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作者： Kan, Yu Hang Columbia University

学位级别：Ph.D.

The recent financial crisis has revealed major shortcomings in the existing approaches for modeling credit derivatives. This dissertation studies various issues related to the modeling of credit derivatives: hedging of portfolio credit derivatives, calibration of dynamic credit models, and modeling of credit default swap portfolios. In the first part, we compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches during the recent financial crisis. Our empirical analysis shows evidence for market incompleteness: a large proportion of risk in the CDO tranches appears to be unhedgeable. We also show that, unlike what is commonly assumed, dynamic models do not necessarily perform better than static models, nor do high-dimensional bottom-up models perform better than simpler top-down models. On the other hand, model-free regression-based hedging appears to be surprisingly effective when compared to other hedging strategies. The second part is devoted to computational methods for constructing an arbitrage-free CDO pricing model compatible with observed CDO prices. This method makes use of an inversion formula for computing the aggregate default rate in a portfolio from expected tranche notionals, and a quadratic programming method for recovering expected tranche notionals from CDO spreads. Comparing this approach to other calibration methods, we find that model-dependent quantities such as the forward starting tranche spreads and jump-to-default ratios are quite sensitive to the calibration method used, even within the same model class. The last chapter of this dissertation focuses on statistical modeling of credit default swaps (CDSs). We undertake a systematic study of the univariate and multivariate properties of CDS spreads, using time series of the CDX Investment Grade index constituents from 2005 to 2009. We then propose a heavy-tailed multivariate time series model for CDS spreads that captures these properties. Ou

关键词： c r e d i t d e r i v a t i v e s , c r e d i t d e f a u l t s w a p s , i n d e x d e f a

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The social and musical construction of the jam session in jazz

The social and musical construction of the jam session in ja...

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作者： Nelson, Lawrence D. University of Kentucky

学位级别：Ph.D.

Current research into jazz has not given sufficient attention to the jam session as a musical and social context in which improvisation occurs. Originating from "cutting contests" in which jazz musicians demonstrated their skills and creativity in a competitive format outside the arena of commercial performance, jam sessions established a format for small-group improvised jazz performance that has endured to the present day. Jam sessions are recreational activities; initially found at times and in venues removed from the public sphere, they acquired an almost mythical status during the Bebop Era among jazz enthusiasts, who regarded the music produced at these sessions as more authentic than other jazz performances. This led to a commodification of the jam session, which further complicated an understanding of the jam session in jazz. Weber's concept of ideal types is utilized to construct a model of the jam session in jazz, and Goffman's depiction of encounters and the play of games forms the basis for a description of the jam session. Jam sessions depend upon knowledge of principles of music theory and performance strategies to enable the construction of improvised solos and accompaniments for the performance of songs in the jazz canon. Equally important to the jam session are the social interactions that form the jam session encounter. Historical accounts of jam sessions and participant-observation of jam sessions in the Chicago and Cincinnati areas and interviews with jazz educators and performers are utilized to obtain an understanding of the musical and social conventions necessary to sustain a jam session. This study has significant implications for jazz research. first, it provides a clearer understanding of what constitutes a jam session. Second, it provides a means of understanding jazz as a performance art and a process. for research in the social sciences, it demonstrates how a seemingly unstructured gathering can be understood as an amalgam of sociologic

关键词： j a m s e s s i o n , e n c o u n t e r , j a z z , W e b e r , G o f f m a n

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Three essays on using text analytic techniques for accounting research

Three essays on using text analytic techniques for accountin...

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作者： Chakraborty, Vasundhara Rutgers The State University of New Jersey Graduate School - Newark

学位级别：Ph.D.

The wide variety of corporate as well as academic documents accessible online provides tremendous opportunities for data collection but at the same time presents a challenge for users to extract appropriate information from this immensely diverse corpus. financial decisions are often based on different types of reports provided by firms including the financial statements as well as disclosures. To ensure simplified access to critical information from these reports data tagging is recommended, which creates the need for the development of taxonomies. A hybrid method of taxonomy creation using historical data from pension footnotes of 10K statements is proposed here instead of the pre-existing normative approach (detailed in the first essay). A comparison of the hybrid vs. normative approach (XBRL) pension footnote taxonomy reveals that generally firms tend to aggregate more while reporting, conflicting with findings from the XBRL pension taxonomy. Two experiments are conducted within the fold of the second essay to recognize whether (i) the type of industry (ii) firm size are factors significantly influencing the pension disclosure reporting of firms. It is found that while firm size is a significant factor the type of industry is not. Corporate reports as well as academic accounting literature are experiencing an unprecedented proliferation. The third essay explores the potential of using text analytic techniques to develop a methodology for automatic classification of academic articles in accounting based on different criteria. Three different experiments were conducted to seek the most effective method to accurately and automatically classify accounting literature. Results from the experiments indicate that automatic classification is more effective when using abstracts rather than using only keywords. Proposing a new hybrid method for taxonomy creation as well as the initial study that adopts automatic classification method in categorizing accounting literature b

关键词： T a x o n o m y , X B R L , C l a s s i f i c a t i o n , S E C f i l i n g s , P e n s i

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Research in Applied Environmental Geochemistry, with particular reference to Geochemistry and Health

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GEOCHEMISTRY-EXPLORATION ENVIRONMENT ANALYSIS 2010年第3期10卷 317-329页

作者： Thornton, Iain Imperial Coll London England Imperial Coll Consultants London England

Applications of geochemical mapping to agricultural and other problems relating to the environment were the brainchild of Professor John Webb, Director of the Applied Geochemistry Research Group, Imperial College, London in the early 1960s. This paper reviews the development and progress of research in applied environmental geochemistry at Imperial College over the past forty years, providing the basis for postgraduate training ranging from the applications of geochemistry to plant, agricultural livestock and wildlife nutrition, to evaluating contamination from metalliferous mining and smelting, to understanding the chemical nature of the urban environment and to problems of human health and disease.

关键词： history of geochemistry Applied Geochemistry Research Group environmental geochemistry urban geochemistry human health deficiency pollution molybdenosis hypocuprosis pine white muscle disease Keshan disease Kaschin Beck disease fluorosis Co Cu Se Na K P Zn Cu Pb Cd As f Hg heavy metal toxicity wildlife conservation agriculture water resources and quality estuarine fisheries epidemiology human health soil household-dust Hazard Index

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Classification for mass spectra and comprehensive two-dimensional chromatograms

Classification for mass spectra and comprehensive two-dimens...

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作者： Tian, Xue The University of Nebraska - Lincoln

学位级别：Ph.D.

Mass spectra contain characteristic information regarding the molecular structure and properties of compounds. The mass spectra of compounds from the same chemically related group are similar. Classification is one of the fundamental methodologies for analyzing mass spectral data. The primary goals of classification are to automatically group compounds based on their mass spectra, to find correlation between the properties of compounds and their mass spectra, and to provide a positive identification of unknown compounds. This dissertation presents a new algorithm for the classification of mass spectra, the most similar neighbor with a probability-based spectrum similarity measure (MSN-PSSM). Experimental results demonstrate the effectiveness and robustness of the new MSN-PSSM algorithm. In leave-one-out cross-validation, it outperforms popular techniques for classification of mass spectra, such as principal component analysis with discriminant function analysis, soft independent modeling of class analogy, and decision tree learning. Comprehensive two-dimensional chromatography yields highly informative separation patterns because of its great practical peak capacity and sensitivity produced by applying two different separation principles. However, the improvement in information yields complex data requiring comprehensive analyses to interpret the rich information and to extract useful information for characterizing sample composition. This dissertation presents a new non-targeted cross-sample classification method to analyze comprehensive two-dimensional chromatograms. Experimental results validate the effectiveness of the new non-targeted cross-sample classification. The new non-targeted cross-sample classification is successfully applied to a set of comprehensive two-dimensional chromatograms of breast cancer tumor samples. The feature vectors generated by the new non-targeted cross-sample classification are useful for discriminating between breast cancer tumor sa

关键词： c l a s s i f i c a t i o n , m a s s s p e c t r o m e t r y , c o m p r e h e n s i v e t

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The Influence of Narrative in fostering Affective Development of Medical Professionalism in an Online Class

The Influence of Narrative in Fostering Affective Developmen...

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作者： Holub, Peter G. Nova Southeastern University

学位级别：Ph.D.

Medical educators, clinical trainers, and professional organizations that have responded to the need to humanize medicine have not explored prospects for affective development in distance education. In this dissertation, the author explored narrative as an affective learning technique. Medical fiction, lay exposition, autobiography and other written forms of patient narratives, as well as multimedia presentations, movies, music, song, and visual arts were explored and analyzed for use in teaching medical professionalism to online health science students. A collection of narratives and learning activities for teaching medical professionalism in an online class were presented. finally, a comparison study evaluated the use of narrative medicine to foster professional development in an online class. The use of narrative to introduce professionalism and help online students internalize the humanistic values of empathy and compassion was grounded in affective theories of moral development. Quantitative evaluation of medical professionalism was performed using the Jefferson Scale of Physician Empathy (JSPE), a psychometrically sound instrument designed to measure empathy in the context of patient care. Comparisons of mean changes in empathy suggest that the treatment group experienced significant changes in total empathy, reflected by increased scores in all elements of the JSPE. These results were validated by a qualitative review of student discussion posts, course evaluations, and instructor feedback. The goal was to explore affective development and the educational value that narrative brings to teaching medical professionalism in the online class. The study helped to clarify the role of narrative in transformative learning. The implication is that online students can benefit from exposure to narrative. The relationship between narrative and medical professionalism may have applications for educational theory, medical and allied health practice, public policy, and futu

关键词： a f f e c t i v e d e v e l o p m e n t , m e d i c a l p r o f e s s i o n a l i s m , n a r r

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Culture of Hispanic managers in the American workplace

Culture of Hispanic managers in the American workplace

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作者： DelGuzzi, Angela Fielding Graduate University

学位级别：Ph.D.

The purpose of this project is to study the cultural influences influencing Hispanic American managers by using a questionnaire based upon the five parameters of Hofstede’s landmark study. This study will examine how American Hispanic managers in a large scale, for profit corporation in florida score on the Hofstede cultural model, in order to answer the questions, of what is/are the factor/s that affect their behavior/performance in the workplace. Learning key strategies to improve Hispanic employee management may result in greater productivity and job satisfaction, and therefore has great potential in improving any business. The most successful managers and business-persons realize that employees are a crucial investment, one that can propel the business to higher profits or be a continuous source of frustration and lost revenue. Leadership is more than just giving orders and instructions; it is about making a personal connection. In this high tech world of instant communication, we may risk losing the ability to connect on a human level and impact our team members in a way that makes a significant difference. Key words: Hispanic, culture, motivation, Hofstede, immigration, employee, curtural differences, American workplace, Power Distance Index, Individualism Index, Masculinity Index, Uncertainty Avoidance Index, Long-Term Objectives, Hispanic managers, Hispanic male, Hispanic female, South florida culture, diversity in the work place, language gaps.

关键词： H i s p a n i c , c u l t u r e , m o t i v a t i o n , H o f s t e d e , i m m i g r a t i

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Making Dialogic or Relational Conversations in formal Workplace Mentoring Relationships

Making Dialogic or Relational Conversations in Formal Workpl...

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作者： Parkes, David W. Fielding Graduate University

学位级别：Ph.D.

formal workplace mentoring relationships, where an organization typically assists in matching mentors with mentees and directing some of the relational outcomes, have been criticized for being less effective settings for growth, learning, and development (Allen, Eby, & Lentz, 2006a; Ragins, Cotton, & Miller, 2000), whereas other scholars conjecture that these relationships can and sometimes do develop to the point where they exhibit dialogic or relational qualities such as mutual trust, empathy, and respect that are integral to learning (Bokeno & Gantt, 2000; Darwin, 2000; fletcher & Ragins, 2007; Ragins & Verbos, 2007). This qualitative study employed a social construction lens and explored formal workplace mentoring relationships as emergent and enacted conversational episodes (Pearce & Pearce, 2003), using a framework suggested by the coordinated management of meaning (CMM) theory (Pearce, 1989, 2007), to answer the question “How are high quality conversations with dialogic or relational characteristics made by mentors or mentees in formal mentoring relationships?” findings underline the importance of perceived similarity between mentor and mentee, reveal the unplanned and improvisational nature of high quality mentoring conversations, and illustrate their embeddedness within larger and often contested contexts of meaning making such as organizational culture, the role of the manager, and constructions of gender. This study points to participant reliance on enacted behaviours appropriate to a narrow field of intimate relationships such as parents, spouses, and close friends. The study highlights the importance of mentee risk taking through authentic self-disclosure and expressions of vulnerability and supports the need for skilful framing of empowering conversations by mentors. for organizations, this study also suggests strategies to help mentors and mentees become more mindful of the ambiguous and improvisational nature of each mentoring encounter and to become

关键词： f o r m a l m e n t o r i n g , r e l a t i o n a l m e n t o r i n g , C M M

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Two Essays on Oil futures Markets

Two Essays on Oil Futures Markets

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作者： Adeinat, Iman University of New Orleans

学位级别：Ph.D.

The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also slightly greater bid-ask spread. CME leads the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this study presents evidence that, in times of large uncertainty in the market, the market maker charges a greater bid-ask spread for the more informative market. The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC overproduction (difference between quota and the actual production), and the volatility of the US Dollar against the Japanese Yen have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect on oil backwardation. The regression analysis of strong backwardation produces qualitatively the same results except that volatility has no effect. In a sub

关键词： O i l f u t u r e s , p r i c e d i s c o v e r y , t r a d i n g c h a r a c t e r i s t i c

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The Energy Economics of financial Structuring for Renewable Energy Projects

The Energy Economics of Financial Structuring for Renewable ...

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作者： Rana, Vishwajeet Stevens Institute of Technology

学位级别：Ph.D.

This dissertation focuses on the various financial structuring options for the renewable energy sector. The projects in this sector are capital-intensive to build but have relatively low operating costs in the long run when compared to traditional energy resources. The large initial capital requirements tend to discourage investors. To encourage renewable investments the government needs to provide financial incentives. Since these projects ultimately generate returns, the government's monetary incentives go to the sponsors and tax equity investors who build and operate such projects and invest capital in them. These incentives are usually in the form of ITCs, PTCs and accelerated depreciation benefits. Also, in some parts of the world, carbon credits are another form of incentive for the sponsors and equity investors to invest in such turnkey projects. The relative importance of these various considerations, however, differs from sponsor to sponsor, investor to investor and from project to project. This study focuses mainly on the US market, the federal tax benefits and incentives provided by the government. This study focuses on the energy economics that are used for project decision-making and parties involved in the transaction as: Project Developer/Sponsor, Tax equity investor, Debt investor, Energy buyer and Tax regulator. The study fulfils the knowledge gap in the decision making process that takes advantage of tax monetization in traditional after-tax analysis for renewable energy projects if the sponsors do not have the tax capacity to realize the total benefits of the project. A case-study for a wind farm, using newly emerging financial structures, validates the hypothesis that these renewable energy sources can meet energy industry economic criteria. The case study also helps to validate the following hypotheses: a) The greater a sponsor's tax appetite, the tower the sponsor's equity dilution. b) The use of leverage increases the cost of equity financing

关键词： R e n e w a b l e e n e r g y i n v e s t m e n t s , s t r u c t u r e d f i n a n c e ,

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