What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Avaliação do risco associado a movimentos verticais de navios em manobra no porto da Praia da Vitória

O risco associado a um navio em manobra pode ser avaliado pela probabilidade do movimento vertical de um ponto do navio ultrapassar um determinado limiar pré-definido. Essa excedência pode originar danos tanto no próprio navio como nas estruturas portuárias envolventes. Este trabalho surge no seguimento de um estudo efectuado no Laboratório Nacional de Engenharia Civil (LNEC), no qual foi desenvolvido um conjunto de ferramentas de avaliação da função resposta do navio quando sujeito à agitação marítima e, partindo dessas ferramentas, foi obtido um procedimento para determinação do espectro dos movimentos verticais de um ponto de um navio parado sujeito àquele estado de agitação (Rodrigues, 2010). No presente estudo, estendeu-se esse procedimento de modo a avaliar a influência da velocidade de avanço do navio no espectro dos movimentos verticais do mesmo. O percurso de entrada do “N/M Fernão Gomes” no porto da Praia da Vitória foi o caso de estudo considerado. A agitação marítima incidente no navio cobriu o período de Janeiro de 2009 a Dezembro de 2010 e foi obtida com base no modelo previsão de escala regional (WAVEWATCH III) e posteriormente transferida para o interior do porto com o recurso a modelos numéricos de propagação de ondas (SWAN e DREAMS). Foi também assumido que a altura do movimento vertical do navio segue uma distribuição de Rayleigh, a qual possibilita a determinação da altura significativa desse movimento vertical, bem como a implementação de um procedimento para determinar a probabilidade de a altura do movimento vertical do navio não exceder um limiar pré-definido e consequentemente mostrar, através da análise dos resultados, a influência da velocidade de avanço do navio. Da análise dos resultados concluiu-se que a velocidade tem uma influência significativa nos resultados. No final avaliou-se a contribuição dos resultados anteriormente determinados, para a análise do risco associado aos movimentos verticais do navio quando em manobra no porto em estudo.

Power systems reliability calculation based on fuzzy data mining

This paper presents a methodology supported on the data base knowledge discovery process (KDD), in order to find out the failure probability of electrical equipments’, which belong to a real electrical high voltage network. Data Mining (DM) techniques are used to discover a set of outcome failure probability and, therefore, to extract knowledge concerning to the unavailability of the electrical equipments such us power transformers and high-voltages power lines. The framework includes several steps, following the analysis of the real data base, the pre-processing data, the application of DM algorithms, and finally, the interpretation of the discovered knowledge. To validate the proposed methodology, a case study which includes real databases is used. This data have a heavy uncertainty due to climate conditions for this reason it was used fuzzy logic to determine the set of the electrical components failure probabilities in order to reestablish the service. The results reflect an interesting potential of this approach and encourage further research on the topic.

An Extension of Gompertzian Growth Dynamics Weibull and Frechet Models

In this work a new probabilistic and dynamical approach to an extension of the Gompertz law is proposed. A generalized family of probability density functions, designated by Beta* (p, q), which is proportional to the right hand side of the Tsoularis-Wallace model, is studied. In particular, for p = 2, the investigation is extended to the extreme value models of Weibull and Frechet type. These models, described by differential equations, are proportional to the hyper-Gompertz growth model. It is proved that the Beta* (2, q) densities are a power of betas mixture, and that its dynamics are determined by a non-linear coupling of probabilities. The dynamical analysis is performed using techniques of symbolic dynamics and the system complexity is measured using topological entropy. Generally, the natural history of a malignant tumour is reflected through bifurcation diagrams, in which are identified regions of regression, stability, bifurcation, chaos and terminus.

Análise de risco em organizações: caso de estudo

Dissertação Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica no perfil de Manutenção e Produção

A Model to Evaluate Vertical Handovers on JRRM

In a heterogeneous cellular networks environment, users behaviour and network deployment configuration parameters have an impact on the overall Quality of Service. This paper proposes a new and simple model that, on the one hand, explores the users behaviour impact on the network by having mobility, multi-service usage and traffic generation profiles as inputs, and on the other, enables the network setup configuration evaluation impact on the Joint Radio Resource Management (JRRM), assessing some basic JRRM performance indicators, like Vertical Handover (VHO) probabilities, average bit rates, and number of active users, among others. VHO plays an important role in fulfilling seamless users sessions transfer when mobile terminals cross different Radio Access Technologies (RATs) boundaries. Results show that high bit rate RATs suffer and generate more influence from/on other RATs, by producing additional signalling traffic to a JRRM entity. Results also show that the VHOs probability can range from 5 up to 65%, depending on RATs cluster radius and users mobility profile.

Fractional coins and fractional derivatives

This paper discusses the fundamentals of negative probabilities and fractional calculus. The historical evolution and the main mathematical concepts are discussed, and several analogies between the two apparently unrelated topics are established. Based on the new conceptual perspective, some experiments are performed shading new light into possible future progress.

A few what-ifs on using statistical analysis of stochastic simulation runs to extract timeliness properties

Modern real-time systems, with a more flexible and adaptive nature, demand approaches for timeliness evaluation based on probabilistic measures of meeting deadlines. In this context, simulation can emerge as an adequate solution to understand and analyze the timing behaviour of actual systems. However, care must be taken with the obtained outputs under the penalty of obtaining results with lack of credibility. Particularly important is to consider that we are more interested in values from the tail of a probability distribution (near worst-case probabilities), instead of deriving confidence on mean values. We approach this subject by considering the random nature of simulation output data. We will start by discussing well known approaches for estimating distributions out of simulation output, and the confidence which can be applied to its mean values. This is the basis for a discussion on the applicability of such approaches to derive confidence on the tail of distributions, where the worst-case is expected to be.

Effect of eliminating chronic diseases among elderly individuals

OBJECTIVE: To determine whether the elimination of certain chronic diseases is capable of leading to the compression of morbidity among elderly individuals.METHODS: A population-based, cross-sectional study was carried out with official data for the city of Sao Paulo, Southeastern Brazil in 2000 and data from the SABE (Health, Wellbeing and Ageing) study. Sullivan's method was used to calculate disability-free life expectancy. Cause-deleted life tables were used to calculate the probabilities of death and disabilities with the elimination of health conditions.RESULTS: The largest gains in disability-free life expectancy, with the elimination of chronic illness, occurred in the female gender. Among individuals of a more advanced age, gains in disability-free life expectancy occurred as result of a relative compression of morbidity. Among men aged 75 years, all conditions studied, except heart disease and systemic arterial pressure, led to an absolute expansion of morbidity and, at the same time, to a relative compression of morbidity upon being eliminated.CONCLUSIONS: The elimination of chronic diseases in the elderly could lead to the compression of morbidity in elderly men and women.

HIV risk practices by female sex workers according to workplace

OBJECTIVE To investigate differences in HIV infection- related risk practices by Female Sex Workers according to workplace and the effects of homophily on estimating HIV prevalence. METHODS Data from 2,523 women, recruited using Respondent-Driven Sampling, were used for the study carried out in 10 Brazilian cities in 2008-2009. The study included female sex workers aged 18 and over. The questionnaire was completed by the subjects and included questions on characteristics of professional activity, sexual practices, use of drugs, HIV testing, and access to health services. HIV quick tests were conducted. The participants were classified in two groups according to place of work: on the street or indoor venues, like nightclubs and saunas. To compare variable distributions by place of work, we used Chi-square homogeneity tests, taking into consideration unequal selection probabilities as well as the structure of dependence between observations. We tested the effect of homophily by workplace on estimated HIV prevalence. RESULTS The highest HIV risk practices were associated with: working on the streets, lower socioeconomic status, low regular smear test coverage, higher levels of crack use and higher levels of syphilis serological scars as well as higher prevalence of HIV infection. The effect of homophily was higher among sex workers in indoor venues. However, it did not affect the estimated prevalence of HIV, even after using a post-stratification by workplace procedure. CONCLUSIONS The findings suggest that strategies should focus on extending access to, and utilization of, health services. Prevention policies should be specifically aimed at street workers. Regarding the application of Respondent-Driven Sampling, the sample should be sufficient to estimate transition probabilities, as the network develops more quickly among sex workers in indoor venues.

Severity of malocclusion in adolescents: populational-based study in the north of Minas Gerais, Brazil

ABSTRACT OBJECTIVE To identify the factors associated with severity of malocclusion in a population of adolescents. METHODS In this cross-sectional population-based study, the sample size (n = 761) was calculated considering a prevalence of malocclusion of 50.0%, with a 95% confidence level and a 5.0% precision level. The study adopted correction for the effect of delineation (deff = 2), and a 20.0% increase to offset losses and refusals. Multistage probability cluster sampling was adopted. Trained and calibrated professionals performed the intraoral examinations and interviews in households. The dependent variable (severity of malocclusion) was assessed using the Dental Aesthetic Index (DAI). The independent variables were grouped into five blocks: demographic characteristics, socioeconomic condition, use of dental services, health-related behavior and oral health subjective conditions. The ordinal logistic regression model was used to identify the factors associated with severity of malocclusion. RESULTS We interviewed and examined 736 adolescents (91.5% response rate), 69.9% of whom showed no abnormalities or slight malocclusion. Defined malocclusion was observed in 17.8% of the adolescents, being severe or very severe in 12.6%, with pressing or essential need of orthodontic treatment. The probabilities of greater severity of malocclusion were higher among adolescents who self-reported as black, indigenous, pardo or yellow, with lower per capita income, having harmful oral habits, negative perception of their appearance and perception of social relationship affected by oral health. CONCLUSIONS Severe or very severe malocclusion was more prevalent among socially disadvantaged adolescents, with reported harmful habits and perception of compromised esthetics and social relationships. Given that malocclusion can interfere with the self-esteem of adolescents, it is essential to improve public policy for the inclusion of orthodontic treatment among health care provided to this segment of the population, particularly among those of lower socioeconomic status.

QED and relativistic corrections in superheavy elements

In this paper we review the different relativistic and QED contributions to energies, ionic radii, transition probabilities and Landé g-factors in super-heavy elements, with the help of the MultiConfiguration Dirac-Fock method (MCDF). The effects of taking into account the Breit interaction to all orders by including it in the self-consistent field process are demonstrated. State of the art radiative corrections are included in the calculation and discussed. We also study the non-relativistic limit of MCDF calculation and find that the non-relativistic offset can be unexpectedly large.

Production and decay of Sulphur excited species in a ECRIS plasma

The most important processes for the creation of S12+ to S14+ ions excited states from the ground configurations of S9+ to S14+ ions in an electron cyclotron resonance ion source, leading to the emission of K X-ray lines, are studied. Theoretical values for inner-shell excitation and ionization cross sections, including double KL and triple KLL ionization, transition probabilities and energies for the deexcitation processes, are calculated in the framework of the multi-configuration Dirac-Fock method. With reasonable assumptions about the electron energy distribution, a theoretical K$\alpha$ X-ray spectrum is obtained, which is compared to recent experimental data.

Probabilistic tsunami hazard in the Northeast Atlantic from near- and far-field tectonic sources

In this article, we present the first study on probabilistic tsunami hazard assessment for the Northeast (NE) Atlantic region related to earthquake sources. The methodology combines the probabilistic seismic hazard assessment, tsunami numerical modeling, and statistical approaches. We consider three main tsunamigenic areas, namely the Southwest Iberian Margin, the Gloria, and the Caribbean. For each tsunamigenic zone, we derive the annual recurrence rate for each magnitude range, from Mw 8.0 up to Mw 9.0, with a regular interval, using the Bayesian method, which incorporates seismic information from historical and instrumental catalogs. A numerical code, solving the shallow water equations, is employed to simulate the tsunami propagation and compute near shore wave heights. The probability of exceeding a specific tsunami hazard level during a given time period is calculated using the Poisson distribution. The results are presented in terms of the probability of exceedance of a given tsunami amplitude for 100- and 500-year return periods. The hazard level varies along the NE Atlantic coast, being maximum along the northern segment of the Morocco Atlantic coast, the southern Portuguese coast, and the Spanish coast of the Gulf of Cadiz. We find that the probability that a maximum wave height exceeds 1 m somewhere in the NE Atlantic region reaches 60 and 100 % for 100- and 500-year return periods, respectively. These probability values decrease, respectively, to about 15 and 50 % when considering the exceedance threshold of 5 m for the same return periods of 100 and 500 years.

Probabilistic consensus clustering using evidence accumulation

Clustering ensemble methods produce a consensus partition of a set of data points by combining the results of a collection of base clustering algorithms. In the evidence accumulation clustering (EAC) paradigm, the clustering ensemble is transformed into a pairwise co-association matrix, thus avoiding the label correspondence problem, which is intrinsic to other clustering ensemble schemes. In this paper, we propose a consensus clustering approach based on the EAC paradigm, which is not limited to crisp partitions and fully exploits the nature of the co-association matrix. Our solution determines probabilistic assignments of data points to clusters by minimizing a Bregman divergence between the observed co-association frequencies and the corresponding co-occurrence probabilities expressed as functions of the unknown assignments. We additionally propose an optimization algorithm to find a solution under any double-convex Bregman divergence. Experiments on both synthetic and real benchmark data show the effectiveness of the proposed approach.