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.

DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS

The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.

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.

Regional governance: strategies and disputes in health region management

OBJECTIVE To analyze the regional governance of the health systemin relation to management strategies and disputes.METHODOLOGICAL PROCEDURES A qualitative study with health managers from 19 municipalities in the health region of Bahia, Northeastern Brazil. Data were drawn from 17 semi-structured interviews of state, regional, and municipal health policymakers and managers; a focus group; observations of the regional interagency committee; and documents in 2012. The political-institutional and the organizational components were analyzed in the light of dialectical hermeneutics.RESULTS The regional interagency committee is the chief regional governance strategy/component and functions as a strategic tool for strengthening governance. It brings together a diversity of members responsible for decision making in the healthcare territories, who need to negotiate the allocation of funding and the distribution of facilities for common use in the region. The high turnover of health secretaries, their lack of autonomy from the local executive decisions, inadequate technical training to exercise their function, and the influence of party politics on decision making stand as obstacles to the regional interagency committee’s permeability to social demands. Funding is insufficient to enable the fulfillment of the officially integrated agreed-upon program or to boost public supply by the system, requiring that public managers procure services from the private market at values higher than the national health service price schedule (Brazilian Unified Health System Table). The study determined that “facilitators” under contract to health departments accelerated access to specialized (diagnostic, therapeutic and/or surgical) services in other municipalities by direct payment to physicians for procedure costs already covered by the Brazilian Unified Health System.CONCLUSIONS The characteristics identified a regionalized system with a conflictive pattern of governance and intermediate institutionalism. The regional interagency committee’s managerial routine needs to incorporate more democratic devices for connecting with educational institutions, devices that are more permeable to social demands relating to regional policy making.

Gender in the allocation of organs in kidney transplants: meta-analysis

OBJECTIVE To analyze whether gender influence survival results of kidney transplant grafts and patients.METHODS Systematic review with meta-analysis of cohort studies available on Medline (PubMed), LILACS, CENTRAL, and Embase databases, including manual searching and in the grey literature. The selection of studies and the collection of data were conducted twice by independent reviewers, and disagreements were settled by a third reviewer. Graft and patient survival rates were evaluated as effectiveness measurements. Meta-analysis was conducted with the Review Manager® 5.2 software, through the application of a random effects model. Recipient, donor, and donor-recipient gender comparisons were evaluated.RESULTS : Twenty-nine studies involving 765,753 patients were included. Regarding graft survival, those from male donors were observed to have longer survival rates as compared to the ones from female donors, only regarding a 10-year follow-up period. Comparison between recipient genders was not found to have significant differences on any evaluated follow-up periods. In the evaluation between donor-recipient genders, male donor-male recipient transplants were favored in a statistically significant way. No statistically significant differences were observed in regards to patient survival for gender comparisons in all follow-up periods evaluated.CONCLUSIONS The quantitative analysis of the studies suggests that donor or recipient genders, when evaluated isolatedly, do not influence patient or graft survival rates. However, the combination between donor-recipient genders may be a determining factor for graft survival.

Validation of an instrument to evaluate health promotion at schools

ABSTRACT OBJECTIVE To validate an instrument designed to assess health promotion in the school environment. METHODS A questionnaire, based on guidelines from the World Health Organization and in line with the Brazilian school health context, was developed to validate the research instrument. There were 60 items in the instrument that included 40 questions for the school manager and 20 items with direct observations made by the interviewer. The items’ content validation was performed using the Delphi technique, with the instrument being applied in 53 schools from two medium-sized cities in the South region of Brazil. Reliability (Cronbach’s alpha and split-half) and validity (principal component analysis) analyses were performed. RESULTS The final instrument remained composed of 28 items, distributed into three dimensions: pedagogical, structural and relational. The resulting components showed good factorial loads (> 0.4) and acceptable reliability (> 0.6) for most items. The pedagogical dimension identifies educational activities regarding drugs and sexuality, violence and prejudice, auto care and peace and quality of life. The structural dimension is comprised of access, sanitary structure, and conservation and equipment. The relational dimension includes relationships within the school and with the community. CONCLUSIONS The proposed instrument presents satisfactory validity and reliability values, which include aspects relevant to promote health in schools. Its use allows the description of the health promotion conditions to which students from each educational institution are exposed. Because this instrument includes items directly observed by the investigator, it should only be used during periods when there are full and regular activities at the school in question.

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.

The succession process at social enterprises in Brazil

This research was based on a study of social enterprises in Brazil, to find out if and how these organizations plan and manage the succession process for their senior positions. The study investigated the subset of the associations dedicated to collectively producing goods and services, because they are formally set up and aimed at speeding up the dynamism of local development. The empirical research consisted of two stages. The first was a survey covering a sample of 378 organizations, to find out which of those had already undergone or were undergoing a succession process. The second interviewed the main manager of 32 organizations, to obtain a description of their succession experience. In this stage, the research aimed to analyze how the Individual, Organization and Environment dimensions interact to configure the succession process, identifying which factors of each of these dimensions can facilitate or limit this process. The following guiding elements were taken as the analytical basis: Individual dimension - leadership roles, skill and styles; Organization dimension - structure, planning, advisory boards, communication (transparency), control and evaluation; and Environment dimension - influence of the stakeholders (community, suppliers, clients, and business partners) on the succession process. The results indicated that succession in the researched associations is in the construction stage: it adapts to the requirements of current circumstances but is evidently in need of improvement in order for more effective planning and shared management of the process to be achieved.

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.

Social Representations Of Violence Against Rural Women: Unveiling Senses In Multiple Views

We analyze the social representations of violence against women from the perspective of city managers, professionals and health workers in rural settings of the southern half of Rio Grande do Sul. The study has a qualitative approach and adds a theoretical/methodological perspective of social representations. The data were generated by means of the associative method, question-stimulus of words and expressions emergence. The analysis of word association was performed with EVOC software, considering frequency and order of association with inducing terms. Participants recognize violence against women as gender destination that induces consent, resignation, guilt and fear, and results in naturalization and trivialization of this social phenomenon. We highlight the need to produce ruptures in established and traditional forms of health care, in the conservative and stereotypical views of violence, favoring access to friendly service and avoiding the reproduction of gender inequalities.