48 resultados para Time-varying Risk
Resumo:
We propose a method to analyse the 2009 outbreak in the region of Botucatu in the state of São Paulo (SP), Brazil, when 28 yellow fever (YF) cases were confirmed, including 11 deaths. At the time of the outbreak, the Secretary of Health of the State of São Paulo vaccinated one million people, causing the death of five individuals, an unprecedented number of YF vaccine-induced fatalities. We apply a mathematical model described previously to optimise the proportion of people who should be vaccinated to minimise the total number of deaths. The model was used to calculate the optimum proportion that should be vaccinated in the remaining, vaccine-free regions of SP, considering the risk of vaccine-induced fatalities and the risk of YF outbreaks in these regions.
Resumo:
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.
Resumo:
The objective of this work was to evaluate the seasonal variation of soil cover and rainfall erosivity, and their influences on the revised universal soil loss equation (Rusle), in order to estimate watershed soil losses in a temporal scale. Twenty-two TM Landsat 5 images from 1986 to 2009 were used to estimate soil use and management factor (C factor). A corresponding rainfall erosivity factor (R factor) was considered for each image, and the other factors were obtained using the standard Rusle method. Estimated soil losses were grouped into classes and ranged from 0.13 Mg ha-1 on May 24, 2009 (dry season) to 62.0 Mg ha-1 on March 11, 2007 (rainy season). In these dates, maximum losses in the watershed were 2.2 and 781.5 Mg ha-1 , respectively. Mean annual soil loss in the watershed was 109.5 Mg ha-1 , but the central area, with a loss of nearly 300.0 Mg ha-1 , was characterized as a site of high water-erosion risk. The use of C factor obtained from remote sensing data, associated to corresponding R factor, was fundamental to evaluate the soil erosion estimated by the Rusle in different seasons, unlike of other studies which keep these factors constant throughout time.