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.

Uncertainties of the 137Cs technique for validation of soil redistribution modelling in a semiarid meso-scale watershed

Scarcity of long-term series of sediment-related variables has led watershed managers to apply mathematical models to simulate sediment fluxes. Due to the high efforts for installation and maintenance of sedimentological gauges, tracers have been pointed out as an alternative to validate soil redistribution modelling. In this study, the 137Cs technique was used to assess the WASA-SED model performance at the Benguê watershed (933 km²), in the Brazilian semiarid. Qualitatively, good agreement was found among the 137Cs technique and the WASA-SED model results. Nonetheless, quantitatively great differences, up to two orders of magnitude, were found between the two methods. Among the uncertainties inherent to the 137Cs technique, definition of the reference inventory seems to be a major source of imprecision. In addition, estimations of water and sediment fluxes with mathematical models usually also present high uncertainty, contributing to the quantitative differences of the soil redistribution estimates with the two methods.

Validity of the Brazilian version of WHOQOL-BREF in depressed patients using Rasch modelling

OBJECTIVE: To assess the validity of the Brazilian version of the World Health Organization Quality of Life Instrument - Abbreviated version (WHOQOL-BREF) in adults with major depression, using Rasch modelling. METHODS: Study analyzing data from the baseline sample of the Longitudinal Investigation of Depression Outcomes in Brazil, including a total of 208 patients with major depression recruited in a primary care service in Porto Alegre (Southern Brazil), in 1999. The Center for Epidemiological Studies Depression Scale was used to assess intensity of depression; the WHOQOL-BREF to assess generic quality of life; and the Composite International Diagnostic Interview version 2.1 for the diagnosis of depression. RESULTS: In the Rasch analysis, the four domains of WHOQOL-BREF showed appropriate fit to this model. Some items needed adjustments: four items were rescored (pain, finances, services, and transport); two items (work and activity) were identified as having dependency of responses, and one item was deleted (sleep) due to multidimensionality. CONCLUSIONS: The validation of the WHOQOL-BREF Brazilian version using Rasch analysis complements previous validation studies, evidencing the robustness of this instrument as a generic cross-cultural quality of life measure.

Spatial modelling of Lutzomyia (Nyssomyia) whitmani s.l. (Antunes & Coutinho, 1939) (Diptera: Psychodidae: Phlebotominae) habitat suitability in the state of Mato Grosso, Brazil

Lutzomyia (Nyssomyia) whitmani s.l.is the main vector of cutaneous leishmaniasis in state of Mato Grosso, but little is known about environmental determinants of its spatial distribution on a regional scale. Entomologic surveys of this sand fly species, conducted between 1996 and 2001 in 41 state municipalities, were used to investigate the relationships between environmental factors and the presence of the species, and to develop a spatial model of habitat suitability. The relationship between averaged CDC light trap indexes and 15 environmental and socio-economic factors were tested by logistic regression (LR) analysis. Spatial layers of deforestation tax and the Brazilian index of gross net production (IGNP) were identified as significant explanatory variables for vector presence in the LR model, and these were then overlaid with habitat maps. The highest habitat suitability in 2001 was obtained for the heavily deforested areas in the Central-North, South, East, and Southwest of Mato Grosso, particularly in municipalities with lower IGNP values.

Large-scale patterns in morphological diversity and species assemblages in Neotropical Triatominae (Heteroptera: Reduviidae)

We analysed the spatial variation in morphological diversity (MDiv) and species richness (SR) for 91 species of Neotropical Triatominae to determine the ecological relationships between SR and MDiv and to explore the roles that climate, productivity, environmental heterogeneity and the presence of biomes and rivers may play in the structuring of species assemblages. For each 110 km x 110 km-cell on a grid map of America, we determined the number of species (SR) and estimated the mean Gower index (MDiv) based on 12 morphological attributes. We performed bootstrapping analyses of species assemblages to identify whether those assemblages were more similar or dissimilar in their morphology than expected by chance. We applied a multi-model selection procedure and spatial explicit analyses to account for the association of diversity-environment relationships. MDiv and SR both showed a latitudinal gradient, although each peaked at different locations and were thus not strictly spatially congruent. SR decreased with temperature variability and MDiv increased with mean temperature, suggesting a predominant role for ambient energy in determining Triatominae diversity. Species that were more similar than expected by chance co-occurred near the limits of the Triatominae distribution in association with changes in environmental variables. Environmental filtering may underlie the structuring of species assemblages near their distributional limits.

Diclofenac plasma protein binding: PK-PD modelling in cardiac patients submitted to cardiopulmonary bypass

Twenty-four surgical patients of both sexes without cardiac, hepatic, renal or endocrine dysfunctions were divided into two groups: 10 cardiac surgical patients submitted to myocardial revascularization and cardiopulmonary bypass (CPB), 3 females and 7 males aged 65 ± 11 years, 74 ± 16 kg body weight, 166 ± 9 cm height and 1.80 ± 0.21 m2 body surface area (BSA), and control, 14 surgical patients not submitted to CPB, 11 female and 3 males aged 41 ± 14 years, 66 ± 14 kg body weight, 159 ± 9 cm height and 1.65 ± 0.16 m2 BSA (mean ± SD). Sodium diclofenac (1 mg/kg, im Voltaren 75® twice a day) was administered to patients in the Recovery Unit 48 h after surgery. Venous blood samples were collected during a period of 0-12 h and analgesia was measured by the visual analogue scale (VAS) during the same period. Plasma diclofenac levels were measured by high performance liquid chromatography. A two-compartment open model was applied to obtain the plasma decay curve and to estimate kinetic parameters. Plasma diclofenac protein binding decreased whereas free plasma diclofenac levels were increased five-fold in CPB patients. Data obtained for analgesia reported as the maximum effect (EMAX) were: 25% VAS (CPB) vs 10% VAS (control), P<0.05, median measured by the visual analogue scale where 100% is equivalent to the highest level of pain. To correlate the effect versus plasma diclofenac levels, the EMAX sigmoid model was applied. A prolongation of the mean residence time for maximum effect (MRTEMAX) was observed without any change in lag-time in CPB in spite of the reduced analgesia reported for these patients, during the time-dose interval. In conclusion, the extent of plasma diclofenac protein binding was influenced by CPB with clinically relevant kinetic-dynamic consequences