Portfolio valuation in banks

Frequent references are made to the use of portfolio spread rates in managing financial risks in banks, but indications as to the procedures for determining such rates are very scant.The purpose of this article is to present some initial ideas on the subject: a Standard Funding system indicates what each portfolio should have earned, while an Actual Funding system points out what each portfolio did, in fact, earn; additionally, by comparing the outcomes of the two funding systems for each portfolio, it is possible to determine what each portfolio earned (or lost) in the way of arbitrage.

Portfolio de produção agropecuária e gestão de riscos de mercado nas cooperativas do agronegócio paranaense

Neste artigo, apresentam-se uma avaliação da prática da gestão dos riscos de mercado pelas cooperativas do Paraná (Brasil) e um estudo do portfolio de produção agropecuária desse estado considerando a relação retorno-risco. Usando a análise E-V do modelo de Markowitz, foi definida uma fronteira de eficiência em que foi possível verificar quais seriam as mudanças necessárias no portfolio visando à eficiência econômica (definida aqui como o trade-off entre retorno e risco). Por meio de questionários e entrevistas, foi avaliada a disposição das cooperativas em incentivar tais mudanças em seus portfolios e na produção de seus cooperados. Também foi possível avaliar qual o grau de importância atribuído a fontes de risco de mercado e qual o grau de relevância de um conjunto de estratégias passíveis de serem adotadas para lidar com esses riscos. O objetivo geral foi avaliar quais seriam as possíveis influências que as cooperativas poderiam exercer nas alterações das preferências de produção visando à melhoria da relação retorno-risco. Verificou-se que os principais motivos que influenciam as decisões sobre produção estão relacionados a aspectos econômicos e racionais, como foco estratégico da cooperativa e resistências dos cooperados. Os motivos relacionados a aspectos políticos ou sociais, inerentes às características organizacionais das cooperativas, não exercem influência significativa nas decisões sobre diversificação como instrumento para a gestão dos riscos de mercado no contexto paranaense.

Pedagogical reflective practice of nursing undergraduates: the portfolio as an instrument

Objective Analyzing the narratives related to the pedagogical practice experienced during the Supervised Curricular Internship reported in the portfolios of Nursing undergraduate students, regarding the levels of reflection. Method This is a documentary descriptive exploratory study that examined two of the activities proposed for the portfolio preparation. Results Among the 28 analyzed portfolios, all showed the three levels of reflection (technical, critical and metacritical). Conclusion The students had the opportunity to experience the pedagogical practice and presented reflections at metacritical level, reflecting on their performance, the construction of their teaching identity, and about the importance of reflecting on the practice with the objective of transforming it and transforming themselves.

Juegos olímpicos y paralímpicos en Brasil: aprendiendo de Barcelona y Sidney

Entre 2014 y 2016, Brasil será sede de numerosos eventos, donde se destaca la celebración de las Olimpiadas en Rio de Janeiro. La industria del turismo será una de las grandes beneficiadas, teniendo como objetivo duplicar el número de turistas, 10 millones en 2016, y generar oportunidades de negocios. Esta investigación plantea el análisis de dicha meta a través de dos elementos vinculados a las Olimpíadas, el legado y la apertura a nuevos segmentos de turistas, concretamente el turismo sénior y el accesible. Se llevará a cabo un análisis de contenido de la bibliografía existente sobre Río 2016 para determinar el estado del arte, y posteriormente se realizará un estudio de caso de las Olimpíadas de Barcelona y Sídney, con el objetivo de obtener las claves del éxito de su legado y la repercusión a nivel turístico. Esto posibilitará identificar los pasos a seguir por Brasil para alcanzar su objetivo turístico.

MICROFINANCE AND CLIMATE CHANGE IMPACTS: THE CASE OF AGROAMIGO IN BRAZIL

ABSTRACTThis paper reports an empirical case study on the interface between microfinance and climate change actions. Climate change, which until recently seemed a luxury for the microfinance sector, now appears to be crucial for its future. For their low adaptive capacity, the millions of microfinance clients worldwide happen to be the most vulnerable to a changing climate. However, such an arena is still blurred from an academic viewpoint, and inexistent among Brazilian academia. Therefore, by investigating Brazil’s largest rural MFI, Agroamigo, we aim at providing an empirical contribution to green microfinance. The main conclusion is that, albeit Agroamigo offers important links to climate change initiatives, it will need to take better account of specific vulnerabilities and risks to protect its portfolio and clients better from climate change impacts.

Green microfinance: the case of the Cresol System in Southern Brazil

Climate change which until recently seemed a luxury for the microfinance sector, now appears to be crucial for the future of the sector. Due to their low adaptive capacity, the millions of MF clients worldwide happen to be the most vulnerable to a changing climate. Adapting previous analysis conducted in Nepal and Bangladesh by Agrawala and Maëlis (2010) to the Brazilian context, in this inductive qualitative study we aim to assess potential synergies between MF and CC actions and what strategies can be harnessed to better respond to CC vulnerabilities at client/MF level. To do so, we investigated the case of the second largest rural microcredit programme in Brazil, Sistema Cresol de Cooperativas de Crédito Rural com Interação Solidária. Albeit important overlaps between Cresol's product envelope and CC strategies exist, there is still room to realise synergies to both mitigate a new potential source of risk to Cresol's portfolio and to increase clients' adaptive capacity.

Los saqueos y las ollas populares de 1989 en el Gran Buenos Aires. Pasado y presente de una experiencia formativa

En la década del 1980, un nuevo fenómeno: las tomas de tierras o "asentamientos" transforma los procesos de urbanización en el Area Metropolitana de Buenos Aires. Los autores, miembros de un equipo de investigación de la Universidad de General Sarmiento (Argentina), entrevistaron a habitantes de estos asentamientos, y se sorprendieron con las frecuentes menciones a los saqueos y ollas populares ocurridos doce años atrás en un contexto de hiperinflación. En este artículo, estos hechos son considerados como constitutivos de una experiencia formativa iniciada con la organización para la toma de tierras y seguida poco después por los saqueos de supermercados y otros negocios durante la hiperinflación de 1989. Esto da origen, posteriormente, a las ollas populares que paliaron el hambre de ese momento, y que luego se transformaron en comedores comunitarios, guarderías y otras organizaciones que hoy persisten. Esta indagación se apoya en los relatos de los entrevistados y en la recopilación de diferentes periódicos de ese momento.

Interleukin-10 rs1800896 and CXCR2 rs1126579 polymorphisms modulate the predisposition to septic shock

Despite major improvements in its treatment and diagnosis, sepsis is still a leading cause of death and admittance to the intensive care unit (ICU). Failure to identify patients at high risk of developing septic shock contributes to an increase in the sepsis burden and rapid molecular tests are currently the most promising avenue to aid in patient risk determination and therapeutic anticipation. The primary goal of this study was to evaluate the genetic susceptibility that affects sepsis outcome in 72 sepsis patients admitted to the ICU. Seven polymorphisms were genotyped in key inflammatory response genes in sepsis, including tumour necrosis factor-α,interlelukin (IL)-1β, IL-10,IL-8, Toll-like receptor 4, CXCR1and CXCR2. The primary finding showed that patients who were homozygous for the major A allele in IL-10rs1800896 had almost five times higher chance to develop septic shock compared to heterozygotes. Similarly, selected clinical features and CXCR2rs1126579 single nucleotide polymorphisms modulated septic shock susceptibility without affecting survival. These data support the hypothesis that molecular testing has clinical usefulness to improve sepsis prognostic models. Therefore, enrichment of the ICU portfolio by including these biomarkers will aid in the early identification of sepsis patients who may develop septic shock.

Are sustainable companies less risky and more profitable?

The purpose of this study was to determine whether there were significant differences in accounting indicators when comparing sustainable enterprises to other similar companies that are not considered as sustainable. The Corporate Sustainability Index of BM (São Paulo Stock, Commodities and Futures Exchange) was the criterion selected to break down the samples into sustainable and non-sustainable enterprises. The accounting indicators were separated into two kinds: risk (dividend payout, percentage growth of assets, financial leverage, current liquidity, asset size, variability of earnings, and accounting beta) and return (ROA, ROE, asset turnover, and net margin). We individually analyzed the companies in the energy sector, followed by those in the banking sector, as well as the entire ISE portfolio as of 2008/2009, including all the sectors. Mann-Whitney tests were performed in order to verify the difference of the means between the groups (ISE and non-ISE). The results, considering the method chosen and the time span covered by the study, indicate that there are no differences between sustainable companies and the others, when they are assessed by the accounting indicators used here.

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.

Análise de métricas de risco na otimização de portfolios de ações

RESUMOOs trabalhos de Markowitz e Sharpe formaram as bases da chamada Moderna Teoria do Portfolio. Com o passar dos anos, os trabalhos desses autores foram revisados e medidas alternativas para formação de carteiras foram propostas. Diante disso, há necessidade de avaliar quais as diferenças entre tais medidas. Segundo Roman e Mitra, esse problema constitui uma nova fase de estudos, denominada de Teoria do Portfolio Pós-Moderna. Neste artigo, o objetivo é comparar os modelos de otimização com a utilização das medidas de risco desvio padrão (DP), momento parcial inferior (LPM) e valor em risco condicional (CVaR), para o estudo de suas diferentes formas de alocações em carteiras de ações negociadas na BM&FBovespa. A realização do artigo foi dividida em duas etapas: na primeira, houve a seleção das medidas de risco e a definição do período de análise; na segunda, houve a divisão dos ativos de acordo com a forma da distribuição de probabilidade dos retornos, um grupo composto por ações com retornos normalmente distribuídos e outro grupo por ações com retornos que não possuem distribuição normal. Quanto às medidas de risco, os testes apresentaram características similares entre os modelos; em relação aos retornos, os modelos que minimizaram o LPM e o CVaR demonstraram resultados superiores em comparação ao DP. Esses resultados são relevantes porque põem em contraposição os trabalhos que defendem não existir diferenças significativas entre os modelos.