Apreçamento de opções de recompra embutidas: uma aplicação ao mercado de debêntures brasileiro

Nesse trabalho desenvolvemos uma estratégia para o apreçamento de opções de recompra Embutidas . Esse tipo específico de opção está presente em um grande número de debêntures no mercado brasileiro. Em função deste mercado apresentar um número reduzido de ativos, o apreçamento destas opções se faz necessário para que tenhamos condições de ampliar a massa de ativos disponíveis para a análise. Como passo intermediário, é preciso determinar quando é interessante para o emissor efetuar o resgate antecipado da debênture. Para este m, propomos uma metodologia para a estimação da estrutura a termo da taxa de juros do mercado de debêntures com base no modelo de Nelson-Siegel.

Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Modelagem de perdas com ações trabalhistas em instituições financeiras

As perdas trabalhistas nas Instituições Financeiras representam um valor considerável que devem ser consideradas no modelo de capital regulatório para risco operacional, segundo Basileia. A presente dissertação demonstra uma forma de mensurar o risco às quais as Instituições Financeiras estão expostas nesse tipo de perdas. Diversos tipos de distribuições são analisados conforme sua aderência tanto na frequência como na severidade das perdas. Para os valores de frequência, foi obtida uma amostra de dados real, enquanto para a severidade foram utilizados valores obtidos de relatórios de instituto de pesquisa que serviram de insumo para os cálculos de ações trabalhistas conforme legislação brasileira vigente na CLT (Consolidação das Leis do Trabalho).

Potencial de redução na demanda por energia elétrica no Rio de Janeiro através do modelo de preço variável

A energia elétrica é fundamental para o desenvolvimento de qualquer país e o Brasil atravessa atualmente uma crise energética devido ao baixo nível de seus reservatórios, então diversos temas sobre o sistema elétrico brasileiro vêm à tona a fim de dar mais confiabilidade e evitar futuros racionamentos, permitindo assim que a escassez de energia não seja um impeditivo para o crescimento econômico do país. O presente estudo calcula o potencial de redução de demanda por energia elétrica no estado do Rio de Janeiro através do modelo de preço variável, que consiste em ter tarifas distintas para o horário de ponta e fora de ponta. Este é um entre diversos programas de eficiência energética existentes no mundo atualmente. Para tal cálculo as principais premissas são a projeção de demanda máxima coincidente, o número de consumidores por classe e a elasticidade preço da demanda por energia elétrica. A partir dai são sugeridos três cenários de penetração de AMI (Advanced Metering infrastructure), e três cenários de variação de preço, chegando assim a nove resultados possíveis.

Inflation and occupational choices

This paper studies the impact of (high rates) of infiation on ocupational choices in a model where the demand for labor is derived from a production technology that uses capital, productive labor, and managerial services done by administrative labor and money; while the supply of both kinds of labor is rigid in the short-run due to irreversible professional choices. The dynamic path of the economy after stabilization plans exhibits the main sty!ized facts reported in the literature inc1uding an initial consumption boon followed by a gradual adjustment. In its open economy version, the initial phase of the transitional dynamics exhibits capital infiight. The model also generates an increase of income inequality during the trasitional dynamics.

Infrastructure privatization in a neoclassical economy: macroeconomic impact and welfare computation

In this paper a competi tive general equilibrium model is used to investigate the welfare and long run allocation impacts of privatization. There are two types of capital in this model economy, one private and the other initially public ("infrastructure"), and a positive extemality due to the latter is assumed. A benevolent governrnent can improve upon decentralized allocation intemalizing the extemality, but it introduces distortions in the economy through the finance of its investments. It is shown that even making the best case for public action - maximization of individuais' welfare, no operation inefficiency and free supply to society of infrastructure services - privatization is welfare improving for a large set of economies. Hence, arguments against privatization based solely on under-investment are incorrect, as this maybe the optimal action when the financing of public investment are considered. When operation inefficiency is introduced in the public sector, gains from privatization are much higher and positive for most reasonable combinations of parameters.

A consumption CAPM with a reference level

We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference consumption level is assumed to be determined by past consumption levels, the model generalizes the usual habit formation specifications. When the reference level growth rate is made dependent on the market portfolio return and on past consumption growth, the model mixes a consumption CAPM with habit formation together with the CAPM. It therefore provides, in an expected utility framework, a generalization of the non-expected recursive utility model of Epstein and Zin (1989). When we estimate this specification with aggregate per capita consumption, we obtain economically plausible values of the preference parameters, in contrast with the habit formation or the Epstein-Zin cases taken separately. All tests performed with various preference specifications confirm that the reference level enters significantly in the pricing kernel.

Do equity and foreign currency risk premiums display common patterns?

In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing I\Iodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

Learning in peer-to-peer markets: evidence from Airbnb

Peer-to-peer markets are highly uncertain environments due to the constant presence of shocks. As a consequence, sellers have to constantly adjust to these shocks. Dynamic Pricing is hard, especially for non-professional sellers. We study it in an accommodation rental marketplace, Airbnb. With scraped data from its website, we: 1) describe pricing patterns consistent with learning; 2) estimate a demand model and use it to simulate a dynamic pricing model. We simulate it under three scenarios: a) with learning; b) without learning; c) with full information. We have found that information is an important feature concerning rental markets. Furthermore, we have found that learning is important for hosts to improve their profits.

Gestão de estoques: uma proposta de reposição contínua para material médico hospitalar e medicamentos em um hospital universitário federal do estado do Rio Grande do Norte

The inventory management in hospitals is of paramount importance, since the supply materials and drugs interruption can cause irreparable damage to human lives while excess inventories involves immobilization of capital. Hospitals should use techniques of inventory management to perform replenishment in shorter and shorter intervals, in order to reduce inventories and fixed assets and meet citizens requirements properly. The inventory management can be an even bigger problem for public hospitals, which have restrictions on the use of resources and decisionmaking structure more bureaucratized. Currently the University Hospital Onofre Lopes (HUOL) uses a periodic replacement policy for hospital medical supplies and medicines, which involves one moment surplus stock replenishment, the next out of stock items. This study aims to propose a system for continuous replenishment through order point for inventory of medical supplies and medicines to the hospital HUOL. Therefore, a literature review of Federal University Hospitals Management, Logistics, Inventory Management and Replenishment System in Hospitals was performed, emphasizing the demand forecast, classification or ABC curve and order point system. And also, policies of inventory management and the current proposal were described, dealing with profile of the mentioned institution, the current policy of inventory management and simulation for continuous replenishment order point. For the simulation, the sample consisted of 102 and 44 items of medical and hospital drugs, respectively, selected using the ABC classification of inventory, prioritizing items of Class A, which contains the most relevant items in added value, representing 80 % of the financial value in 2012 fiscal year. Considering that it is a public organization, subject to the laws, we performed two simulations: the first, following the signs for inventory management of Instruction No. 205 (IN 205 ), from Secretary of Public Administration of the Presidency ( SEDAP / PR ), and the second, based on the literature specializing in inventory management hospital. The results of two simulations were compared to the current policy of replenishment system. Among these results are: an indication that the system for continuous replenishment reorder point based on IN 205 provides lower levels of safety stock and maximum stock, enables a 17% reduction in the amount spent for the full replenishment of inventories, in other words, decreasing capital assets, as well as reduction in stock quantity, also the simulation made from the literature has indicated parameters that prevent the application of this technique to all items of the sample. Hence, a change in inventory management of HUOL, with the application of the continuous replenishment according to IN 205, provides a significant reduction in acquisition costs of medical and hospital medicine

Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Systemic risk in dynamical networks with stochastic failure criterion

Complex non-linear interactions between banks and assets we model by two time-dependent Erdos-Renyi network models where each node, representing a bank, can invest either to a single asset (model I) or multiple assets (model II). We use a dynamical network approach to evaluate the collective financial failure -systemic risk- quantified by the fraction of active nodes. The systemic risk can be calculated over any future time period, divided into sub-periods, where within each sub-period banks may contiguously fail due to links to either i) assets or ii) other banks, controlled by two parameters, probability of internal failure p and threshold T-h ("solvency" parameter). The systemic risk decreases with the average network degree faster when all assets are equally distributed across banks than if assets are randomly distributed. The more inactive banks each bank can sustain (smaller T-h), the smaller the systemic risk -for some Th values in I we report a discontinuity in systemic risk. When contiguous spreading becomes stochastic ii) controlled by probability p(2) -a condition for the bank to be solvent (active) is stochasticthe- systemic risk decreases with decreasing p(2). We analyse the asset allocation for the U.S. banks. Copyright (C) EPLA, 2014

Inovação tecnológica de boas práticas agrícolas e a informática na gestão agropecuária

This study aims to develop innovative proposals for production agriculture management and plans to build a participatory model, through the digital inclusion of members of the family farm gathered in a cooperative venture seeking to establish new environmental management efficiency for household production. The first part of the hypothesis assumes that a major obstacle to the insertion of small family farms into the markets is skilled labor, human capital. A training model has been developed for traceability and tracking activities on family farms, based on the atemoya culture. The second hypothesis predicts that it is possible to create a model that is scientifically supported by widely accepted rules derived from GlobalGAP standard certification, a global benchmark for good agricultural practices. Using these rules the model seeks to achieve the traceability of agricultural products and operations from the preservation of identity information within the production chain. The results obtained by the computerized system confirmed the presented hypotheses by demonstrating that technological innovation through intensive communication and information technologies education as well as other associated forms are important drivers of regional development, especially if implemented through a digital inclusion project using the state program Infocentros Access São Paulo.

Evaluation Method for Strategic Investments

Real Options Analysis (ROA) has become a complimentary tool for engineering economics. It has become popular due to the limitations of conventional engineering valuation methods; specifically, the assumptions of uncertainty. Industry is seeking to quantify the value of engineering investments with uncertainty. One problem with conventional tools are that they may assume that cash flows are certain, therefore minimizing the possibility of the uncertainty of future values. Real options analysis provides a solution to this problem, but has been used sparingly by practitioners. This paper seeks to provide a new model, referred to as the Beta Distribution Real Options Pricing Model (BDROP), which addresses these limitations and can be easily used by practitioners. The positive attributes of this new model include unconstrained market assumptions, robust representation of the underlying asset‟s uncertainty, and an uncomplicated methodology. This research demonstrates the use of the model to evaluate the use of automation for inventory control.

Landfill Closure and Housing Values

The United States disposes roughly 60% of the municipal solid waste it generates each year in solid waste disposal facilities, commonly known as landfills. Hedonic pricing studies have estimated the external costs of landfills on neighboring housing markets, but the literature is silent on what happens to property values after the landfill closes. Original housing price data collected both before and after a landfill closure are used to estimate how a landfill closure affects neighboring property values. Results of both a hedonic pricing model and repeat-sales estimator are used in the analysis.