Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

La détermination des droits et des obligations relatifs à l'aide sociale en Allemagne : le cas des individus seuls aptes à l'emploi

Ce mémoire vise à comprendre la détermination des droits et des obligations relatifs aux individus seuls aptes à l’emploi bénéficiant de l’aide sociale allemande entre 1990 et 2012. Tout d’abord, il passe en revue les principaux mécanismes formels de fixation et d’actualisation des droits monétaires présents dans la plupart des pays de l’OCDE et montre par quels moyens l’Allemagne détermine la générosité des revenus de l’aide sociale. Soulevant le caractère plutôt arbitraire de ces mécanismes, il poursuit en soutenant que la générosité relative des droits et des obligations des individus seuls aptes à l’emploi peut principalement s’expliquer en des termes de conditionnalité et de mérite. Par le biais d’une revue de la littérature sur le sujet, le mémoire illustre comment les dynamiques catégorielles et la construction des programmes de dernier recours allemands en viennent à refléter une hiérarchie implicite du mérite expliquant à la fois la générosité plus faible des droits monétaires et la plus grande conditionnalité des droits sociaux visant les bénéficiaires seuls aptes à l’emploi. Finalement, il soutient que la construction du régime concernant les individus aptes à l’emploi en Allemagne doit se comprendre selon l’utilisation des droits et des obligations en tant que levier de régulation de l’individu et du marché du travail. Dans cette optique, le mémoire montre que les réformes Hartz du marché du travail ont non seulement formalisé le tournant pris vers l’activation du sans-emploi en Allemagne, mais que la construction particulière du nouveau régime de droits et d’obligations visant les individus aptes reflète ultimement l’objectif de diminution du chômage via la création d’emplois dans le secteur des bas salaires.

Development of an innovative non rule-based energy management strategy for a Hybrid Electric Vehicle, structured for predictive driving controls based on external information knowledge

Recently, the interest of the automotive market for hybrid vehicles has increased due to the more restrictive pollutants emissions legislation and to the necessity of decreasing the fossil fuel consumption, since such solution allows a consistent improvement of the vehicle global efficiency. The term hybridization regards the energy flow in the powertrain of a vehicle: a standard vehicle has, usually, only one energy source and one energy tank; instead, a hybrid vehicle has at least two energy sources. In most cases, the prime mover is an internal combustion engine (ICE) while the auxiliary energy source can be mechanical, electrical, pneumatic or hydraulic. It is expected from the control unit of a hybrid vehicle the use of the ICE in high efficiency working zones and to shut it down when it is more convenient, while using the EMG at partial loads and as a fast torque response during transients. However, the battery state of charge may represent a limitation for such a strategy. That’s the reason why, in most cases, energy management strategies are based on the State Of Charge, or SOC, control. Several studies have been conducted on this topic and many different approaches have been illustrated. The purpose of this dissertation is to develop an online (usable on-board) control strategy in which the operating modes are defined using an instantaneous optimization method that minimizes the equivalent fuel consumption of a hybrid electric vehicle. The equivalent fuel consumption is calculated by taking into account the total energy used by the hybrid powertrain during the propulsion phases. The first section presents the hybrid vehicles characteristics. The second chapter describes the global model, with a particular focus on the energy management strategies usable for the supervisory control of such a powertrain. The third chapter shows the performance of the implemented controller on a NEDC cycle compared with the one obtained with the original control strategy.

The Development of Calibrants through Characterization of Volatile Organic Compounds from Peroxide Based Explosives and a Non-target Chemical Calibration Compound

Detection canines represent the fastest and most versatile means of illicit material detection. This research endeavor in its most simplistic form is the improvement of detection canines through training, training aids, and calibration. This study focuses on developing a universal calibration compound for which all detection canines, regardless of detection substance, can be tested daily to ensure that they are working with acceptable parameters. Surrogate continuation aids (SCAs) were developed for peroxide based explosives along with the validation of the SCAs already developed within the International Forensic Research Institute (IFRI) prototype surrogate explosives kit. Storage parameters of the SCAs were evaluated to give recommendations to the detection canine community on the best possible training aid storage solution that minimizes the likelihood of contamination. Two commonly used and accepted detection canine imprinting methods were also evaluated for the speed in which the canine is trained and their reliability. As a result of the completion of this study, SCAs have been developed for explosive detection canine use covering: peroxide based explosives, TNT based explosives, nitroglycerin based explosives, tagged explosives, plasticized explosives, and smokeless powders. Through the use of these surrogate continuation aids a more uniform and reliable system of training can be implemented in the field than is currently used today. By examining the storage parameters of the SCAs, an ideal storage system has been developed using three levels of containment for the reduction of possible contamination. The developed calibration compound will ease the growing concerns over the legality and reliability of detection canine use by detailing the daily working parameters of the canine, allowing for Daubert rules of evidence admissibility to be applied. Through canine field testing, it has been shown that the IFRI SCAs outperform other commercially available training aids on the market. Additionally, of the imprinting methods tested, no difference was found in the speed in which the canines are trained or their reliability to detect illicit materials. Therefore, if the recommendations discovered in this study are followed, the detection canine community will greatly benefit through the use of scientifically validated training techniques and training aids.

La détermination des droits et des obligations relatifs à l'aide sociale en Allemagne : le cas des individus seuls aptes à l'emploi

Ce mémoire vise à comprendre la détermination des droits et des obligations relatifs aux individus seuls aptes à l’emploi bénéficiant de l’aide sociale allemande entre 1990 et 2012. Tout d’abord, il passe en revue les principaux mécanismes formels de fixation et d’actualisation des droits monétaires présents dans la plupart des pays de l’OCDE et montre par quels moyens l’Allemagne détermine la générosité des revenus de l’aide sociale. Soulevant le caractère plutôt arbitraire de ces mécanismes, il poursuit en soutenant que la générosité relative des droits et des obligations des individus seuls aptes à l’emploi peut principalement s’expliquer en des termes de conditionnalité et de mérite. Par le biais d’une revue de la littérature sur le sujet, le mémoire illustre comment les dynamiques catégorielles et la construction des programmes de dernier recours allemands en viennent à refléter une hiérarchie implicite du mérite expliquant à la fois la générosité plus faible des droits monétaires et la plus grande conditionnalité des droits sociaux visant les bénéficiaires seuls aptes à l’emploi. Finalement, il soutient que la construction du régime concernant les individus aptes à l’emploi en Allemagne doit se comprendre selon l’utilisation des droits et des obligations en tant que levier de régulation de l’individu et du marché du travail. Dans cette optique, le mémoire montre que les réformes Hartz du marché du travail ont non seulement formalisé le tournant pris vers l’activation du sans-emploi en Allemagne, mais que la construction particulière du nouveau régime de droits et d’obligations visant les individus aptes reflète ultimement l’objectif de diminution du chômage via la création d’emplois dans le secteur des bas salaires.

Incentive based policies on climate change: taxes and tradable emssions permits

The reduction of Greenhouse Gases (GHG) plays a central role in the environmental policies considered by countries for implementation not only at its own level but also at supranational levels. This thesis is dedicated to investigate some aspects of two of the most relevant climate change policies. The first part is dedicated to emission permit markets and the second part to optimal carbon taxes. On emission permit markets we explore the strategic behavior of oligopolistic firms operating in polluting industrial sectors that are regulated by cap and trade systems. Our aim is to identify how market power influences the main results obtained under perfect competition assumptions and to understand how actions taken in one market affects the outcome of the other related market. A partial equilibrium model is developed for this purpose with specific abatement cost functions. In Chapter 2 we use the model to explain some of the most relevant literature results. In Chapter 3 the model is used to analyze different oligopolistic structures in the product market under the assumption of competitive permits market. There are two significant findings. Firstly, under the assumption of a Stackelberg oligopoly, firms have no incentives for lobbying in order to manipulate permit prices up, as they have under Cournot competition...

Evaluation of physicochemical and glycaemic properties of commercial plant-based milk substitutes

The market for plant-based dairy-type products is growing as consumers replace bovine milk in their diet, for medical reasons or as a lifestyle choice. A screening of 17 different commercial plant-based milk substitutes based on different cereals, nuts and legumes was performed, including the evaluation of physicochemical and glycaemic properties. Half of the analysed samples had low or no protein contents (<0.5 %). Only samples based on soya showed considerable high protein contents, matching the value of cow’s milk (3.7 %). An in-vitro method was used to predict the glycaemic index. In general, the glycaemic index values ranged from 47 for bovine milk to 64 (almond-based) and up to 100 for rice-based samples. Most of the plant-based milk substitutes were highly unstable with separation rates up to 54.39 %/h. This study demonstrated that nutritional and physicochemical properties of plant-based milk substitutes are strongly dependent on the plant source, processing and fortification. Most products showed low nutritional qualities. Therefore, consumer awareness is important when plant-based milk substitutes are used as an alternative to cow’s milk in the diet.