Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.

INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE

ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The methodological contribution of this study illustrates the complexity of the interrelationships between uncertain variables and their impact on the convenience of carrying out this type of business in Chile. The steps for the analysis of economic viability were: First, adjusted probability distributions for stochastic input variables (SIV) were simulated and validated. Second, the random values of SIV were used to calculate random values of variables such as production, revenues, costs, depreciation, taxes and net cash flows. Third, the complete stochastic model was simulated with 10,000 iterations using random values for SIV. This result gave information to estimate the probability distributions of the stochastic output variables (SOV) such as the net present value, internal rate of return, value at risk, average cost of production, contribution margin and return on capital. Fourth, the complete stochastic model simulation results were used to analyze alternative scenarios and provide the results to decision makers in the form of probabilities, probability distributions, and for the SOV probabilistic forecasts. The main conclusion shown that this project is a profitable alternative investment in fruit trees in Chile.

An analysis of the risk of cocoa moniliasis occurrence in Brazil as the result of climate change

The aim of this study was to evaluate the potential risk of moniliasis occurrence and the impacts of climate change on this disease in the coming decades, should this pathogen be introduced in Brazil. To this end, climate favorability maps were devised for the occurrence of moniliasis, both for the present and future time. The future scenarios (A2 and B2) focused on the decades of 2020, 2050 and 2080. These scenarios were obtained from six global climate models (GCMs) made available by the third assessment report of Intergovernmental Panel on Climate Change (IPCC). Currently, there are large areas with favorable climate conditions for moniliasis in Brazil, especially in regions at high risk of introduction of that pathogen. Considering the global warming scenarios provided by the IPCC, the potential risk of moniliasis occurrence in Brazil will be reduced. This decrease is predicted for both future scenarios, but will occur more sharply in scenario A2. However, there will still be areas with favorable climate conditions for the development of the disease, particularly in Brazil's main producing regions. Moreover, pathogen and host alike may undergo alterations due to climate change, which will affect the extent of their impacts on this pathosystem.

Mutations in the HFE gene and sporadic amyotrophic lateral sclerosis risk: a meta-analysis of observational studies

Iron homeostasis dysregulation has been regarded as an important mechanism in neurodegenerative diseases. The H63D and C282Y polymorphisms in theHFE gene may be involved in the development of sporadic amyotrophic lateral sclerosis (ALS) through the disruption of iron homeostasis. However, studies investigating the relationship between ALS and these two polymorphisms have yielded contradictory outcomes. We performed a meta-analysis to assess the roles of the H63D and C282Y polymorphisms of HFEin ALS susceptibility. PubMed, MEDLINE, EMBASE, and Cochrane Library databases were systematically searched to identify relevant studies. Strict selection criteria and exclusion criteria were applied. Odds ratios (ORs) with 95% confidence intervals (CIs) were used to assess the strength of associations. A fixed- or random-effect model was selected, depending on the results of the heterogeneity test. Fourteen studies were included in the meta-analysis (six studies with 1692 cases and 8359 controls for C282Y; 14 studies with 5849 cases and 13,710 controls for H63D). For the C282Y polymorphism, significant associations were observed in the allele model (Y vs C: OR=0.76, 95%CI=0.62-0.92, P=0.005) and the dominant model (YY+CYvs CC: OR=0.75, 95%CI=0.61-0.92, P=0.006). No associations were found for any genetic model for the H63D polymorphism. The C282Y polymorphism in HFE could be a potential protective factor for ALS in Caucasians. However, the H63D polymorphism does not appear to be associated with ALS.

Survival analysis: a tool in the study of post-harvest diseases in peaches

Survival analysis is applied when the time until the occurrence of an event is of interest. Such data are routinely collected in plant diseases, although applications of the method are uncommon. The objective of this study was to use two studies on post-harvest diseases of peaches, considering two harvests together and the existence of random effect shared by fruits of a same tree, in order to describe the main techniques in survival analysis. The nonparametric Kaplan-Meier method, the log-rank test and the semi-parametric Cox's proportional hazards model were used to estimate the effect of cultivars and the number of days after full bloom on the survival to the brown rot symptom and the instantaneous risk of expressing it in two consecutive harvests. The joint analysis with baseline effect, varying between harvests, and the confirmation of the tree effect as a grouping factor with random effect were appropriate to interpret the phenomenon (disease) evaluated and can be important tools to replace or complement the conventional analysis, respecting the nature of the variable and the phenomenon.

Risk factors for basal cell carcinoma: a case-control study

A controlled trial was performed with the purpose of investigating which factors could be considered of significant risk for the development of basal cell carcinoma. A total of 259 cases of basal cell carcinoma diagnosed from July 1991 to July 1992 were compared with 518 controls matched for age and sex. All subjects in both groups were white. Protocol data were submitted to statistical analysis by the chi-square test and by multiple conditional logistic regression analysis and the following conclusions were reached: 1) light skin color (types I and II of the Fitzpatrick classification), odds ratio of 2.8; outdoor work under constant sunlight, odds ratio of 5.0; the presence of actinic lesions due to exposure to the sun, odds ratio of 4.9, are risk factors perse. 2) Type III skin in the Fitzpatrick classification only represents a risk factor when the patient reports a history of intense sunburns, but not in the absence of such a history. 3) Sunburns per se do not represent a risk factor althorig the point made in item 2 of these conclusions is valid. 4) Other suspected risk factors whose significance was not confirmed by multiple conditioned logistic regression analysis were: residence in rural areas, light eyes and blond hair color, extent of the awareness of the "sun x skin cancer" relationship, familial occurrence of skin cancer, excessive exposure to the sun, and freckles appearing in childhood.

Risk factors for perinatal mortality in an urban area of Southern Brazil, 1993

INTRODUCTION: Although there was a considerable reduction in infant mortality in Pelotas, Rio Grande do Sul in the last decade, its perinatal causes were reduced only by 28%. The associated factors of these causes were analised. MATERIAL AND METHOD: All hospital births and perinatal deaths were assessed by daily visits to all the maternity hospitals in the city, throughout 1993 and including the first week of 1994. RESULTS: The perinatal mortality rate was 22.1 per thousand births. The multivariate analysis showed the following risk factors: low socioeconomic level, male sex and maternal age above 35 years . Among multigravidae women, the fetal mortality rate was significantly increased for mothers with a previously low birthweight and a previous stillbirth. For early neonatal mortality the risk was significantly increased by a smaller number of antenatal visits than 5 and low birthweight. CONCLUSIONS: Main risk factors for perinatal mortality: low socioeconomic level, maternal age above 35 years and male sex. For early neonatal mortality the risk was significantly increased by a smaller number of antenatal visits than 5 and low birthweight.

Risk factors for the increasing trend in low birth weight among live births born by vaginal delivery, Brazil

OBJECTIVE: To identify risk factors for low birth weight (LBW) among live births by vaginal delivery and to determine if the disappearance of the association between LBW and socioeconomic factors was due to confounding by cesarean section. METHODS: Data were obtained from two population-based cohorts of singleton live births in Ribeirão Preto, Southeastern Brazil. The first one comprised 4,698 newborns from June 1978 to May 1979 and the second included 1,399 infants born from May to August 1994. The risks for LBW were tested in a logistic model, including the interaction of the year of survey and all independent variables under analysis. RESULTS: The incidence of LBW among vaginal deliveries increased from 7.8% in 1978--79 to 10% in 1994. The risk was higher for: female or preterm infants; newborns of non-cohabiting mothers; newborns whose mothers had fewer prenatal visits or few years of education; first-born infants; and those who had smoking mothers. The interaction of the year of survey with gestational age indicated that the risk of LBW among preterm infants fell from 17.75 to 8.71 in 15 years. The mean birth weight decreased more significantly among newborns from qualified families, who also had the highest increase in preterm birth and non-cohabitation. CONCLUSIONS: LBW among vaginal deliveries increased mainly due to a rise in the proportion of preterm births and non-cohabiting mothers. The association between cesarean section and LBW tended to cover up socioeconomic differences in the likelihood of LBW. When vaginal deliveries were analyzed independently, these socioeconomic differences come up again.

Dengue and the risk of urban yellow fever reintroduction in São Paulo State, Brazil

OBJECTIVE: To propose a mathematical method for the estimation of the Basic Reproduction Number, R0, of urban yellow fever in a dengue-infested area. METHODS: The method is based on the assumption that, as the same vector (Aedes aegypti) causes both infections, all the quantities related to the mosquito, estimated from the initial phase of dengue epidemic, could be applied to yellow fever dynamics. It is demonstrated that R0 for yellow fever is, on average, 43% lower than that for dengue. This difference is due to the longer dengue viremia and its shorter extrinsic incubation period. RESULTS: In this study the analysis was expanded to the epidemiological situation of dengue in São Paulo in the year 2001. The total number of dengue cases increased from 3,582 in 2000 to 51,348 in 2001. It was then calculated R0 for yellow fever for every city which have shown R0 of dengue greater than 1. It was also estimated the total number of unprotected people living in highly risky areas for urban yellow fever. CONCLUSIONS: Currently there is a great number of non-vaccinated people living in Aedes aegypti infested area in the state of São Paulo.

Dietary patterns and risk of oral cancer: a case-control study in São Paulo, Brazil

OBJECTIVE: To analyze the association between dietary patterns and oral cancer. METHODS: The study, part of a Latin American multicenter hospital-based case-control study, was conducted in São Paulo, Southeastern Brazil, between November 1998 and March 2002 and included 366 incident cases of oral cancer and 469 controls, frequency-matched with cases by sex and age. Dietary data were collected using a food frequency questionnaire. The risk associated with the intake of food groups defined a posteriori, through factor analysis (called factors), was assessed. The first factor, labeled "prudent," was characterized by the intake of vegetables, fruit, cheese, and poultry. The second factor, "traditional," consisted of the intake of rice, pasta, pulses, and meat. The third factor, "snacks," was characterized as the intake of bread, butter, salami, cheese, cakes, and desserts. The fourth, "monotonous," was inversely associated with the intake of fruit, vegetables and most other food items. Factor scores for each component retained were calculated for cases and controls. After categorization of factor scores into tertiles according to the distribution of controls, odds ratios and 95% confidence intervals were calculated using unconditional multiple logistic regression. RESULTS: "Traditional" factor showed an inverse association with cancer (OR=0.51; 95% CI: 0.32; 0.81, p-value for trend 0.14), whereas "monotonous" was positively associated with the outcome (OR=1.78; 95% CI: 1.78; 2.85, p-value for trend <0.001). CONCLUSIONS: The study data suggest that the traditional Brazilian diet, consisting of rice and beans plus moderate amounts of meat, may confer protection against oral cancer, independently of any other risk factors such as alcohol intake and smoking.

Risk-factors for antepartum fetal deaths in the city of São Paulo, Brazil

OBJECTIVE: To assess risk factors for antepartum fetal deaths. METHODS: A population-based case-control study was carried out in the city of São Paulo from August 2000 to January 2001. Subjects were selected from a birth cohort from a linked birth and death certificate database. Cases were 164 antepartum fetal deaths and controls were drawn from a random sample of 313 births surviving at least 28 days. Information was collected from birth and death certificates, hospital records and home interviews. A hierarchical conceptual framework guided the logistic regression analysis. RESULTS: Statistically significant factors associated with antepartum fetal death were: mother without or recent marital union; mother's education under four years; mothers with previous low birth weight infant; mothers with hypertension, diabetes, bleeding during pregnancy; no or inadequate prenatal care; congenital malformation and intrauterine growth restriction. The highest population attributable fractions were for inadequacy of prenatal care (40%), hypertension (27%), intrauterine growth restriction (30%) and absence of a long-standing union (26%). CONCLUSIONS: Proximal biological risk factors are most important in antepartum fetal deaths. However, distal factors - mother's low education and marital status - are also significant. Improving access to and quality of prenatal care could have a large impact on fetal mortality.

Core group approach to identify college students at risk for sexually transmitted infections

OBJECTIVE: To analyze the core group for sexually transmitted infections (STI) among college students. METHODS: Cross-sectional study carried out in a convenience sample comprising 711 college students of the public university of Morelos, Mexico, between 2001 and 2003. Sociodemographic and sexual behavior information were collected using self-applied questionnaires. Herpes simplex 2 (HSV-2) infection was tested in the blood. The number of sexual partners in the last year and cocaine consumption were used as indicators to construct the dependent variable "level of STI risk" in three categories: low, medium and high risk (core group). A multinomial analysis was conducted to evaluate whether different sex behaviors were associated with the variable "level of STI risk". RESULTS: There was significant association between HSV-2 seroprevalence and the variable "level of STI risk": 13%, 5.6% and 3.8% were found in high (core group), medium and low categories, respectively. There were gender differences regarding the core group. Men started having sexual intercourse earlier, had more sex partners, higher alcohol and drug consumption, higher frequency of sex intercourse with sex workers, exchanging sex for money, occasional and concurrent partners compared to women. CONCLUSIONS: The study findings suggest existing contextual characteristics in the study population that affect their sex behavior. In Mexico, the cultural conception of sexuality is determined mainly by gender differences where men engage in higher risky sexual behavior than women.

Spatial analysis of urban violence based on emergency room data

OBJECTIVE: To estimate the spatial intensity of urban violence events using wavelet-based methods and emergency room data. METHODS: Information on victims attended at the emergency room of a public hospital in the city of São Paulo, Southeastern Brazil, from January 1, 2002 to January 11, 2003 were obtained from hospital records. The spatial distribution of 3,540 events was recorded and a uniform random procedure was used to allocate records with incomplete addresses. Point processes and wavelet analysis technique were used to estimate the spatial intensity, defined as the expected number of events by unit area. RESULTS: Of all georeferenced points, 59% were accidents and 40% were assaults. There is a non-homogeneous spatial distribution of the events with high concentration in two districts and three large avenues in the southern area of the city of São Paulo. CONCLUSIONS: Hospital records combined with methodological tools to estimate intensity of events are useful to study urban violence. The wavelet analysis is useful in the computation of the expected number of events and their respective confidence bands for any sub-region and, consequently, in the specification of risk estimates that could be used in decision-making processes for public policies.

HIV/AIDS risk among female sex workers who use crack in Southern Brazil

OBJECTIVE: To understand the social context of female sex workers who use crack and its impact on HIV/AIDS risk behaviors. METHODODOLOGICAL PROCEDURES: Qualitative study carried out in Foz do Iguaçu, Southern Brazil, in 2003. Twenty-six in-depth interviews and two focus groups were carried out with female commercial sex workers who frequently use crack. In-depth interviews with health providers, community leaders and public policy managers, as well as field observations were also conducted. Transcript data was entered into Atlas.ti software and grounded theory methodology was used to analyze the data and develop a conceptual model as a result of this study. ANALYSIS OF RESULTS: Female sex workers who use crack had low self-perceived HIV risk in spite of being engaged in risky behaviors (e.g. unprotected sex with multiple partners). Physical and sexual violence among clients, occasional and stable partners was widespread jeopardizing negotiation and consistent condom use. According to health providers, community leaders and public policy managers, several female sex workers who use crack are homeless or live in slums, and rarely have access to health services, voluntary counseling and testing, social support, pre-natal and reproductive care. CONCLUSIONS: Female sex workers who use crack experience a plethora of health and social problems, which apparently affect their risks for HIV infection. Low-threshold, user-friendly and gender-tailored interventions should be implemented, in order to increase the access to health and social-support services among this population. Those initiatives might also increase their access to reproductive health in general, and to preventive strategies focusing on HIV/AIDS and other sexually transmitted infections.

HIV infection and related risk behaviors in a community of recyclable waste collectors of Santos, Brazil

OBJECTIVE: To estimate the seroprevalence of HIV, hepatitis B and C and syphilis and to describe risk behaviors associated to their transmission among recyclable waste collectors. METHODS: A seroepidemiological survey was carried out in the city of Santos, Southeastern Brazil, in 2005. A total of 315 individuals were enrolled in the survey, of which 253 subjects underwent serological testing HIV, hepatitis B and C and syphilis. Statistical analysis consisted of univariate and bivariate analyses (cross-tabulation and odds ratio) and multivariate analysis (by logistic regression), relating HIV infection with established risk behaviors and seropositivity. RESULTS: Overall seroprevalences were: HIV, 8.9%; hepatitis B, 34.4%; hepatitis C, 12.4%; and syphilis, 18.4%. Subjects were characterized by a predominance of males with low educational and economic levels, subjected to parenteral and sexual exposures to HIV and other sexually transmitted infections. Multivariate analysis results indicated that risk factors for both sexually and parenterally related exposure were significantly associated with HIV in this community. CONCLUSIONS: Seroprevalences found in the study were approximately 10 to 12 times higher than the national average. These communities are socially marginalized and generally not recognized by national programs as potentially endangered populations.