Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Demographic determinants of survival of people living with HIV attending an outpatient reference unit in the city of Três Lagoas, state of Mato Grosso do Sul, Brazil, in the period 1984-2009

INTRODUCTION: While the incidence of HIV infection and AIDS is increasing in small Brazilian cities, epidemiological studies are often conducted in large urban centers. METHODS: Our group conducted a retrospective analysis of survival determinants among 358 patients who attended a reference unit in a small city. RESULTS: Death risk was lower among men that had sex with men, patients with an HIV-seropositive partner, and those admitted after highly active antiretroviral therapy (HAART) was available. CONCLUSIONS: The study documents the striking beneficial effect of HAART. The finding of other groups with improved survival may aid in the development of programmatic strategies.

Financial depth, stock markets and economic growth in the EU-15 countries

The aim of this paper is to assess the impact of financial depth on economic growth in the EU-15 countries from 1970 until 2012, using the two-step System GMM estimator. Even though it might be expected a positive impact, the results show it is negative and sometimes even negative and statistically significant. Among the reasons presented for this, the existence of banking crises seems to better explain these results. In tranquil periods, financial deepening appears to have a positive impact, whereas in banking crises it is persistently negative and statistically significant. Also, after an assessment of the impact of stock markets on economic growth, it appears that more developed countries in the EU-15 have an economy more reliant on this segment of the financial system rather than in bank intermediation.

The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

Acute kidney injury in a tropical country: a cohort study of 253 patients in an infectious diseases intensive care unit

Introduction: Acute kidney injury (AKI) is a frequent and potentially fatal complication in infectious diseases. The aim of this study was to investigate the clinical aspects of AKI associated with infectious diseases and the factors associated with mortality. Methods: This retrospective study was conducted in patients with AKI who were admitted to the intensive care unit (ICU) of a tertiary infectious diseases hospital from January 2003 to January 2012. The major underlying diseases and clinical and laboratory findings were evaluated. Results: A total of 253 cases were included. The mean age was 46±16 years, and 72% of the patients were male. The main diseases were human immunodeficiency virus (HIV) infection, HIV/acquired immunodeficiency syndrome (AIDS) (30%), tuberculosis (12%), leptospirosis (11%) and dengue (4%). Dialysis was performed in 70 cases (27.6%). The patients were classified as risk (4.4%), injury (63.6%) or failure (32%). The time between AKI diagnosis and dialysis was 3.6±4.7 days. Oliguria was observed in 112 cases (45.7%). The Acute Physiology and Chronic Health Evaluation (APACHE) II scores were higher in patients with HIV/AIDS (57±20, p-value=0.01) and dengue (68±11, p-value=0.01). Death occurred in 159 cases (62.8%). Mortality was higher in patients with HIV/AIDS (76.6%, p-value=0.02). A multivariate analysis identified the following independent risk factors for death: oliguria, metabolic acidosis, sepsis, hypovolemia, the need for vasoactive drugs, the need for mechanical ventilation and the APACHE II score. Conclusions: AKI is a common complication in infectious diseases, with high mortality. Mortality was higher in patients with HIV/AIDS, most likely due to the severity of immunosuppression and opportunistic diseases.

Association between the degree of physical impairment from leprosy and dependence in activities of daily living among the elderly in a health unit in the State of Minas Gerais

Introduction In addition to the common alterations and diseases inherent in the aging process, elderly persons with a history of leprosy are particularly vulnerable to dependence because of disease-related impairments. Objective determine whether physical impairment from leprosy is associated with dependence among the elderly. Methods An analytical cross-sectional study of elderly individuals with a history of leprosy and no signs of cognitive impairment was conducted using a database from a former leprosy colony-hospital. The patients were evaluated for dependence in the basic activities of daily living (BADL) and instrumental activities of daily living (IADL), respectively) and subjected to standard leprosy physical disability grading. Subsequently, descriptive and univariate analyses were conducted, the latter using Pearson's chi-squared test. Results A total of 186 elderly persons were included in the study. Of these individuals, 53.8% were women, 49.5% were older than 75 years of age, 93% had four or less years of formal education, 24.2% lived in an institution for the long-term care of the elderly (ILTC), and 18.3% had lower limb amputations. Among those evaluated, 79.8% had visible physical impairments from leprosy (grade 2), 83.3% were independent in BADL, and 10.2% were independent in IADL. There was a higher impairment grade among those patients who were IADL dependent (p=0.038). Conclusion s: The leprosy physical impairment grade is associated with dependence for IADL, creating the need for greater social support and systematic monitoring by a multidisciplinary team. The results highlight the importance of early diagnosis and treatment of leprosy to prevent physical impairment and dependence in later years.

Nosocomial infections in a neonatal intensive care unit during 16 years: 1997-2012

Introduction Surveillance of nosocomial infections (NIs) is an essential part of quality patient care; however, there are few reports of National Healthcare Safety Network (NHSN) surveillance in neonatal intensive care units (NICUs) and none in developing countries. The purpose of this study was to report the incidence of NIs, causative organisms, and antimicrobial susceptibility patterns in a large cohort of neonates admitted to the NICU during a 16-year period. Methods The patients were followed 5 times per week from birth to discharge or death, and epidemiological surveillance was conducted according to the NHSN. Results From January 1997 to December 2012, 4,615 neonates, representing 62,412 patient-days, were admitted to the NICU. The device-associated infection rates were as follows: 17.3 primary bloodstream infections per 1,000 central line-days and 3.2 pneumonia infections per 1,000 ventilator-days. A total of 1,182 microorganisms were isolated from sterile body site cultures in 902 neonates. Coagulase-negative staphylococci (CoNS) (34.3%) and Staphylococcus aureus (15.6%) were the most common etiologic agents isolated from cultures. The incidences of oxacillin-resistant CoNS and Staphylococcus aureus were 86.4% and 28.3%, respectively. Conclusions The most important NI remains bloodstream infection with staphylococci as the predominant pathogens, observed at much higher rates than those reported in the literature. Multiresistant microorganisms, especially oxacillin-resistant staphylococci and gram-negative bacilli resistant to cephalosporin were frequently found. Furthermore, by promoting strict hygiene measures and meticulous care of the infected infants, the process itself of evaluating the causative organisms was valuable.

Overstock and stock-out in Volkswagen Autoeuropa

The following work is a case study of overstock and stock-out problems at Volkswagen Autoeuropa (VWAE). It introduces the supply chain of Autoeuropa and specializes then on failures connected to inventory problems. Having a successful supply chain is important in a world where products become more and more similar as it can give to companies an edge over their competitors. The case shows three practices that VWAE uses to prevent and to overcome stock problems. Information was gathered by doing interviews with different managers, by analyzing the company’s key processes and by literature research related to the topics of supply chain management and flexibility in the supply chain. Three practices were further investigated: the use of alternative parts, support of the supplier and a rating system of suppliers. In the question section of this work the importance of flexibility and Supplier Relationship Management (SRM) when connected to supply chain management are explained. The described different practices are numerically analyzed and it is concluded that each practice brings both cost savings and the possibility of achieving target numbers to the company, showing the company’s flexibility to react to supply chain disturbances. Because of confidentiality reasons, persons in the case are fictionalized and numbers are wherever possible equalized to 100 in order to display true proportions.

Evaluation of the predictive indices for candidemia in an adult intensive care unit

INTRODUCTION: To evaluate predictive indices for candidemia in an adult intensive care unit (ICU) and to propose a new index. METHODS: A prospective cohort study was conducted between January 2011 and December 2012. This study was performed in an ICU in a tertiary care hospital at a public university and included 114 patients staying in the adult ICU for at least 48 hours. The association of patient variables with candidemia was analyzed. RESULTS: There were 18 (15.8%) proven cases of candidemia and 96 (84.2%) cases without candidemia. Univariate analysis revealed the following risk factors: parenteral nutrition, severe sepsis, surgical procedure, dialysis, pancreatitis, acute renal failure, and an APACHE II score higher than 20. For the Candida score index, the odds ratio was 8.50 (95% CI, 2.57 to 28.09); the sensitivity, specificity, positive predictive value, and negative predictive value were 0.78, 0.71, 0.33, and 0.94, respectively. With respect to the clinical predictor index, the odds ratio was 9.45 (95%CI, 2.06 to 43.39); the sensitivity, specificity, positive predictive value, and negative predictive value were 0.89, 0.54, 0.27, and 0.96, respectively. The proposed candidemia index cutoff was 8.5; the sensitivity, specificity, positive predictive value, and negative predictive value were 0.77, 0.70, 0.33, and 0.94, respectively. CONCLUSIONS: The Candida score and clinical predictor index excluded candidemia satisfactorily. The effectiveness of the candidemia index was comparable to that of the Candida score.

Characterization of newborns with nonimmune hydrops fetalis admitted to a neonatal intensive care unit

PURPOSE: To determine the incidence and characteristics of nonimmune hydrops fetalis in the newborn population. METHOD: A retrospective study of the period between 1996 and 2000, including all newborns with a prenatal or early neonatal diagnosis of nonimmune hydrops fetalis, based on clinical history, physical examination, and laboratory evaluation. The following were analyzed: prenatal follow-up, delivery type, gender, birth weight, gestational age, presence of perinatal asphyxia, nutritional classification, etiopathic diagnosis, length of hospital stay, mortality, and age at death. RESULTS: A total of 47 newborns with hydrops fetalis (0.42% of live births), 18 (38.3%) with the immune form and 29 (61.7%) with the nonimmune form, were selected for study. The incidence of nonimmune hydrops fetalis was 1 per 414 neonates. Data was obtained from 21 newborns, with the following characteristics: 19 (90.5%) were suspected from prenatal diagnosis, 18 (85.7%) were born by cesarean delivery, 15 (71.4%) were female, and 10 (47.6%) were asphyxiated. The average weight was 2665.9 g, and the average gestational age was 35 3/7 weeks; 14 (66.6%) were preterm; 18 (85.0 %) appropriate delivery time; and 3 (14.3%) were large for gestational age. The etiopathic diagnosis was determined for 62%, which included cardiovascular (19.0%), infectious (9.5%), placental (4.8%), hematologic (4.7%), genitourinary (4.8%), and tumoral causes (4.8%), and there was a combination of causes in 9.5%. The etiology was classified as idiopathic in 38%. The length of hospital stay was 26.6 ± 23.6 days, and the mortality rate was 52.4%. CONCLUSIONS: The establishment of a suitable etiopathic diagnosis associated with prenatal detection of nonimmune hydrops fetalis can be an important step in reducing the neonatal mortality rate from this condition.

The impact of credit conditions on market liquidity – a case for European stock markets

The recent financial crisis has drawn the attention of researchers and regulators to the importance of liquidity for stock market stability and efficiency. The ability of market-makers and investors to provide liquidity is constrained by the willingness of financial institutions to supply funding capital. This paper sheds light on the liquidity linkages between the Central Bank, Monetary Financial Institutions and market-makers as crucial elements to the well-functioning of markets. Results suggest the existence of causality between credit conditions and stock market liquidity for the Eurozone between 2003 and 2015. Similar evidence is found for the UK during the post-crisis period. Keywords: stock

Ethical aspects in the management of the terminally ill patient in the pediatric intensive care unit

OBJECTIVE: To identify the prevalence of management plans and decision-making processes for terminal care patients in pediatric intensive care units. METHODOLOGY: Evidence-based medicine was done by a systematic review using an electronic data base (LILACS, 1982 through 2000) and (MEDLINE, 1966 through 2000). The key words used are listed and age limits (0 to 18 years) were used. RESULTS: One hundred and eighty two articles were found and after selection according to the exclusion/inclusion criteria and objectives 17 relevant papers were identified. The most common decisions found were do-not-resuscitation orders and withdrawal or withholding life support care. The justifications for these were "imminent death" and "unsatisfatory quality of life". CONCLUSION: Care management was based on ethical principles aiming at improving benefits, avoiding harm, and when possible, respecting the autonomy of the terminally ill patient.

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

Hybrid investment strategy active portfolio management – US stock market

This thesis aims to develop an alternative active managed portfolio strategy based on companies‟ Fundamental and Technical Analysis and analyze its finals results. There is a big distinction between the two approaches and the main objective is to understand if it is possible to take advantage of both. With this in mind a Hybrid investment strategy for the US stock market, due to its dimension and liquidity, which was able to outperform the S&P 500 index, the benchmark, during both Bear and Bull Markets between 2000 and 2015.