Trois essais sur les banques et le pouvoir de marché

Cette thèse examine le rôle du pouvoir de marché dans le marché bancaire. L’emphase est mis sur la prise de risque, les économies d’échelle, l’efficacité économique du marché et la transmission des chocs. Le premier chapitre présente un modèle d’équilibre général dynamique stochastique en économie ouverte comprenant un marché bancaire en concurrence monopolistique. Suivant l’hypothèse de Krugman (1979, 1980) sur la relation entre les économies d’échelle et les exportations, les banques doivent défrayer un coût de transaction pour échanger à l’étranger qui diminue à mesure que le volume de leurs activités locales augmente. Cela incite les banques à réduire leur marge locale afin de profiter davantage du marché extérieur. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats obtenus indiquent que deux forces contraires, les économies d’échelle et le pouvoir de marché, s’affrontent lorsque le marché se concentre. La concentration permet aussi aux banques d’accroître leurs activités étrangères, ce qui les rend en contrepartie plus vulnérables aux chocs extérieurs. Le deuxième chapitre élabore un cadre de travail semblable, mais à l’intérieur duquel les banques font face à un risque de crédit. Celui-ci est partiellement assuré par un collatéral fourni par les entrepreneurs et peut être limité à l’aide d’un effort financier. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats montrent qu’un plus grand pouvoir de marché réduit la taille du marché financier et de la production à l’état stationnaire, mais incite les banques à prendre moins de risques. De plus, les économies dont le marché bancaire est fortement concentré sont moins sensibles à certains chocs puisque les marges plus élevés donnent initialement de la marge de manoeuvre aux banques en cas de chocs négatifs. Cet effet modérateur est éliminé lorsqu’il est possible pour les banques d’entrer et de sortir librement du marché. Une autre extension avec économies d’échelle montre que sous certaines conditions, un marché moyennement concentré est optimal pour l’économie. Le troisième chapitre utilise un modèle en analyse de portefeuille de type Moyenne-Variance afin de représenter une banque détenant du pouvoir de marché. Le rendement des dépôts et des actifs peut varier selon la quantité échangée, ce qui modifie le choix de portefeuille de la banque. Celle-ci tend à choisir un portefeuille dont la variance est plus faible lorsqu’elle est en mesure d’obtenir un rendement plus élevé sur un actif. Le pouvoir de marché sur les dépôts amène un résultat sembable pour un pouvoir de marché modéré, mais la variance finit par augmenter une fois un certain niveau atteint. Les résultats sont robustes pour différentes fonctions de demandes.

Myocardial blood flow quantification by Rb-82 cardiac PET/CT: A detailed reproducibility study between two semi-automatic analysis programs.

BACKGROUND: Several analysis software packages for myocardial blood flow (MBF) quantification from cardiac PET studies exist, but they have not been compared using concordance analysis, which can characterize precision and bias separately. Reproducible measurements are needed for quantification to fully develop its clinical potential. METHODS: Fifty-one patients underwent dynamic Rb-82 PET at rest and during adenosine stress. Data were processed with PMOD and FlowQuant (Lortie model). MBF and myocardial flow reserve (MFR) polar maps were quantified and analyzed using a 17-segment model. Comparisons used Pearson's correlation ρ (measuring precision), Bland and Altman limit-of-agreement and Lin's concordance correlation ρc = ρ·C b (C b measuring systematic bias). RESULTS: Lin's concordance and Pearson's correlation values were very similar, suggesting no systematic bias between software packages with an excellent precision ρ for MBF (ρ = 0.97, ρc = 0.96, C b = 0.99) and good precision for MFR (ρ = 0.83, ρc = 0.76, C b = 0.92). On a per-segment basis, no mean bias was observed on Bland-Altman plots, although PMOD provided slightly higher values than FlowQuant at higher MBF and MFR values (P < .0001). CONCLUSIONS: Concordance between software packages was excellent for MBF and MFR, despite higher values by PMOD at higher MBF values. Both software packages can be used interchangeably for quantification in daily practice of Rb-82 cardiac PET.

Modelo de valoración ajustado a la evolución del riesgo crediticio para carteras colectivas que invierten en títulos valores no tradicionales en la comisionista global Securities Colombia de la Ciudad de Medellín

Con los comportamientos del mercado financiero, las comisionistas de bolsa deben tener un modelo de valoración ajustado a la evolución del riesgo crediticio para las inversiones en títulos valores no tradicionales y de esta manera cumplir con los requerimientos emitidos por la Superintendencia Financiera de Colombia. En particular, se diseña el modelo sugerido por el regulador para la comisionista Global Securities de la ciudad de Medellín, para la cartera colectiva Credit Opportunities Fund - Compartimiento Facturas. El estudio de tipo descriptivo, analiza y diseña a partir del método CreditMetrics desarrollado por J.P Morgan, una valoración completa de la cartera teniendo en cuenta las pérdidas y ganancias por modificaciones de calidad crediticia.

Mortalidade por câncer de boca e condição sócio-econômica no Brasil

BORGES,D. M. L.et al. Mortalidade por câncer de boca e condição sócio-econômica no Brasil.Cad. Saúde Pública, Rio de Janeiro, v.25,n.2, p.321-327, fev, 2009

Giving the benefit of the doubt: the role of vulnerability in the perception of Dark Triad behaviours.

The 'Dark Triad' of socially aversive personality traits (Machiavellianism, Narcissism, and Psychopathy) is typically associated with grandiosity, callousness, and exploitation. Despite this, people with such traits can be very successful in life, especially in the occupational context. This study investigated the characteristics of individuals who enable and abet people high on Dark Triad traits (e.g. through tolerating unpleasant behaviours, not challenging unethical conduct, etc.). High Dark Triad individuals may be able to identify individuals who are susceptible to social manipulation and who are therefore less likely to challenge their behaviours. This study used a 20-item Vulnerability Scale to capture the characteristics of individuals who fall victim to people high on the Dark Triad traits. Cronbach's alpha for the Vulnerability Scale was .80. Pearson's correlation between total vulnerability scores and each of the Big Five personality traits revealed that predictors of vulnerability to social manipulation include low extraversion, low conscientiousness, high neuroticism, and high agreeableness. The vignette method was used to elicit perceptions of Dark Triad behaviours from those who are found to demonstrate signs of social vulnerability. Differences in response styles on Likert-type statements and open-ended questions were found between the high and low vulnerability groups.

Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade

Mestrado em Contabilidade e Análise Financeira

Hydrometallurgical process modeling using advanced mathematical tools

Hydrometallurgical process modeling is the main objective of this Master’s thesis work. Three different leaching processes namely, high pressure pyrite oxidation, direct oxidation zinc concentrate (sphalerite) leaching and gold chloride leaching using rotating disc electrode (RDE) are modeled and simulated using gPROMS process simulation program in order to evaluate its model building capabilities. The leaching mechanism in each case is described in terms of a shrinking core model. The mathematical modeling carried out included process model development based on available literature, estimation of reaction kinetic parameters and assessment of the model reliability by checking the goodness fit and checking the cross correlation between the estimated parameters through the use of correlation matrices. The estimated parameter values in each case were compared with those obtained using the Modest simulation program. Further, based on the estimated reaction kinetic parameters, reactor simulation and modeling for direct oxidation zinc concentrate (sphalerite) leaching is carried out in Aspen Plus V8.6. The zinc leaching autoclave is based on Cominco reactor configuration and is modeled as a series of continuous stirred reactors (CSTRs). The sphalerite conversion is calculated and a sensitivity analysis is carried out so to determine the optimum reactor operation temperature and optimum oxygen mass flow rate. In this way, the implementation of reaction kinetic models into the process flowsheet simulation environment has been demonstrated.

Nuclear alterations in nasal mucosa epithelial cells of students exposed to formaldehyde

Introduction: Formaldehyde is a compound with a wide range and is commonly used in anatomy and pathology laboratories. At room temperature is quickly volatilized to a pungent and suffocating gas and its inhalation has been correlated to nuclear alterations in different tissues. We aimed to investigate whether exposure to this compound was correlated with the appearance of cytotoxic and genotoxic features in the nasal epithelial cells of students enrolled in a human anatomy course. Material and Methods: This prospective study collected periodically nasal cells from mucosa of 17 volunteers from two different undergraduate programs with different workloads of practical lessons in an anatomy laboratory, 30 and 90 hours per semester. Cells were staining according to Feulgen method and nuclear morphology was analyzed to detect possible damage. Dunn's post hoc test was used in the statistical analysis. Pearson's correlation was performed for gender, age and questionnaire responses. Results: Epithelial cells showed indicators of cytotoxicity and mutagenicity. Students with a more extensive workload in anatomy laboratory displayed a more severe profile with an increase in karyorrhexis (p < 0.05) over time. The micronucleus analysis showed difference between first and second collection (p < 0.01), although it was not maintained over the time. Students with a less extensive workload display no differences in most of cytological features. Despite karyorrhexis was present in a greater number of cells, for this group no significant difference was observed between any range. The same was observed to karyolysis and micronucleus (p > 0.05). Conclusion: Individuals exposed for short periods of time to formaldehyde are subject to the toxic action of this gas. Karyorrhexis was the most frequently observed cytotoxic feature and micronucleus showed an increase between the first time point. The patterns observed between the student's groups suggest a negative effect due to exposure time.

Les droits réels et personnels sur les titres détenus auprès d'un intermédiaire : analyse comparative en droit québécois interne et international privé

Les transactions sur les valeurs mobilières ainsi que leur mise en garantie se font bien au-delà des frontières nationales. Elles impliquent une multitude d’intervenants, tels que l’émetteur, un grand nombre d’intermédiaires disposés en structure pyramidale, un ou des investisseurs et, bien évidemment, les bénéficiaires desdites valeurs mobilières ou garanties. On peut aussi signaler l’existence de nombreux portefeuilles diversifiés contenant des titres émis par plusieurs émetteurs situés dans plusieurs états. Toute la difficulté d’une telle diversité d’acteurs, de composantes financières et juridiques, réside dans l’application de règles divergentes et souvent conflictuelles provenant de systèmes juridiques d’origines diverses (Common Law et civiliste). De nombreux juristes, de toutes nationalités confondues, ont pu constater ces dernières années que les règles de création, d’opposabilité et de réalisation des sûretés, ainsi que les règles de conflit de lois qui aident à déterminer la loi applicable à ces différentes questions, ne répondaient plus adéquatement aux exigences juridiques nationales dans un marché financier global, exponentiel et sans réelles frontières administratives. Afin de résoudre cette situation et accommoder le marché financier, de nombreux textes de loi ont été révisés et adaptés. Notre analyse du droit québécois est effectuée en fonction du droit américain et canadien, principales sources du législateur québécois, mais aussi du droit suisse qui est le plus proche de la tradition civiliste québécoise, le tout à la lueur de la 36e Convention de La Haye du 5 juillet 2006 sur la loi applicable à certains droits sur des titres détenus auprès d'un intermédiaire. Par exemple, les articles 8 et 9 du Uniform Commercial Code (UCC) américain ont proposé des solutions modernes et révolutionnaires qui s’éloignent considérablement des règles traditionnelles connues en matière de bien, de propriété, de sûreté et de conflits de lois. Plusieurs autres projets et instruments juridiques dédiés à ces sujets ont été adoptés, tels que : la Loi uniforme sur le transfert des valeurs mobilières (LUTVM) canadienne, qui a été intégrée au Québec par le biais de la Loi sur le transfert de valeurs mobilières et l’obtention de titres intermédiés, RLRQ, c.T-11.002 (LTVMQ) ; la 36e Convention de La Haye du 5 juillet 2006 sur la loi applicable à certains droits sur des titres détenus auprès d'un intermédiaire; la Loi fédérale sur le droit international privé (LDIP) suisse, ainsi que la Loi fédérale sur les titres intermédiés (LTI) suisse. L’analyse de ces textes de loi nous a permis de proposer une nouvelle version des règles de conflit de lois en matière de sûretés et de transfert des titres intermédiés en droit québécois. Cette étude devrait susciter une réflexion profonde du point de vue d’un juriste civiliste, sur l’efficacité des nouvelles règles québécoises de sûretés et de conflit de lois en matière de titres intermédiés, totalement inspirées des règles américaines de Common Law. Un choix qui semble totalement ignorer un pan du système juridique civiliste et sociétal.

Seismic waveform inversion for core-mantle boundary topography

International audience

Savani: A variable resolution whole-mantle model of anisotropic shear velocity variations based on multiple data sets

International audience

Statistical Analysis of Sea Surface Temperature and Chlorophyll-a Concentration Patterns in the Gulf of Tadjourah (Djibouti)

The sea surface temperature (SST) and chlorophyll-a concentration (CHL-a) were analysed in the Gulf of Tadjourah from two set of 8-day composite satellite data, respectively from 2008 to 2012 and from 2005 to 2011. A singular spectrum analysis (SSA) shows that the annual cycle of SST is strong (74.3% of variance) and consists of warming (April-October) and cooling (November-March) of about 2.5C than the long-term average. The semi-annual cycle captures only 14.6% of temperature variance and emphasises the drop of SST during July-August. Similarly, the annual cycle of CHL-a (29.7% of variance) depicts high CHL-a from June to October and low concentration from November to May. In addition, the first spatial empirical orthogonal function (EOF) of SST (93% of variance) shows that the seasonal warming/cooling is in phase across the whole study area but the southeastern part always remaining warmer or cooler. In contrast to the SST, the first EOF of CHL-a (54.1% of variance) indicates the continental shelf in phase opposition with the offshore area in winter during which the CHL-a remains sequestrated in the coastal area particularly in the south-east and in the Ghoubet Al-Kharab Bay. Inversely during summer, higher CHL-a quantities appear in the offshore waters. In order to investigate processes generating these patterns, a multichannel spectrum analysis was applied to a set of oceanic (SST, CHL-a) and atmospheric parameters (wind speed, air temperature and air specific humidity). This analysis shows that the SST is well correlated to the atmospheric parameters at an annual scale. The windowed cross correlation indicates that this correlation is significant only from October to May. During this period, the warming was related to the solar heating of the surface water when the wind is low (April-May and October) while the cooling (November-March) was linked to the strong and cold North-East winds and to convective mixing. The summer drop in SST followed by a peak of CHL-a, seems strongly correlated to the upwelling. The second EOF modes of SST and CHL-a explain respectively 1.3% and 5% of the variance and show an east-west gradient during winter that is reversed during summer. This work showed that the seasonal signals have a wide spatial influence and dominate the variability of the SST and CHL-a while the east-west gradient are specific for the Gulf of Tadjourah and seem induced by the local wind modulated by the topography.

Validation of age determination using otoliths of the European anchovy (Engraulis encrasicolus L.) in the Bay of Biscay

Validation of the age determination procedure using otoliths of European anchovy in the Bay of Biscay was achieved by monitoring very strong year-classes in successive spring catches and surveys, as well as the seasonal occurrence of edge types. Historical corroboration of the ageing method was obtained by cross-correlation between successive age groups by year-classes in catches and surveys (1987–2013). Summary annual growth in length is also presented. Yearly annuli consist of a hyaline zone (either single or composite) and a wide opaque zone, disrupted occasionally by some typical checks (mainly at age-0 and age-1 at peak spawning time). Age determination, given a date of capture, requires knowledge of the typical annual growth pattern of otoliths, their seasonal edge formation by ages and the most typical checks. Most opaque growth occurs in summer and is minimal (translucent) in winter. Opaque zone formation begins earlier in younger fish (in spring), and this helps distinguish age-1 from age-2+.

Estudo comparativo entre técnicas de aprendizado de máquina para estimação de risco de crédito

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Programa de Pós-Graduação em Administração, 2016.

Empirical evidence of S-curves in the Colombian

The Marshall-Lerner condition, the J-curve and S-curve have emerged as theoretical and empirical foundations developed for the study of the interaction between exchange rates and international patterns of bilateral trade -- They have a significant bearing on thedevelopment of public policy, and are of equal interest to the academic and professional communities -- The most recently developed of these theories, the S-Curve, is named after the theorized short-run behavior to be found in the cross-correlation function of the real exchange rate and the trade balance -- Considering this theoretical context, the paper seeks empirical evidence of the existence of the S-Curve in the bilateral trade in commodity and non-commodity goods between Colombia and the United States and Venezuela, its main trading partners, for the yearly quarters between 1994:1 and 2009:4