Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction

Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank's systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available.Comment: 36 pages, 6 figures, Accepted on Journal of Economic Dynamics and Contro

Structural analysis and design of Timber Light-Frame shear walls

The thesis aims at investigating the seismic performances of timber light-frame shear walls with focus on the contribution offered by the sheathing-to-framing connections in terms of energy dissipation and ductility. Numerical non-linear analyses under displacement-controlled loading conditions are carried out using an original parametric finite element (FE) model developed within the open-source software OpenSees (McKenna and Fenves, 2007) in order to allow the easy variation of some basic design variables affecting the overall racking capacity of the wall, namely: i) aspect ratio, ii) nails spacing, iii) number of vertical studs and iv) cross-section size of the framing elements. In fact, although many researches dealt with the in-plane behavior of a fully-anchored timber shear wall, few efforts have been spent so far to analyze the mechanical behavior and the energy dissipation attributable to the sheathing-to-framing connections that, with hold-down connections, represent the highest contribution in terms of a wall deformation. There are few parametric analyses that consider different wall configurations (Salenikovich, 2000; Salenikovich and Dolan, 2003; Dhonju et al., 2017) of a fully-anchored timber shear wall. Several experimental tests have demonstrated that the dissipative behavior of a shear wall is mainly influenced by its connections. Timber has, in general, a poor dissipative capacity and is a brittle material in bending and in tension, unless it is properly reinforced (Jorissen and Fragiacomo, 2011). Conversely, the steel connections ensure a good amount of energy dissipation and cyclic ductility notwithstanding their significant pinching, strength degradation and softening. This evidence is well reflected into many numerical models proposed in literature, where the non-linear wall response is related to the load-deformation relationships of the connections (Tuomi and McCutcheon, 1978; Gupta and Kuo, 1985; Gupta and Kuo, 1987). Observing the results of the sensitivity analyses and starting from the study by Casagrande et al. (2016) - who model the timber shear wall considering rigid framing elements - an analytical procedure is here proposed to predict the capacity curve of a timber light-frame shear wall. Considering the characteristic non-linear softening-type behavior of timber structures, an analytical expression of the equivalent viscous damping is provided, which allows to assess the ductility of a common timber shear wall configuration. Finally, optimal configurations of a timber light-frame shear wall, considering two values of aspect ratio (2 and 1), are provided to show how the design variables affect the variation of racking capacity and costs

IL PROCESSO DI COMMERCIALIZZAZIONE DELL'ATTIVITA' DI RICERCA IN UNA MEDIA IMPRESA FARMACEUTICA ITALIANA. IL CASO ABIOGEN PHARMA S.P.A.

La ricerca nel campo delle life sciences ha compiuto importanti progressi, e il termine “biotecnologia” è ormai entrato a far parte del linguaggio comune. Nonostante vi siano ancora posizioni etiche contrastanti, sollevate dall’elevata sensibilità del tema e dal grande numero di stakeholders che gravitano intorno al mondo dell’healthcare, è ampiamente riconosciuto che, dopo le scienze dell’informazione, le biotecnologie costituiscono l’avanguardia dell’innovazione dei prossimi decenni, creando così nuove possibilità d’impresa per le realtà in grado di dimostrare un’eccellenza. Il settore biotech sta rivestendo un ruolo strategico all’interno delle politiche economiche di tutti i paesi industrializzati e, se i benefici delle nuove terapie iniziano ad essere evidenti sia da un’ottica sociale che da un punto di vista finanziario, sussiste una cultura ancora limitata delle problematiche che la “ricerca e sviluppo”, vero driver dell’innovazione, si trova ad affrontare. Il principale motivo che mi ha spinto alla trattazione di questo argomento, è data dalla sfida di fornire una descrizione del comparto biotech dall’ottica inedita della ricerca, un’attività che alcuni considerano “astratta”, mentre costituisce un settore a sé stante di immenso valore economico (in particolare nel pharma), con dinamiche competitive del tutto peculiari, ma ascrivibile, con le doverose cautele, ai modelli di studio tradizionali. Il filo conduttore di tutto l’elaborato è dato dall’utilizzo ragionato delle banche dati tipicamente impiegate dall’industria farmaceutica per la pianificazione strategica marketing-oriented. La prima parte va interpretata come una focalizzazione progressiva dal settore farmaceutico alla R&S biotecnologica, partendo da un’analisi quantitativa che evidenzia il peso crescente che stanno esercitando le biotecnologie in termini di quota di mercato, in particolare nell’area oncologico. Il capitolo prosegue con una definizione del prodotto e del target di riferimento del mercato della R&S, sottolineando le diverse esigenze che portano ad una partnership di tipo industriale o di tipo finanziario. In conclusione viene fornita una descrizione funzionale di Abiogen Pharma S.p.A., l’azienda farmaceutica oggetto del caso di studio. Nel secondo capitolo si approfondisce il modello tipico di sviluppo di un nuovo farmaco, con le relative problematiche; la descrizione del procedimento è propedeutica alla questione del rischio di insuccesso che, grazie agli studi sul cosiddetto “attrition rate”, è stato possibile quantificare. L’ultima sezione del capitolo descrive le ricerche di mercato orientate alla pianificazione strategica e alla determinazione del valore del progetto, ponendo l’accento sul supporto fondamentale dato delle banche dati disponibili. Infine verrà approfondita la metodologia tipica della valutazione dei progetti di ricerca, delineando in chiave critica quella standard (discounted cash flow method), e proponendone una nuova, più adatta alla mitigazione dei rischi affrontati (risk-adjusted discounted cash flow method) e applicata mediante l’ausilio dei diversi database. Il terzo capitolo tratta del caso reale che mi sono trovato ad affrontare durante l’esperienza di stage in Abiogen Pharma S.p.A.; l’azienda pisana ha mostrato da sempre una forte propensione all’innovazione e negli ultimi anni si è posta l’obiettivo di costituire una start-up capace di concorrere nel settore biotech. Dopo aver analizzato i motivi che hanno condotto a scegliere il modello societario della “virtual company”, ho provveduto a fornire una valutazione economica delle sei tecnologie in pipeline utilizzando la nuova metodologia suggerita. Nel finale ho proposto un possibile marketing mix del settore R&S, applicando il noto modello delle “4 P”

Changes in thymic microenvironment during the acute phase of experimental infection with Paracoccidioides brasiliensis

Orientadores: Liana Maria Cardoso Verinaud, Eva BurgerTese (doutorado) - Universidade Estadual de Campinas, Instituto de BiologiaResumo: A paracoccidioidomicose (PCM), uma doença crônica com disseminação fúngica causada pelo Paracoccidioides brasiliensis (Pb), afeta principalmente os trabalhadores rurais, entretanto casos de PCM em indivíduos imunossuprimidos aumentou consideravelmente. A resposta imunitária protetora contra o Pb é dependente da atividade de células T auxiliares, especialmente células Th1 produtoras de IFN-?. Tem sido proposto que Pb é capaz de modular a resposta imune para um estado permissivo e que o timo tem um papel importante. Neste trabalho, mostramos que a infecção aguda com Pb provoca alterações no ambiente do timo. Verificou-se que após sete dias de infecção, as células de levedura foram encontradas no estroma do timo e a expressão de citoqueratinas das células epiteliais tímicas foi alterada em relação à sua orientação espacial. O número absoluto de timócitos DPs e SPs foi reduzido após sete dias da infecção fúngica. Outras modificações foram em relação às moléculas de quimiocinas que direcionam a migração dos timócitos, sua expressão foi aumentada e como consequência, os timócitos, células T em diferenciação, apresentaram maior capacidade migratória ex vivo após sete dias da infecção. Não obstante, os camundongos infectados com Pb mostraram um aumento da frequência de células T que expressam TCR proibitivos nos baços, sugerindo que os processos de seleção que ocorrem no timo pode ser comprometidos na infecção aguda. Após 21 dias da infecção nos encontramos que houve retorno das alterações observadas para dados semelhantes aos obtidos nos camundongos controle. Os dados aqui apresentados poderão acrescentar novos mecanismos pelos quais Pb subverte a resposta imune para a infecção crónica observada em humanosAbstract: Paracoccidioidomycosis (PCM), a chronic disseminated fungal disease caused by Paracoccidioides brasiliensis (Pb) yeast cells, affects mainly rural workers but recently cases in immunedeprived individuals has risen considerably. Protective immune response against Pb is dependent on the activity of helper T cells, especially IFN-?-producing Th1 cells. In has been proposed that Pb is able to modulate the immune response towards a permissive state and that the thymus plays a major role. In this paper, we show that acute infection with Pb already provokes alterations in the thymic environment. We found that after seven days of infection, yeast cells were found on the thymic stroma and the expression of cytokeratins in thymic epithelial cells (TEC) were altered regarding their spatio-orientation. The absolute number of DPs and SPs thymocytes was reduced after seven days of fungal infection. Other changes were related to chemokine molecules that direct the migration of thymocytes, its expression was increased and consequently, thymocytes, the differentiating T cells, presented higher migratory ability in ex vivo experiments after seven days of infection. Notwithstanding, Pb-infected mice showed an increased frequency of prohibitive TCR-expressing T cells in the spleens, suggesting that the selection processes that occur in the thymus may be compromised in acute infection. We show for the first time that acute infection with Paracoccidioides brasiliensis yeast cells promotes thymic alterations leading to a defective repertoire of peripheral T cells. After 21 days of infection we find that our data returned to similar obtained in control mice. The data presented here may present new mechanisms by which Pb subverts the immune response towards the chronic infection observed in humansDoutoradoImunologiaDoutora em Genética e Biologia Molecular2013/01401-9FAPESPCNP

Effects of the Italian financial crisis on the photovoltaic dissemination in a southern city

The aim of this paper is to estimate how the profitability of grid-connected PV (photovoltaic) systems may vary month by month due to the changes in all parameters involved in the economic evaluation (discount rate, PV electricity selling price, inflation rate, price of PV devices etc.). The effects of these variations were investigated for a district of a city in the South Italy (Palermo). The results of the analysis provided the trend of the actual coverage of the district power demand from June 2010 to August 2012. In particular the load match index, which considers the daily energy demand covered by PV systems, ranged from almost 30% to less than 12%, which is less than the value of 17% of the final energy consumption in 2020 from renewable energy sources that Italy is obliged to ensure by the European Union Directive 2009/28/EC. Finally, a sensitivity analysis related to shading and mismatch factors was carried out. If 10% of the solar energy had been shadowed, the load match index would have reduced of 70%. Similarly, if only 40% of electrical production had been used, the load match index would have lowered to an almost null value in January 2012

An improved photographic method to estimate the shading effect of obstructions

A new photographic method is presented to evaluate the shading effects of obstructions on surfaces exposed to the sun. The method overcomes the difficulties caused by the need to accurately describe the surrounding objects to estimate the shading effects by means of the usual tools that use the spatial reconstruction of obstructions or cylindrical or polar suncharts. The photographs of the surrounding objects are used as the background on which the solar disc is depicted at the various hours of the day. In this way it is easily detectable if the sun is visible from the place where the photographs were taken or if the surrounding obstructions obscure the sun. In spite of the complex mathematical background of the new method, the practical application of the procedure is very simple, and only requires the measurements of three angles for each photograph. The procedure permits to verify the suitability of a generic site for solar exploitation; its main benefit is the simplicity of use and the transparency of the obtained results. This method is particularly useful to evaluate the technical feasibility of small solar systems installed on the buildings of densely urbanised cities. The accuracy of the method was tested by performing an experimental verification in the field. For this purpose, the sun was photographed at different hours of the day. The photographed solar discs and the calculated sun’s positions were compared. The differences between the photographed and calculated sun’s positions corresponded to small time lags that do not exceed few minutes in the worst case. To further investigate the reliability of the proposed method, the impact of image distortion, which always affects all methods that use cameras to get information about the photographed reality, was also examined

A Criterion for Rating the Usability and Accuracy of the One-Diode Models for Photovoltaic Modules

In selecting a mathematical model for simulating physical behaviours, it is important to reach an acceptable compromise between analytical complexity and achievable precision. With the aim of helping researchers and designers working in the area of photovoltaic systems to make a choice among the numerous diode-based models, a criterion for rating both the usability and accuracy of one-diode models is proposed in this paper. A three-level rating scale, which considers the ease of finding the data used by the analytical procedure, the simplicity of the mathematical tools needed to perform calculations and the accuracy achieved in calculating the current and power, is used. The proposed criterion is tested on some one-diode equivalent circuits whose analytical procedures, hypotheses and equations are minutely reviewed along with the operative steps to calculate the model parameters. To assess the achievable accuracy, the current-voltage (I-V) curves at constant solar irradiance and/or cell temperature obtained from the analysed models are compared to the characteristics issued by photovoltaic (PV) panel manufacturers and the differences of current and power are calculated. The results of the study highlight that, even if the five parameter equivalent circuits are suitable tools, different usability atings and accuracies can be observed