Time Series Forecasting: An Application to Balance Sheet

Internship Report presented as the partial requirement for obtaining a Master's degree in Data Science and Advanced Analytics, specialization in Data ScienceThe Internal Capital Adequacy Assessment Process (ICAAP) provides a qualitative and quantitative assessment of capital risks to which banking institutions are exposed to in their activity. Caixa Geral de Dep´ositos (CGD) is a relevant player in the Portuguese banking system, and as such it has to perform an ongoing review of ICAAP exercise to evaluate its ability to identify, assess, mitigate and report on its risks. In order to properly quantify all the risks the institution is exposed to, several models need to be developed to help estimate the amount of capital that is needed to cover potential unexpected losses arising from each type of risk. Given the European and Portuguese guidelines these models also have to comply with certain requirements defined by Banco de Portugal, European Central Bank (ECB) and European Banking Authority (EBA) regarding ICAAP exercise. One of the risks CGD is exposed to is the risk of an unfavourable evolution of the main credit items in its Balance Sheet and as such, it is necessary to estimate the evolution of certain credit items (in terms of their volumes and spread rates). These estimations are needed for relevant segments such as housing credit, consumer and other credit, public sector credit, real estate activities credit, non-financial corporate credit and term and sight deposits. To estimate the evolution of these balance sheet items, a robust and reliable methodology must be applied, so that it can truly help strategic decision-making process over a horizon period of three years and the appropriate amount of capital can be allocated. At CGD, Balance Sheet credit volumes and spread rates had been being estimated through multiple linear regressions to which macroeconomic indicators are added as explanatory variables. The problem with this methodology, is that these type of dependent and explanatory financial variables are usually in the form of time series, indicating the existence of correlation between any observation and the previous one, meaning that there is dependence on the past historical information. Applying multiple linear regressions to this type of data leads to poor statistical results and to the non-compliance of all the statistical assumptions linear regressions must respect. Within this context, the need to turn to a more adequate and robust methodology became more evident and time series forecasting appeared to be the so long needed solution that would allow to reach reliable statistical results. Time series forecasting is commonly used in economics and finance, denoting a robust technique to predict macroeconomic variables representing a feasible approach to apply to estimate CGD’s main credit volumes and spread rates of the balance sheet. In this project, we investigate the estimation of Balance Sheet credit volumes and spreads rates using time series forecasting aiming to assess the models suitability to quantify the risk of unfavourable balance sheet evolution of the main credit segments. The models proposed for this purpose, are the Autoregressive Integrated Moving Average with exogenous variables (ARIMAX) models. The results obtained proved to have robust statistical results and high performance, which were verified by analysing residuals statistical behaviour and key performance indicators such as the Mean Squared Error (MSE) and the Akaike Information Criterion (AIC) of the final models selected for each target variable

Regímenes de bienestar : metáforas implícitas y mujeres en la familia = Welfare regimes : implied metaphors and family women

Los modelos teóricos y regímenes institucionales de Estados de bienestar son también expresión simbólica, incluso metafórica, de las formas de convivencia que deseamos será una tarea anterior a cualquier esfuerzo político pues, de lo contrario, esta aparecerá de forma sorpresiva y sujeta a dinámicas de poder previas y posiblemente no queridas.The theoretical and institutional types of welfare state are also a symbolic and metapho - rical expression of the different forms of coexistence that political communities create. Prior to any political work, it is necessary to know the type of political coexistence that we want, or else it might surprisingly appear as subject to previous unwanted power dynamics

Evaluación de impactos y problemáticas existentes en las comunidades aledañas al relleno sanitario Cerro Patacón, Ciudad de Panamá

Los vertederos son espacios donde pueden verterse toda clase de materiales, principalmente asociados a la disposición de los desperdicios firmes o habitualmente conocidos como basura. Dichos vertederos de basura, rellenos sanitarios, basureros, tiraderos o basurales, tienen la posibilidad de ser establecidos en un espacio definido de manera oficial o clandestinamente. La generación de residuos firmes ha ido en crecimiento al costado de la población demográfica; anexando a esta realidad, el desempeño inadecuado de los desperdicios y por lo tanto una administración deficiente de los residuos, que da como consecuencia el deterioro y depreciación del ámbito gracias a la contaminación que persiste en el territorio. Por lo tanto, nos hemos centrado en los efectos negativos a los alrededores del relleno sanitario de Cerro Patacón, Ciudad de Panamá, Provincia de Panamá; producto de la administración que se rige dentro del vertedero. Se tiene entendimiento que hay acumulaciones de basura a cielo abierto, que son responsabilidad del Estado como El Municipio de Panamá, la Autoridad de limpieza Urbano y Domiciliario de Panamá (AAUD), y en la actualidad al mando de la compañía Urbalia Panamá S.A; que acostumbran a ser focos infecciosos de muchas patologías que contrae la sociedad de chicos, jóvenes, y adultos que habitan en sus inmediaciones, así sea de manera directa o indirecta. Es por ello por lo cual nuestro plan pretende, buscar alternativas que regulen de determinada forma el desempeño de desperdicios en sociedades aledañas a vertederos de basura. Aplicando medidas de control que mitiguen el efecto creado por la predominación del funcionamiento inadecuado de los residuos rígidos en el vertedero de Cerro Patacón, en el diario vivir de los pobladores próximos a las instalaciones inmediatas de hablado sitio. Palabras claves: Vertederos, desechos sólidos, disposición, contaminación, impactos, acumulación, lixiviados, emisión

Path Planning in Rough Terrain Using Neural Network Memory

Learning navigation policies in an unstructured terrain is a complex task. The Learning to Search (LEARCH) algorithm constructs cost functions that map environmental features to a certain cost for traversing a patch of terrain. These features are abstractions of the environment, in which trees, vegetation, slopes, water and rocks can be found, and the traversal costs are scalar values that represent the difficulty for a robot to cross given the patches of terrain. However, LEARCH tends to forget knowledge after new policies are learned. The study demonstrates that reinforcement learning and long-short-term memory (LSTM) neural networks can be used to provide a memory for LEARCH. Further, they allow the navigation agent to recognize hidden states of the state space it navigates. This new approach allows the knowledge learned in the previous training to be used to navigate new environments and, also, for retraining. Herein, navigation episodes are designed to confirm the memory, learning policy and hidden-state recognition capabilities, acquired by the navigation agent through the use of LSTM

Coverage maximization for a poisson field of drone cells

The use of drone base stations to provide wireless connectivity for ground terminals is becoming a promising part of future technologies. The design of such aerial networks is however different compared to cellular 2D networks, as antennas from the drones are looking down, and the channel model becomes height-dependent. In this paper, we study the effect of antenna patterns and height-dependent shadowing. We consider a random network topology to capture the effect of dynamic changes of the flying base stations. First we characterize the aggregate interference imposed by the co-channel neighboring drones. Then we derive the link coverage probability between a ground user and its associated drone base station. The result is used to obtain the optimum system parameters in terms of drones antenna beamwidth, density and altitude. We also derive the average LoS probability of the associated drone and show that it is a good approximation and simplification of the coverage probability in low altitudes up to 500 m according to the required signal-to-interference-plus-noise ratio (SINR)

Memoria sobre los absurdos, males, peligros y otros escesos de las corridas de toros según la filosofía, el movimiento social, la historia, las costumbres ...

Copia digital. Valladolid : Junta de Castilla y León. Consejería de Cultura y Turismo, 2011Tit. en antep. : El progreso es ley divina. Mem. premiada por la Señora Viuda de Daniel Dollfu