a cada miembro de la red. Esto nos demuestra la importancia de evaluar y analizar este fenómeno “Red Inter-organizacional” de forma más detallada para poder analizar que estructura, formas de gobierno, relaciones entre los miembros y entre otros factores, influyen en la efectividad y perdurabilidad de la Red Inter-organizacional. Esta investigación se desarrolla con el fin de plantear una aproximación al concepto de medición de la efectividad en Redes Inter-organizacionales. El trabajo se centrara en la recopilación de información y en la investigación documental, la cual se realizará por fases para brindarle al lector una mayor claridad y entendimiento sobre qué es Red, Red Inter-Organizacional, Efectividad. Y para finalizar se estudiara Efectividad en una Red Inter-organizacional.

Estructura a Plazo Colombia: Modelo Afín de tres factores

La estimación e interpretación de la estructura a plazo de la tasas de interés es de gran relevancia porque permite realizar pronósticos, es fundamental para la toma de decisiones de política monetaria y fiscal, es esencial en la administración de riesgos y es insumo para la valoración de diferentes activos financieros. Por estas razones, es necesario entender que puede provocar un movimiento en la estructura a plazo. En este trabajo se estiman un modelo afín exponencial de tres factores aplicado a los rendimientos de los títulos en pesos de deuda pública colombianos. Los factores estimados son la tasa corta, la media de largo plazo de la tasa corta y la volatilidad de la tasa corta. La estimación se realiza para el periodo enero 2010 a mayo de 2015 y se realiza un análisis de correlaciones entre los tres factores. Posterior a esto, con los factores estimados se realiza una regresión para identificar la importancia que tiene cada uno de estos en el comportamiento de las tasas de los títulos de deuda pública colombiana para diferentes plazos al vencimiento. Finalmente, se estima la estructura a plazo de las tasas de interés para Colombia y se identifica la relación de los factores estimados con los encontrados por Litterman y Scheinkman [1991] correspondientes al nivel, pendiente y curvatura.

Blackbody emission under laser excitation of silicon nanopowder produced by plasma-enhanced chemical-vapor deposition

Previous results concerning radiative emission under laser irradiation of silicon nanopowder are reinterpreted in terms of thermal emission. A model is developed that considers the particles in the powder as independent, so under vacuum the only dissipation mechanism is thermal radiation. The supralinear dependence observed between the intensity of the emitted radiation and laser power is predicted by the model, as is the exponential quenching when the gas pressure around the sample increases. The analysis allows us to determine the sample temperature. The local heating of the sample has been assessed independently by the position of the transverse optical Raman mode. Finally, it is suggested that the photoluminescence observed in porous silicon and similar materials could, in some cases, be blackbody radiation

Pressure-jump-induced kinetics reveals a hydration dependent folding/unfolding mechanism of ribonuclease A

Pressure-jump (p-jump)-induced relaxation kinetics was used to explore the energy landscape of protein folding/unfolding of Y115W, a fluorescent variant of ribonuclease A. Pressure-jumps of 40MPa amplitude (5ms dead-time) were conducted both to higher (unfolding) and to lower (folding) pressure, in the range from 100 to 500MPa, between 30 and 50°C. Significant deviations from the expected symmetrical protein relaxation kinetics were observed. Whereas downward p-jumps resulted always in single exponential kinetics, the kinetics induced by upward p-jumps were biphasic in the low pressure range and monophasic at higher pressures. The relative amplitude of the slow phase decreased as a function of both pressure and temperature. At 50°C, only the fast phase remained. These results can be interpreted within the framework of a two-dimensional energy surface containing a pressure- and temperature-dependent barrier between two unfolded states differing in the isomeric state of the Asn-113–Pro-114 bond. Analysis of the activation volume of the fast kinetic phase revealed a temperature-dependent shift of the unfolding transition state to a larger volume. The observed compensation of this effect by glycerol offers an explanation for its protein stabilizing effect

Procés de destintatge del paper per flotació. Avaluació de l'eficàcia de l'eliminació de tinta

La tesi doctoral presentada té com a objectius principals l'estudi de les etapes fonamentals de desintegració i flotació en un procés de destintatge de papers vell de qualitats elevades per a poder millorar l'eficàcia d'aquestes etapes clau. Conté una revisió teòrica completa i molt actualitzada del procés de desintegració i flotació tant a nivell macroscòpic com microscòpic. La metodologia de treball en el laboratori, la posada a punt dels aparells, així com les anàlisis efectuades per a valorar la resposta del procés (anàlisi de blancor, anàlisi d'imatge i anàlisi de la concentració efectiva de tinta residual) estan descrites en el capítol de material i mètodes. La posada en marxa permet obtenir unes primeres conclusions respecte la necessitat de treballar amb una matèria primera homogènia i respecte la no significació de la temperatura de desintegració dins l'interval de treball permès al laboratori (20-50°C). L'anàlisi de les variables mecàniques de desintegració: consistència de desintegració (c), velocitat d'agitació en la desintegració (N) i temps de desintegració (t), permet de discernir que la consistència de desintegració és una variable fonamental. El valor de consistència igual al 10% marca el límit d'existència de les forces d'impacte mecànic en la suspensió fibrosa. A consistències superiors, les forces viscoses i d'acceleració dominen l'etapa de desintegració. Existeix una interacció entre la consistència i el temps de desintegració, optimitzant-se aquesta darrera variable en funció del valor de la consistència. La velocitat d'agitació és significativa només per a valors de consistència de desintegració inferiors al 10%. En aquests casos, incrementar el valor de N de 800 a 1400 rpm representa una disminució de 14 punts en el factor de destintabilitat. L'anàlisi de les variables químiques de desintegració: concentració de silicat sòdic (% Na2SiO3), peròxid d'hidrogen (% H2O2) i hidròxid sòdic (% Na2OH), proporciona resultats força significatius. El silicat sòdic presenta un efecte altament dispersant corroborat per les corbes de distribució dels diàmetres de partícula de tinta obtingudes mitjançant anàlisi d'imatges. L'hidròxid sòdic també presenta un efecte dispersant tot i que no és tant important com el del silicat sòdic. Aquests efectes dispersants són deguts principalment a l'increment de les repulsions electrostàtiques que aporten a la suspensió fibrosa aquests reactius químics fent disminuir l'eficàcia d'eliminació de l'etapa de flotació. El peròxid d'hidrogen utilitzat generalment com agent blanquejant, actua en aquests casos com a neutralitzador dels grups hidroxil provinents tant del silicat sòdic com de l'hidròxid sòdic, disminuint la repulsió electrostàtica dins la suspensió. Amb l'anàlisi de les variables hidrodinàmiques de flotació: consistència de flotació (c), velocitat d'agitació durant la flotació (N) i cabal d'aire aplicat (q), s'aconsegueix la seva optimització dins el rang de treball permès al laboratori. Valors elevats tant de la velocitat d'agitació com del cabal d'aire aplicat durant la flotació permeten eliminar majors quantitats de tinta. La consistència de flotació assoleix valors òptims depenent de les condicions de flux dins la cel·la de flotació. Les metodologies d'anàlisi emprades permeten obtenir diferents factors de destintabilitat. Entre aquests factors existeix una correlació important (determinada pels coeficients de correlació de Pearson) que permet assegurar la utilització de la blancor com a paràmetre fonamental en l'anàlisi del destintatge de papers vells, sempre i quan es complementi amb anàlisis d'imatge o bé amb anàlisi de la concentració efectiva de tinta residual. S'aconsegueixen expressions empíriques tipus exponencial que relacionen aquests factors de destintabilitat amb les variables experimentals. L' estudi de les cinètiques de flotació permet calcular les constants cinètiques (kBlancor, kERIC, kSupimp) en funció de les variables experimentals, obtenint un model empíric de flotació que relacionant-lo amb els paràmetres microscòpics que afecten realment l'eliminació de partícules de tinta, deriva en un model fonamental molt més difícil d'interpretar. Mitjançant l'estudi d'aquestes cinètiques separades per classes, també s'aconsegueix determinar que l'eficàcia d'eliminació de partícules de tinta és màxima si el seu diàmetre equivalent és superior a 50 μm. Les partícules amb diàmetres equivalents inferiors a 15 μm no són eliminades en les condicions de flotació analitzades. Es pot dir que és físicament impossible eliminar partícules de tinta de diàmetres molt diferents amb la mateixa eficiència i sota les mateixes condicions de treball. El rendiment del procés analitzat en funció de l'eliminació de sòlids per l'etapa de flotació no ha presentat relacions significatives amb cap de les variables experimentals analitzades. Únicament es pot concloure que addicionar quantitats elevades de silicat sòdic provoca una disminució tant de sòlids com de matèria inorgànica presents en les escumes de flotació.

Mobile Internet : perspectives from the Stakeholders

Mobile internet represents a major new trend in communication technologies use and consumption, but few evidence exists that confirms claims of novelty and social change in association with this technology use. This paper characterizes the use of mobile internet in a southern European country and associated patterns of use, focusing both on users’ profiles, forms of access, motivations to use and most popular activities undertaken via this technology, from a diffusion of innovations and social adoption of technologies perspectives, and tries to compare mobile it with fixed access to the internet in order to validate possible transformations that point to new social configurations. We seek to understand the way stakeholders perceive and characterize the European context of mobile internet. The depicted study involved a qualitative stage consisting of a set of interviews with mobile communications industry representatives and market research community in the country. These interviews were analysed in Nvivo, leading to the following eleven main categories that are explored throughout the paper: smartphones in Europe, mobile internet in Europe, users profiles, obstacles to the spread, forms of access, forms of use, motivations to use mobile internet, limitations of smartphones, apps, digital divide VS digital union and predictions for the future, as well as several subcategories forming a tree categorization. According to the data collected, mobile phones’ sales are decreasing in Europe and worldwide but on the other hand smartphones are having an exponential growth which leads to the democratization of internet access via mobile devices. As a consequence of this, it is believed that mobile internet access will soon exceed the fixed one. Mobile internet users are multiplatform, they exploit all the possibilities of mobility and they are spending less time on computers. The main obstacles to the spread of mobile internet are the high prices of price plans and there is still a lack of information and knowledge regarding the service. Mobile internet users are developing new online surfing behaviours based on apps and less in browsers and social networks represent a very high share of internet traffic through mobile phones. With mobility, “dead time” is turning into useful time and users are more likely to be available to try new services and analyze products. Innovative services concerning geolocation, consumerism, share and relationships are growing and it is necessary to highlight that mobile internet allows calling and texting, which can turn telecommunications companies into the role of Dump Pipes. This exploratory design raises questions in relation with mobile internet access and its social consequences, and provides interesting indicative research results relevant for future research in this area.

Nanotecnologia e a sua aplicação à terapêutica oncológica

A nanotecnologia, e a sua aplicação na área da biomedicina, em particular na terapêutica e diagnóstico oncológico, tem sido alvo de um desenvolvimento exponencial, com impacto profundo no que respeita a cuidados de saúde. O cancro é uma das doenças que afecta mais pessoas a nível mundial, com elevados índices de mortalidade, níveis de sofrimento físico e emocional e, encargos para o doente, família e sociedade. É uma doença complexa, e a prática clínica convencional constitui um paradigma, na medida em que se revela insuficiente e extremamente agressiva, expondo o doente a medicamentos citotóxicos, não específicos, com elevada toxicidade sistémica e efeitos adversos. A Nanomedicina, e a exploração das propriedades únicas das nanopartículas, apresenta a potencialidade de melhorar a capacidade de detecção e diagnóstico do cancro e, aumentar a especificidade e efectividade no tratamento das células tumorais. No entanto, o recurso a nanotecnologias continua a ser alvo de alguma controvérsia e cepticismo por parte de alguns elementos das comunidades científicas e académica. Com nanoprodutos já aprovados e utilizados em prática clínica e muitos outros em desenvolvimento e investigação em ensaios clínicos, a realização deste trabalho tem como objectivo compreender os conceitos de nanotecnologia e Nanomedicina, perceber o estado da arte, ponderando as vantagens e desvantagens da abordagem “nano” e a sua real aplicação à terapêutica oncológica.

Spherical nonparametric estimators applied to the UGAMP model integration for AMIP

The aim of this paper is essentially twofold: first, to describe the use of spherical nonparametric estimators for determining statistical diagnostic fields from ensembles of feature tracks on a global domain, and second, to report the application of these techniques to data derived from a modern general circulation model. New spherical kernel functions are introduced that are more efficiently computed than the traditional exponential kernels. The data-driven techniques of cross-validation to determine the amount elf smoothing objectively, and adaptive smoothing to vary the smoothing locally, are also considered. Also introduced are techniques for combining seasonal statistical distributions to produce longer-term statistical distributions. Although all calculations are performed globally, only the results for the Northern Hemisphere winter (December, January, February) and Southern Hemisphere winter (June, July, August) cyclonic activity are presented, discussed, and compared with previous studies. Overall, results for the two hemispheric winters are in good agreement with previous studies, both for model-based studies and observational studies.

Theory and observations of ice particle evolution in cirrus using Doppler radar: evidence for aggregation

Vertically pointing Doppler radar has been used to study the evolution of ice particles as they sediment through a cirrus cloud. The measured Doppler fall speeds, together with radar-derived estimates for the altitude of cloud top, are used to estimate a characteristic fall time tc for the `average' ice particle. The change in radar reflectivity Z is studied as a function of tc, and is found to increase exponentially with fall time. We use the idea of dynamically scaling particle size distributions to show that this behaviour implies exponential growth of the average particle size, and argue that this exponential growth is a signature of ice crystal aggregation.

The PML for rough surface scattering

In this paper we investigate the use of the perfectly matched layer (PML) to truncate a time harmonic rough surface scattering problem in the direction away from the scatterer. We prove existence and uniqueness of the solution of the truncated problem as well as an error estimate depending on the thickness and composition of the layer. This global error estimate predicts a linear rate of convergence (under some conditions on the relative size of the real and imaginary parts of the PML function) rather than the usual exponential rate. We then consider scattering by a half-space and show that the solution of the PML truncated problem converges globally at most quadratically (up to logarithmic factors), providing support for our general theory. However we also prove exponential convergence on compact subsets. We continue by proposing an iterative correction method for the PML truncated problem and, using our estimate for the PML approximation, prove convergence of this method. Finally we provide some numerical results in 2D.(C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.

Reduction of arsenic uptake by lettuce with ferrous sulfate applied to contaminated soil

Soil contamination by arsenic (As) presents a hazard in many countries and there is a need for techniques to minimize As uptake by plants. A proposed in situ remediation method was tested by growing lettuce (Lactuca sativa L. cv. Kermit) in a greenhouse pot experiment on soil that contained 577 mg As kg(-1), taken from a former As smelter site. All combinations of iron (Fe) oxides, at concentrations of 0.00, 0.22, 0.54, and 1.09% (w/w), and lime, at concentrations of 0.00, 0.27, 0.68, and 1.36% (w/w), were tested in a factorial design. To create the treatments, field-moist soil, commercial-grade FeSO4, and ground agricultural lime were mixed and stored for one week, allowing Fe oxides to precipitate. Iron oxides gave highly significant (P < 0.001) reductions in lettuce As concentrations, down to 11% of the lettuce As concentration for untreated soil. For the Fe oxides and lime treatment combinations where soil pH was maintained nearly constant, the lettuce As concentration declined in an exponential relationship with increasing FeSO4 application rate and lettuce yield was almost unchanged. Iron oxides applied at a concentration of 1.09% did not give significantly lower lettuce As concentrations than the 0.54% treatment. Simultaneous addition of lime with FeSO4 was essential. Ferrous sulfate with insufficient lime lowered soil pH and caused mobilization of Al, Ba, Co, Cr, Cu, Fe, K, Mg, Mn, Na, Ni, Pb, Sr, and Zn. At the highest Fe oxide to lime ratios, Mn toxicity caused severe yield loss.

Dynamics of potassium leaching on a hillslope grassland soil

There have been only a few studies of potassium (K) losses from grassland systems, and little is known about their dynamics, especially in relation to nitrogen (N) management. A study was performed during the autumn and winter of 1999 and 2000 to understand the effects of N and drainage on the dynamics of K leaching on a hillslope grassland soil in southwestern England. Two N application rates were studied (0 and 280 kg N ha(-1) yr(-1)), both with and without the drainage. Treatments receiving N also received farmyard manure (FM). Higher total K losses and K concentrations in the leachates were found in the N + FM treatments (150 and 185% higher than in 0 N treatments), which were related to K additions in the FM. Drainage reduced K losses by 35% because of an increase in dry matter production and a reduction in overland and preferential flow. The pattern of change in K concentration in the leachates was associated with preferential flow at the beginning of the drainage season and with matrix flow later in winter, and was best described by a double exponential curve. Rainfall intensity and the autumn application of FM were the main determinants of K losses by leaching. The study provided new insights into the relationships between soil hydrology, rainfall, and K leaching and its implications for grassland systems.

Reduction of arsenic uptake by lettuce with ferrous sulfate applied to contaminated soil

Soil contamination by arsenic (As) presents a hazard in many countries and there is a need for techniques to minimize As uptake by plants. A proposed in situ remediation method was tested by growing lettuce (Lactuca sativa L. cv. Kermit) in a greenhouse pot experiment on soil that contained 577 mg As kg(-1), taken from a former As smelter site. All combinations of iron (Fe) oxides, at concentrations of 0.00, 0.22, 0.54, and 1.09% (w/w), and lime, at concentrations of 0.00, 0.27, 0.68, and 1.36% (w/w), were tested in a factorial design. To create the treatments, field-moist soil, commercial-grade FeSO4, and ground agricultural lime were mixed and stored for one week, allowing Fe oxides to precipitate. Iron oxides gave highly significant (P < 0.001) reductions in lettuce As concentrations, down to 11% of the lettuce As concentration for untreated soil. For the Fe oxides and lime treatment combinations where soil pH was maintained nearly constant, the lettuce As concentration declined in an exponential relationship with increasing FeSO4 application rate and lettuce yield was almost unchanged. Iron oxides applied at a concentration of 1.09% did not give significantly lower lettuce As concentrations than the 0.54% treatment. Simultaneous addition of lime with FeSO4 was essential. Ferrous sulfate with insufficient lime lowered soil pH and caused mobilization of Al, Ba, Co, Cr, Cu, Fe, K, Mg, Mn, Na, Ni, Pb, Sr, and Zn. At the highest Fe oxide to lime ratios, Mn toxicity caused severe yield loss.

Granger causality of coupled climate processes: Ocean feedback on the North Atlantic oscillation

This study uses a Granger causality time series modeling approach to quantitatively diagnose the feedback of daily sea surface temperatures (SSTs) on daily values of the North Atlantic Oscillation (NAO) as simulated by a realistic coupled general circulation model (GCM). Bivariate vector autoregressive time series models are carefully fitted to daily wintertime SST and NAO time series produced by a 50-yr simulation of the Third Hadley Centre Coupled Ocean-Atmosphere GCM (HadCM3). The approach demonstrates that there is a small yet statistically significant feedback of SSTs oil the NAO. The SST tripole index is found to provide additional predictive information for the NAO than that available by using only past values of NAO-the SST tripole is Granger causal for the NAO. Careful examination of local SSTs reveals that much of this effect is due to the effect of SSTs in the region of the Gulf Steam, especially south of Cape Hatteras. The effect of SSTs on NAO is responsible for the slower-than-exponential decay in lag-autocorrelations of NAO notable at lags longer than 10 days. The persistence induced in daily NAO by SSTs causes long-term means of NAO to have more variance than expected from averaging NAO noise if there is no feedback of the ocean on the atmosphere. There are greater long-term trends in NAO than can be expected from aggregating just short-term atmospheric noise, and NAO is potentially predictable provided that future SSTs are known. For example, there is about 10%-30% more variance in seasonal wintertime means of NAO and almost 70% more variance in annual means of NAO due to SST effects than one would expect if NAO were a purely atmospheric process.