The design and pricing of hybrid debt

Excessive risk taking and low capital buffers are considered to be important causes of the 2008 financial crisis. Hybrid debt such as contingent convertible bonds (CoCos) can potentially mitigate these problems. However, the scientific literature shows that CoCos with a market trigger do not necessarily have a unique competitive equilibrium price. Furthermore, there is no consensus on whether CoCos are effective at mitigating risk-taking incentives. This thesis firstly introduces a CoCo with a market trigger and floating coupons. This CoCo does have a unique competitive equilibrium price. Secondly, a new pricing model is introduced for CoCos with a market trigger. By distinguishing between investors based on differences in market power and allowing investors to affect prices, this model yields a unique equilibrium price. This model also resolves the pricing problem for equities of firms in a market based index and equities of firms where decision making is based on the equity price. Thirdly, a new debt contract is introduced: Risk incentive compatible bonds (RIC-bonds). These RIC bonds are a debt contract with both fixed and floating coupons. The floating coupons are nonzero when the assets of the RIC-bond issuing firm provide high cash-flows. This makes it no longer attractive for the firm to increase risk taking. Issuing RIC-bonds can consequently lead to lower capital costs, as it is a credible signal that the firm will limit risk taking. This makes RIC-bonds an attractive debt instrument for firms and suitable to mitigate excessive risk-taking incentives

Non-invasive fetal electrocardiogram : analysis and interpretation

High-risk pregnancies are becoming more and more prevalent because of the progressively higher age at which women get pregnant. Nowadays about twenty percent of all pregnancies are complicated to some degree, for instance because of preterm delivery, fetal oxygen deficiency, fetal growth restriction, or hypertension. Early detection of these complications is critical to permit timely medical intervention, but is hampered by strong limitations of existing monitoring technology. This technology is either only applicable in hospital settings, is obtrusive, or is incapable of providing, in a robust way, reliable information for diagnosis of the well-being of the fetus. The most prominent method for monitoring of the fetal health condition is monitoring of heart rate variability in response to activity of the uterus (cardiotocography; CTG). Generally, in obstetrical practice, the heart rate is determined in either of two ways: unobtrusively with a (Doppler) ultrasound probe on the maternal abdomen, or obtrusively with an invasive electrode fixed onto the fetal scalp. The first method is relatively inaccurate but is non-invasive and applicable in all stages of pregnancy. The latter method is far more accurate but can only be applied following rupture of the membranes and sufficient dilatation, restricting its applicability to only the very last phase of pregnancy. Besides these accuracy and applicability issues, the use of CTG in obstetrical practice also has another limitation: despite its high sensitivity, the specificity of CTG is relatively low. This means that in most cases of fetal distress the CTG reveals specific patterns of heart rate variability, but that these specific patterns can also be encountered for healthy fetuses, complicating accurate diagnosis of the fetal condition. Hence, a prerequisite for preventing unnecessary interventions that are based on CTG alone, is the inclusion of additional information in diagnostics. Monitoring of the fetal electrocardiogram (ECG), as a supplement of CTG, has been demonstrated to have added value for monitoring of the fetal health condition. Unfortunately the application of the fetal ECG in obstetrical diagnostics is limited because at present the fetal ECG can only be measured reliably by means of an invasive scalp electrode. To overcome this limited applicability, many attempts have been made to record the fetal ECG non-invasively from the maternal abdomen, but these attempts have not yet led to approaches that permit widespread clinical application. One key difficulty is that the signal to noise ratio (SNR) of the transabdominal ECG recordings is relatively low. Perhaps even more importantly, the abdominal ECG recordings yield ECG signals for which the morphology depends strongly on the orientation of the fetus within the maternal uterus. Accordingly, for any fetal orientation, the ECG morphology is different. This renders correct clinical interpretation of the recorded ECG signals complicated, if not impossible. This thesis aims to address these difficulties and to provide new contributions on the clinical interpretation of the fetal ECG. At first the SNR of the recorded signals is enhanced through a series of signal processing steps that exploit specific and a priori known properties of the fetal ECG. More particularly, the dominant interference (i.e. the maternal ECG) is suppressed by exploiting the absence of temporal correlation between the maternal and fetal ECG. In this suppression, the maternal ECG complex is dynamically segmented into individual ECG waves and each of these waves is estimated through averaging corresponding waves from preceding ECG complexes. The maternal ECG template generated by combining the estimated waves is subsequently subtracted from the original signal to yield a non-invasive recording in which the maternal ECG has been suppressed. This suppression method is demonstrated to be more accurate than existing methods. Other interferences and noise are (partly) suppressed by exploiting the quasiperiodicity of the fetal ECG through averaging consecutive ECG complexes or by exploiting the spatial correlation of the ECG. The averaging of several consecutive ECG complexes, synchronized on their QRS complex, enhances the SNR of the ECG but also can suppress morphological variations in the ECG that are clinically relevant. The number of ECG complexes included in the average hence constitutes a trade-off between SNR enhancement on the one hand and loss of morphological variability on the other hand. To relax this trade-off, in this thesis a method is presented that can adaptively estimate the number of ECG complexes included in the average. In cases of morphological variations, this number is decreased ensuring that the variations are not suppressed. In cases of no morphological variability, this number is increased to ensure adequate SNR enhancement. The further suppression of noise by exploiting the spatial correlation of the ECG is based on the fact that all ECG signals recorded at several locations on the maternal abdomen originate from the same electrical source, namely the fetal heart. The electrical activity of the fetal heart at any point in time can be modeled as a single electrical field vector with stationary origin. This vector varies in both amplitude and orientation in three-dimensional space during the cardiac cycle and the time-path described by this vector is referred to as the fetal vectorcardiogram (VCG). In this model, the abdominal ECG constitutes the projection of the VCG onto the vector that describes the position of the abdominal electrode with respect to a reference electrode. This means that when the VCG is known, any desired ECG signal can be calculated. Equivalently, this also means that when enough ECG signals (i.e. at least three independent signals) are known, the VCG can be calculated. By using more than three ECG signals for the calculation of the VCG, redundancy in the ECG signals can be exploited for added noise suppression. Unfortunately, when calculating the fetal VCG from the ECG signals recorded from the maternal abdomen, the distance between the fetal heart and the electrodes is not the same for each electrode. Because the amplitude of the ECG signals decreases with propagation to the abdominal surface, these different distances yield a specific, unknown attenuation for each ECG signal. Existing methods for estimating the VCG operate with a fixed linear combination of the ECG signals and, hence, cannot account for variations in signal attenuation. To overcome this problem and be able to account for fetal movement, in this thesis a method is presented that estimates both the VCG and, to some extent, also the signal attenuation. This is done by determining for which VCG and signal attenuation the joint probability over both these variables is maximal given the observed ECG signals. The underlying joint probability distribution is determined by assuming the ECG signals to originate from scaled VCG projections and additive noise. With this method, a VCG, tailored to each specific patient, is determined. With respect to the fixed linear combinations, the presented method performs significantly better in the accurate estimation of the VCG. Besides describing the electrical activity of the fetal heart in three dimensions, the fetal VCG also provides a framework to account for the fetal orientation in the uterus. This framework enables the detection of the fetal orientation over time and allows for rotating the fetal VCG towards a prescribed orientation. From the normalized fetal VCG obtained in this manner, standardized ECG signals can be calculated, facilitating correct clinical interpretation of the non-invasive fetal ECG signals. The potential of the presented approach (i.e. the combination of all methods described above) is illustrated for three different clinical cases. In the first case, the fetal ECG is analyzed to demonstrate that the electrical behavior of the fetal heart differs significantly from the adult heart. In fact, this difference is so substantial that diagnostics based on the fetal ECG should be based on different guidelines than those for adult ECG diagnostics. In the second case, the fetal ECG is used to visualize the origin of fetal supraventricular extrasystoles and the results suggest that the fetal ECG might in future serve as diagnostic tool for relating fetal arrhythmia to congenital heart diseases. In the last case, the non-invasive fetal ECG is compared to the invasively recorded fetal ECG to gauge the SNR of the transabdominal recordings and to demonstrate the suitability of the non-invasive fetal ECG in clinical applications that, as yet, are only possible for the invasive fetal ECG

De stand van het platteland 2010: Monitor Agenda Vitaal Platteland : rapportage midterm meting effectindicatoren

De ideeën van het rijk over een leefbaar, vitaal en duurzaam platteland staan in de Agenda Vitaal Platteland. De doelstellingen van deze agenda zijn concreet uitgewerkt in het Meerjarenprogramma 2007-2013. Hierin staan thema’s genoemd als natuur, landbouw, recreatie, landschap en sociaaleconomische vitaliteit. Voor elk thema is een algemene beleidsdoelstelling omschreven die vervolgens weer zijn uitgewerkt in één of meer operationele doelstellingen. Bij de start van het programma is een nulmeting uitgevoerd over de stand van zaken voor de thema’s. Nu, halverwege de uitvoeringstermijn, is weer een meting uitgevoerd waaruit blijkt of de doelstellingen al dan niet behaald worden. Op het gebied van natuur is vooruitgang geboekt in de natuurkwantiteit, maar niet in de -kwaliteit. De toegevoegde waarde in de landbouw blijft op een hoog peil, mensen zijn iets enthousiaster geworden over het Nederlandse landschap maar de recreatieactiviteiten zijn enigszins afgenomen. Inwoners van Nederland zijn de afgelopen jaren iets minder tevreden geworden over hun woning en woonomgeving.

Advies over de kwaliteitsborging van de Monitor agenda vitaal platteland

Dit rapport betreft een advies over de kwaliteitsborging van de Monitor Agenda Vitaal Platteland. Hiervoor is onderzoek uitgevoerd naar kwaliteitsmanagement in de overheidssector en in de ICT-sector. De resultaten hiervan zijn gebruikt om te komen tot een herdefiniëring van de Monitor Agenda Vitaal Platteland en tot aanbevelingen voor de kwaliteitsborging van dit informatiesysteem. Trefwoorden: kwaliteitsmanagement, prestatiemanagement, goed openbaar bestuur, ICT kwaliteitmanagement, monitoring en evaluatie, plattelandsbelei

De stand van het platteland : Monitor Agenda Vitaal Platteland : rapportage nulmeting effectindicatoren

De ideeën van het rijk over een leefbaar, vitaal en duurzaam platteland staan in de Agenda Vitaal Platteland. De doelstellingen van deze agenda zijn concreet uitgewerkt in het onlangs verschenen Meerjarenprogramma 2007-2013. Hierin staan acht thema’s: natuur, landbouw, recreatie, landschap, bodem, water, reconstructie van de zandgebieden en sociaal-economische vitaliteit. Milieu komt binnen deze thema’s aan de orde. Voor elk thema is een algemene beleidsdoelstelling omschreven en uitgewerkt in één of meer operationele doelstellingen. Deze operationele doelstellingen zijn weer uitgewerkt in concrete prestaties die moeten worden verricht om de doelen te realiseren. Herman Agricola en Wies Vullings hebben in opdracht van de WOT Natuur & Milieu een brochure samengesteld met indicatoren. Daarbij komen ook de wijze waarop is gemeten en de resultaten van de nulmeting over 2007 aan de orde