La gestión del riesgo de mercado en las entidades de depósito. Introducción a la metodología VAR

[ES] El propósito de este artículo es suministrar al lector los primeros pasos para la comprensión de la metodología Value at Risk (Var). La necesidad de comprender esta metodología está justificada por el acuerdo de Basilea y la Directiva sobre los requerimientos de capital impuesta por la Unión Europea. Ambos proponen los métodos VaR para determinar el capital mínimo de los bancos comerciales en su operativa pero, ¿Qué es el riesgo exactamente?. El riesgo puede ser definido como la volatilidad de los resultados esperados.

Emerging contaminants in agricultural ecosystems: impact of selected pharmaceutical on water and soil ecology and pratical implications

Pharmaceuticals are useful tools to prevent and treat human and animal diseases. Following administration, a significant fraction of pharmaceuticals is excreted unaltered into faeces and urine and may enter the aquatic ecosystem and agricultural soil through irrigation with recycled water, constituting a significant source of emerging contaminants into the environment. Understanding major factors influencing their environmental fate is consequently needed to value the risk, reduce contamination, and set up bioremediation technologies. The antiviral drug Tamiflu (oseltamivir carboxylate, OC) has received recent attention due to the potential use as a first line defence against H5N1 and H1N1 influenza viruses. Research has shown that OC is not removed during conventional wastewater treatments, thus having the potential to enter surface water bodies. A series of laboratory experiments investigated the fate and the removal of OC in surface water systems in Italy and Japan and in a municipal wastewater treatment plant. A preliminary laboratory study investigated the persistence of the active antiviral drug in water samples from an irrigation canal in northern Italy (Canale Emiliano Romagnolo). After an initial rapid decrease, OC concentration slowly decreased during the remaining incubation period. Approximately 65% of the initial OC amount remained in water at the end of the 36-day incubation period. A negligible amount of OC was lost both from sterilized water and from sterilized water/sediment samples, suggesting a significant role of microbial degradation. Stimulating microbial processes by the addition of sediments resulted in reduced OC persistence. Presence of OC (1.5 μg mL-1) did not significantly affect the metabolic potential of the water microbial population, that was estimated by glyphosate and metolachlor mineralization. In contrast, OC caused an initial transient decrease in the size of the indigenous microbial population of water samples. A second laboratory study focused on basic processes governing the environmental fate of OC in surface water from two contrasting aquatic ecosystems of northern Italy, the River Po and the Venice Lagoon. Results of this study confirmed the potential of OC to persist in surface water. However, the addition of 5% of sediments resulted in rapid OC degradation. The estimated half-life of OC in water/sediment of the River Po was 15 days. After three weeks of incubation at 20 °C, more than 8% of 14C-OC evolved as 14CO2 from water/sediment samples of the River Po and Venice Lagoon. OC was moderately retained onto coarse sediments from the two sites. In water/sediment samples of the River Po and Venice Lagoon treated with 14C-OC, more than 30% of the 14C-residues remained water-extractable after three weeks of incubation. The low affinity of OC to sediments suggests that the presence of sediments would not reduce its bioavailability to microbial degradation. Another series of laboratory experiments investigated the fate and the removal of OC in two surface water ecosystems of Japan and in the municipal wastewater treatment plant of the city of Bologna, in Northern Italy. The persistence of OC in surface water ranged from non-detectable degradation to a half-life of 53 days. After 40 days, less than 3% of radiolabeled OC evolved as 14CO2. The presence of sediments (5%) led to a significant increase of OC degradation and of mineralization rates. A more intense mineralization was observed in samples of the wastewater treatment plant when applying a long incubation period (40 days). More precisely, 76% and 37% of the initial radioactivity applied as 14C-OC was recovered as 14CO2 from samples of the biological tank and effluent water, respectively. Two bacterial strains growing on OC as sole carbon source were isolated and used for its removal from synthetic medium and environmental samples, including surface water and wastewater. Inoculation of water and wastewater samples with the two OC-degrading strains showed that mineralization of OC was significantly higher in both inoculated water and wastewater, than in uninoculated controls. Denaturing gradient gel electrophoresis and quantitative PCR analysis showed that OC would not affect the microbial population of surface water and wastewater. The capacity of the ligninolytic fungus Phanerochaete chrysosporium to degrade a wide variety of environmentally persistent xenobiotics has been largely reported in literature. In a series of laboratory experiments, the efficiency of a formulation using P. chrysosporium was evaluated for the removal of selected pharmaceuticals from wastewater samples. Addition of the fungus to samples of the wastewater treatment plant of Bologna significantly increased (P < 0.05) the removal of OC and three antibiotics, erythromycin, sulfamethoxazole, and ciprofloxacin. Similar effects were also observed in effluent water. OC was the most persistent of the four pharmaceuticals. After 30 days of incubation, approximately two times more OC was removed in bioremediated samples than in controls. The highest removal efficiency of the formulation was observed with the antibiotic ciprofloxacin. The studies included environmental aspects of soil contamination with two emerging veterinary contaminants, such as doramectin and oxibendazole, wich are common parasitic treatments in cattle farms.

Model experiment on optimal size of a fish stock with environmental uncertainties

We analyze the effect of environmental uncertainties on optimal fishery management in a bio-economic fishery model. Unlike most of the literature on resource economics, but in line with ecological models, we allow the different biological processes of survival and recruitment to be affected differently by environmental uncertainties. We show that the overall effect of uncertainty on the optimal size of a fish stock is ambiguous, depending on the prudence of the value function. For the case of a risk-neutral fishery manager, the overall effect depends on the relative magnitude of two opposing effects, the 'convex-cost effect' and the 'gambling effect'. We apply the analysis to the Baltic cod and the North Sea herring fisheries, concluding that for risk neutral agents the net effect of environmental uncertainties on the optimal size of these fish stocks is negative, albeit small in absolute value. Under risk aversion, the effect on optimal stock size is positive for sufficiently high coefficients of constant relative risk aversion.

Availability and uptake of trace elements in a forage rotation under conservation and plough tillage

After 14 years under conventional plough tillage (CT) or conservation minimum tillage (MT), the soil available Al, Fe, Mn, Cu and Zn (0-5, 5-15 and 15-30 cm layers) and their plant uptake were evaluated during two years in a ryegrass-maize forage rotation in NW Spain (t emperate-humid region). The three-way ANOVA showed that trace element concentrations in soil were mainly influenced by sampling date, followed by soil depth and tillage system (35-73 %, 7-58 % and 3- 11 % of variance explained, respectively). Excepting for Fe (CT) and Al (CT and MT), the elemental concentrations decreased with depth, the stratification being stronger under MT. For soil available Al, Fe, Mn and Cu, the concentrations were higher in CT than in MT (5-15 and 15-30 cm layers) or were not affected by tillage system (0-5 cm). In contrast, the available Zn contents were higher in MT than CT at the soil surface and did not differ in deeper layers. The concentration of Al, Fe and Cu in crops were not influenced by tillage system, which explain 22 % of Mn variance in maize (CT > MT in the more humid year) and 18 % of Zn variance in ryegrass (MT > CT in both years). However, in the summer crop (maize) the concentrations of Fe, Mn and Zn tended to be higher in MT than in CT under drought conditions, while the opposite was true in the year without water limitation. Therefore, under the studied conditions of climate, soil, tillage and crop rotation, little influence of tillage system on crop nutritive value would be expected. To minimize the potential deficiency of Zn (maize) and Cu (maize and ryegrass) on crop yields the inclusion of these micro-nutrients in fertilization schedule is reco mmended, as well as liming to alleviate Al toxicity on maize crops.

Desarrollo de un Modelo de Gestión de Riesgos Operacionales basado en las Directrices del Comité de Basilea

La presente investigación tiene como objetivo principal diseñar un Modelo de Gestión de Riesgos Operacionales (MGRO) según las Directrices de los Acuerdos II y III del Comité de Supervisión Bancaria de Basilea del Banco de Pagos Internacionales (CSBB-BPI). Se considera importante realizar un estudio sobre este tema dado que son los riesgos operacionales (OpR) los responsables en gran medida de las últimas crisis financieras mundiales y por la dificultad para detectarlos en las organizaciones. Se ha planteado un modelo de gestión subdividido en dos vías de influencias. La primera acoge el paradigma holístico en el que se considera que hay múltiples maneras de percibir un proceso cíclico, así como las herramientas para observar, conocer y entender el objeto o sujeto percibido. La segunda vía la representa el paradigma totalizante, en el que se obtienen datos tanto cualitativos como cuantitativos, los cuales son complementarios entre si. Por otra parte, este trabajo plantea el diseño de un programa informático de OpR Cualitativo, que ha sido diseñado para determinar la raíz de los riesgos en las organizaciones y su Valor en Riesgo Operacional (OpVaR) basado en el método del indicador básico. Aplicando el ciclo holístico al caso de estudio, se obtuvo el siguiente diseño de investigación: no experimental, univariable, transversal descriptiva, contemporánea, retrospectiva, de fuente mixta, cualitativa (fenomenológica y etnográfica) y cuantitativa (descriptiva y analítica). La toma de decisiones y recolección de información se realizó en dos fases en la unidad de estudio. En la primera se tomó en cuenta la totalidad de la empresa Corpoelec-EDELCA, en la que se presentó un universo estadístico de 4271 personas, una población de 2390 personas y una unidad de muestreo de 87 personas. Se repitió el proceso en una segunda fase, para la Central Hidroeléctrica Simón Bolívar, y se determinó un segundo universo estadístico de 300 trabajadores, una población de 191 personas y una muestra de 58 profesionales. Como fuentes de recolección de información se utilizaron fuentes primarias y secundarias. Para recabar la información primaria se realizaron observaciones directas, dos encuestas para detectar las áreas y procesos con mayor nivel de riesgos y se diseñó un cuestionario combinado con otra encuesta (ad hoc) para establecer las estimaciones de frecuencia y severidad de pérdidas operacionales. La información de fuentes secundarias se extrajo de las bases de datos de Corpoelec-EDELCA, de la IEA, del Banco Mundial, del CSBB-BPI, de la UPM y de la UC at Berkeley, entre otras. Se establecieron las distribuciones de frecuencia y de severidad de pérdidas operacionales como las variables independientes y el OpVaR como la variable dependiente. No se realizó ningún tipo de seguimiento o control a las variables bajo análisis, ya que se consideraron estas para un instante especifico y solo se determinan con la finalidad de establecer la existencia y valoración puntual de los OpR en la unidad de estudio. El análisis cualitativo planteado en el MGRO, permitió detectar que en la unidad de investigación, el 67% de los OpR detectados provienen de dos fuentes principales: procesos (32%) y eventos externos (35%). Adicionalmente, la validación del MGRO en Corpoelec-EDELCA, permitió detectar que el 63% de los OpR en la organización provienen de tres categorías principales, siendo los fraudes externos los presentes con mayor regularidad y severidad de pérdidas en la organización. La exposición al riesgo se determinó fundamentándose en la adaptación del concepto de OpVaR que generalmente se utiliza para series temporales y que en el caso de estudio presenta la primicia de aplicarlo a datos cualitativos transformados con la escala Likert. La posibilidad de utilizar distribuciones de probabilidad típicas para datos cuantitativos en distribuciones de frecuencia y severidad de pérdidas con datos de origen cualitativo fueron analizadas. Para el 64% de los OpR estudiados se obtuvo que la frecuencia tiene un comportamiento semejante al de la distribución de probabilidad de Poisson y en un 55% de los casos para la severidad de pérdidas se obtuvo a las log-normal como las distribuciones de probabilidad más comunes, con lo que se concluyó que los enfoques sugeridos por el BCBS-BIS para series de tiempo son aplicables a los datos cualitativos. Obtenidas las distribuciones de frecuencia y severidad de pérdidas, se convolucionaron estas implementando el método de Montecarlo, con lo que se obtuvieron los enfoques de distribuciones de pérdidas (LDA) para cada uno de los OpR. El OpVaR se dedujo como lo sugiere el CSBB-BPI del percentil 99,9 o 99% de cada una de las LDA, obteniéndose que los OpR presentan un comportamiento similar al sistema financiero, resultando como los de mayor peligrosidad los que se ubican con baja frecuencia y alto impacto, por su dificultad para ser detectados y monitoreados. Finalmente, se considera que el MGRO permitirá a los agentes del mercado y sus grupos de interés conocer con efectividad, fiabilidad y eficiencia el status de sus entidades, lo que reducirá la incertidumbre de sus inversiones y les permitirá establecer una nueva cultura de gestión en sus organizaciones. ABSTRACT This research has as main objective the design of a Model for Operational Risk Management (MORM) according to the guidelines of Accords II and III of the Basel Committee on Banking Supervision of the Bank for International Settlements (BCBS- BIS). It is considered important to conduct a study on this issue since operational risks (OpR) are largely responsible for the recent world financial crisis and due to the difficulty in detecting them in organizations. A management model has been designed which is divided into two way of influences. The first supports the holistic paradigm in which it is considered that there are multiple ways of perceiving a cyclical process and contains the tools to observe, know and understand the subject or object perceived. The second way is the totalizing paradigm, in which both qualitative and quantitative data are obtained, which are complementary to each other. Moreover, this paper presents the design of qualitative OpR software which is designed to determine the root of risks in organizations and their Operational Value at Risk (OpVaR) based on the basic indicator approach. Applying the holistic cycle to the case study, the following research design was obtained: non- experimental, univariate, descriptive cross-sectional, contemporary, retrospective, mixed-source, qualitative (phenomenological and ethnographic) and quantitative (descriptive and analytical). Decision making and data collection was conducted in two phases in the study unit. The first took into account the totality of the Corpoelec-EDELCA company, which presented a statistical universe of 4271 individuals, a population of 2390 individuals and a sampling unit of 87 individuals. The process was repeated in a second phase to the Simon Bolivar Hydroelectric Power Plant, and a second statistical universe of 300 workers, a population of 191 people and a sample of 58 professionals was determined. As sources of information gathering primary and secondary sources were used. To obtain the primary information direct observations were conducted and two surveys to identify the areas and processes with higher risks were designed. A questionnaire was combined with an ad hoc survey to establish estimates of frequency and severity of operational losses was also considered. The secondary information was extracted from the databases of Corpoelec-EDELCA, IEA, the World Bank, the BCBS-BIS, UPM and UC at Berkeley, among others. The operational loss frequency distributions and the operational loss severity distributions were established as the independent variables and OpVaR as the dependent variable. No monitoring or control of the variables under analysis was performed, as these were considered for a specific time and are determined only for the purpose of establishing the existence and timely assessment of the OpR in the study unit. Qualitative analysis raised in the MORM made it possible to detect that in the research unit, 67% of detected OpR come from two main sources: external processes (32%) and external events (35%). Additionally, validation of the MORM in Corpoelec-EDELCA, enabled to estimate that 63% of OpR in the organization come from three main categories, with external fraud being present more regularly and greater severity of losses in the organization. Risk exposure is determined basing on adapting the concept of OpVaR generally used for time series and in the case study it presents the advantage of applying it to qualitative data transformed with the Likert scale. The possibility of using typical probability distributions for quantitative data in loss frequency and loss severity distributions with data of qualitative origin were analyzed. For the 64% of OpR studied it was found that the frequency has a similar behavior to that of the Poisson probability distribution and 55% of the cases for loss severity it was found that the log-normal were the most common probability distributions. It was concluded that the approach suggested by the BCBS-BIS for time series can be applied to qualitative data. Once obtained the distributions of loss frequency and severity have been obtained they were subjected to convolution implementing the Monte Carlo method. Thus the loss distribution approaches (LDA) were obtained for each of the OpR. The OpVaR was derived as suggested by the BCBS-BIS 99.9 percentile or 99% of each of the LDA. It was determined that the OpR exhibits a similar behavior to the financial system, being the most dangerous those with low frequency and high impact for their difficulty in being detected and monitored. Finally, it is considered that the MORM will allows market players and their stakeholders to know with effectiveness, efficiency and reliability the status of their entities, which will reduce the uncertainty of their investments and enable them to establish a new management culture in their organizations.

A aplicação do Gerenciamento de Riscos nas PMEs na cidade de São Bernardo do Campo

Este estudo analisa a utilização do gerenciamento de riscos em algumas Empresas de Pequeno e Médio Porte (PMEs) na cidade de São Bernardo do Campo. A análise do risco empresarial possui uma crescente importância e ela pode contribuir fortemente para a continuidade dos negócios. A capacidade para gerenciar os riscos do negócio em relação ás inevitáveis incertezas e com uma valorização futura dos resultados é um fator substancial de vantagem competitiva. Este processo de geração de valor providencia a disciplina e ferramentas de administração dos riscos empresariais permitindo a criação de valor para sua organização. As Metodologias de Análise de Risco, em sua maioria, são aplicadas para grandes corporações. Uma das motivações desse trabalho é verificar o grau de utilidade dessas metodologias para as empresas PMEs escolhidas para a pesquisa em São Bernardo do Campo. O estudo é desenvolvido por meio de pesquisas bibliográficas e pesquisa exploratória nas empresas escolhidas. Após as pesquisas, foi feita uma análise qualitativa utilizando o método de estudo de casos. Finalmente, conclui-se que as empresas pesquisadas de São Bernardo do Campo, podem obter vantagens significativas ao implantar metodologias de gerenciamento de risco. Todas as empresas pesquisadas possuem mais de dez anos e consideram importante controlar a continuidade de seus negócios.

A aplicação do Gerenciamento de Riscos nas PMEs na cidade de São Bernardo do Campo

Este estudo analisa a utilização do gerenciamento de riscos em algumas Empresas de Pequeno e Médio Porte (PMEs) na cidade de São Bernardo do Campo. A análise do risco empresarial possui uma crescente importância e ela pode contribuir fortemente para a continuidade dos negócios. A capacidade para gerenciar os riscos do negócio em relação ás inevitáveis incertezas e com uma valorização futura dos resultados é um fator substancial de vantagem competitiva. Este processo de geração de valor providencia a disciplina e ferramentas de administração dos riscos empresariais permitindo a criação de valor para sua organização. As Metodologias de Análise de Risco, em sua maioria, são aplicadas para grandes corporações. Uma das motivações desse trabalho é verificar o grau de utilidade dessas metodologias para as empresas PMEs escolhidas para a pesquisa em São Bernardo do Campo. O estudo é desenvolvido por meio de pesquisas bibliográficas e pesquisa exploratória nas empresas escolhidas. Após as pesquisas, foi feita uma análise qualitativa utilizando o método de estudo de casos. Finalmente, conclui-se que as empresas pesquisadas de São Bernardo do Campo, podem obter vantagens significativas ao implantar metodologias de gerenciamento de risco. Todas as empresas pesquisadas possuem mais de dez anos e consideram importante controlar a continuidade de seus negócios.

Aplicação de métodos computacionais multidisciplinares de engenharia para otimização de carteiras de investimentos.

Este trabalho apresenta uma nova metodologia para otimizar carteiras de ativos financeiros. A metodologia proposta, baseada em interpoladores universais tais quais as Redes Neurais Artificiais e a Krigagem, permite aproximar a superfície de risco e consequentemente a solução do problema de otimização associado a ela de forma generalizada e aplicável a qualquer medida de risco disponível na literatura. Além disto, a metodologia sugerida permite que sejam relaxadas hipóteses restritivas inerentes às metodologias existentes, simplificando o problema de otimização e permitindo que sejam estimados os erros na aproximação da superfície de risco. Ilustrativamente, aplica-se a metodologia proposta ao problema de composição de carteiras com a Variância (controle), o Valor-em-Risco (VaR) e o Valor-em-Risco Condicional (CVaR) como funções objetivo. Os resultados são comparados àqueles obtidos pelos modelos de Markowitz e Rockafellar, respectivamente.

A aplicação do Gerenciamento de Riscos nas PMEs na cidade de São Bernardo do Campo

Este estudo analisa a utilização do gerenciamento de riscos em algumas Empresas de Pequeno e Médio Porte (PMEs) na cidade de São Bernardo do Campo. A análise do risco empresarial possui uma crescente importância e ela pode contribuir fortemente para a continuidade dos negócios. A capacidade para gerenciar os riscos do negócio em relação ás inevitáveis incertezas e com uma valorização futura dos resultados é um fator substancial de vantagem competitiva. Este processo de geração de valor providencia a disciplina e ferramentas de administração dos riscos empresariais permitindo a criação de valor para sua organização. As Metodologias de Análise de Risco, em sua maioria, são aplicadas para grandes corporações. Uma das motivações desse trabalho é verificar o grau de utilidade dessas metodologias para as empresas PMEs escolhidas para a pesquisa em São Bernardo do Campo. O estudo é desenvolvido por meio de pesquisas bibliográficas e pesquisa exploratória nas empresas escolhidas. Após as pesquisas, foi feita uma análise qualitativa utilizando o método de estudo de casos. Finalmente, conclui-se que as empresas pesquisadas de São Bernardo do Campo, podem obter vantagens significativas ao implantar metodologias de gerenciamento de risco. Todas as empresas pesquisadas possuem mais de dez anos e consideram importante controlar a continuidade de seus negócios.

Alinhamento estratégico da TI: o caso da UFRN

It is considered that the Strategic Alignment IT is the first step within the IT Governance process for any institution. Taking as initial point the recognition that the governance corporate has an overall view of the organizations, the IT Governance takes place as a sub-set responsible for the implementation of the organization strategies in what concerns the provision of the necessary tools for the achievement of the goals set in the Institutional Development Plan. In order to do so, COBIT specifies that such Governance shall be built on the following principles: Strategic Alignment, Value Delivery, Risk Management, Performance Measurement. This paper aims at the Strategic Alignment, considered by the authors as the foundation for the development of the entire IT Governance core. By deepening the technical knowledge of the management system development, UFRN has made a decisive step towards the technical empowerment needed to the “Value Delivery”, yet, by perusing the primarily set processes to the “Strategic Alignment”, gaps that limited the IT strategic view in the implementation of the organizational goals were found. In the qualitative study that used documentary research with content analysis and interviews with the strategic and tactical managers, the view on the role of SINFO – Superintendência de Informática was mapped. The documentary research was done on public documents present on the institutional site and on TCU – Tribunal de Contas da União – documents that map the IT Governance profiles on the federal public service as a whole. As a means to obtain the documentary research results equalization, questionnaires/interviews and iGovTI indexes, quantitative tools to the standardization of the results were used, always bearing in mind the usage of the same scale elements present in the TCU analysis. This being said, similarly to what the TCU study through the IGovTI index provides, this paper advocates a particular index to the study area – SA (Strategic Alignment), calculated from the representative variables of the COBIT 4.1 domains and having the representative variables of the Strategic Alignment primary process as components. As a result, an intermediate index among the values in two adjacent surveys done by TCU in the years of 2010 and 2012 was found, which reflects the attitude and view of managers towards the IT governance: still linked to Data Processing in which a department performs its tasks according to the demand of the various departments or sectors, although there is a commission that discusses the issues related to infrastructure acquisition and systems development. With an Operational view rather than Strategic/Managerial and low attachment to the tools consecrated by the market, several processes are not contemplated in the framework COBIT defined set; this is mainly due to the inexistence of a formal strategic plan for IT; hence, the partial congruency between the organization goals and the IT goals.

Multivariate Appoximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners.

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Valor de riesgo (VaR) versus la Desviación estándar como concepto de riesgo en la elección de portafolios de inversión

En la actualidad hay una especial preocupación de los inversionistas por realizar sus inversiones de manera más segura, obteniendo una buena rentabilidad y sin poner en riesgo su capital -- En este sentido, la posibilidad de generar nuevas herramientas que permitan tomar mejores decisiones de inversión es cada vez más relevante en el mundo financiero -- Así, uno de los aportes más importantes de los que se dispone para ese propósito es el de Markowitz, que propone la generación de carteras óptimamente diversificadas -- Sin embargo, el problema es cómo escoger entre algunas de estas carteras -- Por ese motivo, este proyecto tuvo como objetivo comparar el modelo de la desviación estándar (Ratio de Sharpe) con el de Value at Risk (VaR) como concepto de riesgo, para la elección de una cartera óptima dentro del entorno de un mercado desarrollado, en este caso, el mercado estadounidense, por medio de un backtesting se analizó también si el ciclo de mercado bajista, estable o alcista tiene incidencia de igual forma en esta elección -- Después de realizar el modelo y aplicarlo se concluyó que bajo situaciones normales, en un mercado desarrollado, elegir una cartera sobre otra tuvo mayores beneficios si se realiza teniendo en cuenta como concepto de riesgo el VaR bajo un modelo de Simulación de Montecarlo, en lugar de la desviación estándar -- Al aplicar este modelo a un entono menos desarrollado y más fluctuante como el colombiano, se determinó que no hay una ventaja significativa entre los dos modelos (desviación estándar y VaR)

Two-Stage Stochastic Optimization. An Application in the Third Sector

[en] It is known that most of the problems applied in the real life present uncertainty. In the rst part of the dissertation, basic concepts and properties of the Stochastic Programming have been introduced to the reader, also known as Optimization under Uncertainty. Moreover, since stochastic programs are complex to compute, we have presented some other models such as wait-and-wee, expected value and the expected result of using expected value. The expected value of perfect information and the value of stochastic solution measures quantify how worthy the Stochastic Programming is, with respect to the other models. In the second part, it has been designed and implemented with the modeller GAMS and the optimizer CPLEX an application that optimizes the distribution of non-perishable products, guaranteeing some nutritional requirements with minimum cost. It has been developed within Hazia project, managed by Sortarazi association and associated with Food Bank of Biscay and Basic Social Services of several districts of Biscay.

Multi-level, Multi-stage and Stochastic Optimization Models for Energy Conservation in Buildings for Federal, State and Local Agencies

Energy Conservation Measure (ECM) project selection is made difficult given real-world constraints, limited resources to implement savings retrofits, various suppliers in the market and project financing alternatives. Many of these energy efficient retrofit projects should be viewed as a series of investments with annual returns for these traditionally risk-averse agencies. Given a list of ECMs available, federal, state and local agencies must determine how to implement projects at lowest costs. The most common methods of implementation planning are suboptimal relative to cost. Federal, state and local agencies can obtain greater returns on their energy conservation investment over traditional methods, regardless of the implementing organization. This dissertation outlines several approaches to improve the traditional energy conservations models. Any public buildings in regions with similar energy conservation goals in the United States or internationally can also benefit greatly from this research. Additionally, many private owners of buildings are under mandates to conserve energy e.g., Local Law 85 of the New York City Energy Conservation Code requires any building, public or private, to meet the most current energy code for any alteration or renovation. Thus, both public and private stakeholders can benefit from this research. The research in this dissertation advances and presents models that decision-makers can use to optimize the selection of ECM projects with respect to the total cost of implementation. A practical application of a two-level mathematical program with equilibrium constraints (MPEC) improves the current best practice for agencies concerned with making the most cost-effective selection leveraging energy services companies or utilities. The two-level model maximizes savings to the agency and profit to the energy services companies (Chapter 2). An additional model presented leverages a single congressional appropriation to implement ECM projects (Chapter 3). Returns from implemented ECM projects are used to fund additional ECM projects. In these cases, fluctuations in energy costs and uncertainty in the estimated savings severely influence ECM project selection and the amount of the appropriation requested. A risk aversion method proposed imposes a minimum on the number of “of projects completed in each stage. A comparative method using Conditional Value at Risk is analyzed. Time consistency was addressed in this chapter. This work demonstrates how a risk-based, stochastic, multi-stage model with binary decision variables at each stage provides a much more accurate estimate for planning than the agency’s traditional approach and deterministic models. Finally, in Chapter 4, a rolling-horizon model allows for subadditivity and superadditivity of the energy savings to simulate interactive effects between ECM projects. The approach makes use of inequalities (McCormick, 1976) to re-express constraints that involve the product of binary variables with an exact linearization (related to the convex hull of those constraints). This model additionally shows the benefits of learning between stages while remaining consistent with the single congressional appropriations framework.