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.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

Robust Controller Design of Networked Control Systems with Nonlinear Uncertainties

We address robust stabilization problem for networked control systems with nonlinear uncertainties and packet losses by modelling such systems as a class of uncertain switched systems. Based on theories on switched Lyapunov functions, we derive the robustly stabilizing conditions for state feedback stabilization and design packet-loss dependent controllers by solving some matrix inequalities. A numerical example and some simulations are worked out to demonstrate the effectiveness of the proposed design method.

Delay-dependent robust H-infinity control for uncertain systems with time-varying delay

This paper proposes a new approach for delay-dependent robust H-infinity stability analysis and control synthesis of uncertain systems with time-varying delay. The key features of the approach include the introduction of a new Lyapunov–Krasovskii functional, the construction of an augmented matrix with uncorrelated terms, and the employment of a tighter bounding technique. As a result, significant performance improvement is achieved in system analysis and synthesis without using either free weighting matrices or model transformation. Examples are given to demonstrate the effectiveness of the proposed approach.

Amniotic fluid stem cells produce robust mineral deposits on biodegradable scaffolds

Insufficient availability of osteogenic cells limits bone regeneration through cell-based therapies. This study investigated the potential of amniotic fluid–derived stem (AFS) cells to synthesize mineralized extracellular matrix within porous medical-grade poly-e-caprolactone (mPCL) scaffolds. The AFS cells were initially differentiated in two-dimensional (2D) culture to determine appropriate osteogenic culture conditions and verify physiologic mineral production by the AFS cells. The AFS cells were then cultured on 3D mPCL scaffolds (6-mm diameter9-mm height) and analyzed for their ability to differentiate to osteoblastic cells in this environment. The amount and distribution of mineralized matrix production was quantified throughout the mPCL scaffold using nondestructive micro computed tomography (microCT) analysis and confirmed through biochemical assays. Sterile microCT scanning provided longitudinal analysis of long-term cultured mPCL constructs to determine the rate and distribution of mineral matrix within the scaffolds. The AFS cells deposited mineralized matrix throughout the mPCL scaffolds and remained viable after 15 weeks of 3D culture. The effect of predifferentiation of the AFS cells on the subsequent bone formation in vivo was determined in a rat subcutaneous model. Cells that were pre-differentiated for 28 days in vitro produced seven times more mineralized matrix when implanted subcutaneously in vivo. This study demonstrated the potential of AFS cells to produce 3D mineralized bioengineered constructs in vitro and in vivo and suggests that AFS cells may be an effective cell source for functional repair of large bone defects