1,721,301 research outputs found
Development of a pricing methodology for CDS on Small and Medium Enterprises
No full textThe present thesis is aimed to investigate the possibility to expand the hedging purpose of Credit Default Swaps (CDS), to hedge credit risk on trade credits of Small and Medium (industrial) Enterprises (SME).
Recent years of severe economic crisis have led to some deep changings in the practices of credit management within industrial entities. Year after year such entities have stressed their attention on credit risk management.
At the end of the chain of credit risk management we find Trade credit insurance, which is a fast growing sector, with raising interest by the industrial entities.
Conceptually, Trade credit insurance’s purpose is not quite different than the purpose of a Credit Default Swap (i.e. hedging the buyer from the insolvency risk of an underlying entity), so it would be its most direct competitor.
The main issue in extending the pricing of CDS to SME is represented by the fact that SME, in general terms, are neither listed nor rated and do not issue debt instruments. This entails the fact that, for such entities, risk neutral Probabilities of Default, needed by standard pricing models, cannot be retrieved from market traded instruments.
To overcome such issue, we constructed an “equivalent risk neutral PD”. The approach was similar to the Radon-Nikodym theorem: we defined a corrective factor to be applied to the “real world PDs”, in order to obtain an equivalent risk neutral Probability of Default. Obviously, what obtained is a proxy.
Real world PDs for SME were calculated starting by the databases put into our disposal by modeFinance Srl, which is a certified credit rating agency, specialized in the creditworthiness evaluation of Small and Medium Enterprises. On the other hand, CDS risk neutral default probabilities were bootstrapped from real CDS trades, by different maturities and rating classes. The data source was in this case Bloomberg.
Being such hypothetical CDS a new instrument, there is no real benchmark to state whether the obtained spreads resulted into a fair cost, or not.
So we first applied the developed pricing model to a set of 1,000 Italian SME. The results obtained were quite positive, since the average SME-CDS spread obtained by rating class and maturity, other than being monotonically increasing with rating class worsening and maturity increasing, was also in average 42% higher than the (average) spreads observed for real traded CDS, as common sense would suggest it had to be.
As a final step we compared the obtained cost of these new instrument with the cost of 4 standard Trade credit insurance policies (which were kindly disclosed, in anonymous form, by the insurance broker Willis Italia S.p.A.).
Even if CDS and Trade Credit Insurance may have the same conceptual goal (to protect from default risk of an underlying entity), as instruments they are radically different and such cost comparison of the two is not quite straightforward.
In order to make the comparison more plausible, we made two hypotheses on how to calculate the equivalent CDS cost of such trade credit insurance policies.
For all the analyzed policies, the real policy cost was lying between the two CDS cost proxies.
In general terms at the moment, it is hard to tell whether the CDS prices obtained with the model developed, could be defined “fair”. Certainly, the results of the benchmarking tell us that they are at least plausible
INFLUENCE OF CRYSTALLINITY ON THE BIO-DEGRADATION RATE OF INJECTION MOLDED POLY(LACTIC ACID) SAMPLES IN CONTROLLED COMPOSTING CONDITIONS
No full textOne of the most attractive characteristics of poly(lactic acid) (PLA) is the fact that, following the international standards for polymer biodegradation, it can be potentially degraded in soil or compost. The potential of this material, however, requires additional investigations in order to understand the PLA behaviour during composting, including the main factors that affect the biodegradation phenomena. In this work, the degradation of PLA was investigated in both distilled water and controlled composting conditions at a temperature of 58 °C. PLA samples with different morphologies were prepared by injection moulding and successive annealing at high temperature. As expected, the crystallinity was found to decrease the PLA degradation rate, but it was also found that the crystallinity affects only partially the first stages of water diffusion in the polymer matrix, whereas it has a significant effect on the final swelling of the samples and on their biodegradation rate. It could therefore be concluded that the denser structure of the initially crystalline sample was more impermeable to the enzymatic attach and to oligomer diffusion. This was also testified by the fact that if the characteristic dimension of the crystalline sample is reduced, degradation rate becomes much faster and close (although still slower) to that of the amorphous sample
Instabilità di pull-in per pinze in nano-tubi di carbonio: formulazione analitica e convalida sperimentale di macro modelli
No full textIl presente lavoro investiga il fenomeno dell’instabilità di pull-in di un attuatore NEMS azionato elettrostaticamente, composto da pinze in nano-tubi di carbonio (CNT). Ad una determinata tensione critica, definita tensione di pull-in, la forza di attrazione elettrostatica tra i due nano-tubi causa la chiusura improvvisa del dispositivo definendo il limite di stabilità elastica del sistema. Il lavoro ha l’obiettivo di stimare i limiti inferiore e superiore di pull-in di un dispositivo NEMS CNT tramite l’applicazione di un accurato modello analitico che permette di determinare i valori limite di tensione e deflessione dell’attuatore. Al fine di convalidare il modello analitico, è stato realizzato un prototipo di attuatore in scala millimetrica per la misurazione della tensione critica per differenti configurazioni geometriche del dispositivo. I risultati ottenuti sono ottimi con una differenza tra analitico e sperimentale per la tensione di pull-in in un intervallo tra lo 0.83% ed il 13%
Struttura reticolare progettata razionalmente per protesi ossee vertebrali trabecolari
No full textLa presente tesi descrive il metodo e i risultati relativi alla progettazione e validazione sperimentale di una nuova struttura reticolare porosa per protesi vertebrali di tipo lombare. Fratture vertebrali, tumori spinali e deformità post-traumatiche comportano molto spesso la rimozione del corpo vertebrale danneggiato, nota come Total Vertebral Body Replacement (VBR). La ricostruzione della colonna vertebrale consiste in un’artrodesi spinale, dove un impianto vertebrale, denominato “gabbia”, viene inserito dopo una corpectomia totale in combinazione con un sistema di fissazione secondario. Tecniche di produzione additiva di recente sviluppo consentono la produzione di differenti strutture trabecolari in titanio ad elevata porosità (ad es. strutture giroidali), in grado di assicurare elevati livelli di fusione ossea e vascolarizzazione. Tuttavia, questi tipi di impianto mostrano numerose complicazioni, tra le quali contatti localizzati tra le placche terminali protesiche e le placche terminali vertebrali, e valori del modulo elastico della struttura molto elevati che aumentano il rischio di ipo-sollecitazione ossea (stress shelding) e i fenomeni di subsidenza della struttura. In questo lavoro, viene presentata un’originale struttura porosa per impianti ossei vertebrali trabecolari. Il lavoro si focalizza sulla progettazione e la convalida sperimentale di una nuova struttura in titanio in stampa 3D, che ha lo scopo di incrementare la durata a fatica dell’impianto, e allo stesso tempo, ottenere proprietà meccaniche simili a quelle dell’osso trabecolare umano. La soluzione proposta è un’innovativa struttura in metamateriale reticolare biocompatibile composta da una geometria a cubi auxetici altamente porosa che presenta un valore del coefficiente di Poisson negativo. La definizione della struttura ottimale si basa su un processo di progettazione efficiente e robusto che considera le problematiche operative in fase di resezione del corpo vertebrale e le sollecitazioni critiche che agiscono lungo il tratto spinale. Allo scopo di valutare la risposta strutturale del sistema per differenti configurazioni dell’architettura proposta, vengono utilizzati modelli 2D e 3D agli elementi finiti della struttura. L’ottimizzazione identifica specifiche combinazioni dei parametri geometrici della struttura auxetica in grado di ridurre la tensione massima sul sistema per deformazioni fino al 3% della struttura. Al fine di verificare la risposta strutturale della soluzione proposta, è stato realizzato un prototipo della geometria in lega di titanio (Ti6Al4V ELI) tramite la tecnica di stampa 3D a sinterizzazione laser DMLS, eseguendo una prova di compressione statica sul provino e monitorando il campo degli spostamenti con un sistema di correlazione d’immagini digitale (DIC). I risultati sperimentali confermano le previsioni numeriche in termini di coefficiente di Poisson e caratteristiche meccaniche. Confrontando la soluzione proposta con le strutture presenti in letteratura, si nota una notevole riduzione delle sollecitazioni puntuali sul sistema poroso con eccellenti proprietà elastiche in combinazione con una buona facilità di realizzazione.This thesis describes the method and the results of the design and experimental validation of a new porous lattice structure for a lumbar vertebral prosthesis. Unstable vertebral body compression fractures, spinal tumors and post-traumatic deformities require a total vertebral body replacement (VBR). The reconstruction of the vertebral segment consists of a spinal arthrodesis, where a vertebral implant, also called cage, is inserted after a total corpectomy in combination with an internal spinal fixation device. Recently developed additive manufacturing techniques allow the production of titanium biomaterials (i.e. gyroid lattice structures) with interconnected porosity which ensures high tissue ingrowth and vascularization. However, these implants show several complications, including a localized contact between prosthetic and vertebral endplates, and higher modulus of elasticity which increases stress shielding and potential subsidence. In this work, a novel porous lattice structure was developed for human cancellous bone vertebral implants. The work focuses on the design and experimental validation of a new 3D printed titanium-based lattice structure, with the aims to improve fatigue life resistance and, at the same time, to achieve similar mechanical properties to that of the human trabecular bone. The proposed solution is an innovative meta-biomaterials that consists of a high porous auxetic rotating cubes geometry with negative value of Poisson’s ratio. The structural design of this structure is based on an efficient and robust design process, which considers the most critical factors of the vertebral body resection and the lumbar spinal fatigue loading. In order to evaluate the mechanical response of the VBR lattice structure for different rotating auxetic configurations, 2D and 3D finite element models of the system were used. The optimization identified some peculiar configurations of the auxetic lattice system that can reduce the maximum stresses for global strains up to 3%. To assess the structural response of the proposed architecture, we manufactured a prototype in titanium alloy material (Ti6Al4V ELI) through the direct metal laser sintering (DMLS) 3D-printing technique and performed a compressive test by measuring the displacement field of the specimen through a digital imagine correlation (DIC). The experimental results confirmed the numerical predictions in terms of Poisson’s ratio and mechanical properties. By comparing the proposed solution with the actual VBR lattice structures from the literature, it appears a noticeable stress reduction with improved elastic properties combined with an easy manufacturing
Mechanical milling as a technology to produce structural and functional bio-nanocomposites
No full textNovel polyhedral mechanical metamaterial exhibiting negative Poisson's ratio
Full text linkThe work presents a novel polyhedral mechanical metamaterial based on rotating triangular prisms connected by their corners, which possesses the ability to attain large values of negative Poisson's ratio (NPR). Through a kinematic model of the proposed rotating structure, we evaluate the auxeticity of the system by varying the geometrical parameters of the polyhedrons composing the elementary cell of the structure. The kinematic results highlight the peculiar NPR of the system, whose values are nearly constant over significant strain ranges. Focusing on the most promising auxetic mechanisms we designed chiral architectures that replace the ideal hinges at the corners with curved-shape ligaments, and validated these configurations through 3D printed specimens. The specimens were tested under uniaxial compression and simulated through finite element analyses. Experimental results exhibited an excellent agreement with computational predictions in terms of elastic modulus and auxeticity, showing a value of Poisson's ratio up to -1.3 for one of the designs. Our findings demonstrate the highly auxetic property of rotating polyhedral systems, which allow the design of novel architected materials useful, for example, in biomechanical applications
DETERMINATION OF THE EFFECT OF PRESSURE ON VISCOSITY OF AN ISOTACTIC POLYPROPYLENE
No full textDespite the importance of the effect of pressure on the flow properties of a polymeric material, it is often overlooked also because of the difficulties involved in the experimental measurements. In this study, the effect of pressure on viscosity for an isotactic polypropylene was characterized in both a direct and an indirect method. In particular, a homemade device was adopted to obtain data of viscosity under high pressure and high shear rates. In addition, an indirect method based on the Simha–Somcynsky equation of state was adopted to obtain the dependence of free volume on temperature and pressure on the basis of experimental specific volume measurements; the Doolittle equation was then applied to verify the dependence of viscosity on free volume. The two methods provided similar results, confirming that, at least for polypropylene, the indirect method based on specific volume measurements can be used instead of the more complex direct measurement of the viscosity under pressure
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