Otimização de alavancagem e gestão de risco em estratégias long-short

Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

Health and development with imperfect capital markets

This paper investigates the interaction between investment in education and in life-expanding investments, in a simple two-period model in which individuaIs are liquidity constrained in the first period. We show that under low leveIs of health and capital, investments in human capital and in health are complement: since the probability of survival is small, there is littIe incentive to invest in human capital; therefore the return on health investment is also low. This reinforcing effect does not hold for higher leveIs of health or capital, and the two investments become substitute. This property has many consequences. First, subsidizing health care may have dramatically different effects on private investment in human capital, depending on the initial leveI of health and capital. Second, the assumption that mortality is endogenous induces an increase in inequality of income: since health investment is a normal good, the return on education is also lower for poor individuaIs. Third,in a non-overlapping generation madel with non-altruistic agents, the hea1th leveI of the population has strong consequences on growth. For a very low leveI of hea1th, mortality is too high for the investment on education to be profitable. For a higher, but still low, levei of hea1th the economy grows on1y if the initial stock of capital is high enough; bad health and low capital create a poverty trapo Fourth, we compare redistributive income policies versus public hea1th measures. Redistributing income reduces both static and dynamic inequality, but slows growth. In contrast, a paternalistic health policy that forces the poor to invest in hea1th reduces dynamic inequality and may foster growth.

Um estudo sobre os desafios do investimento baseado em capital intelectual

Os investimentos em longo prazo são importantes para os fundos de pensão, visto a longevidade de seus compromissos. A maior parte dos investimentos dessas entidades está alocada no segmento de renda fixa; contudo, os fundos de pensão são identificados como potenciais investidores em empreendimentos relacionados à inovação por seus interesses de longo prazo. Em setembro de 2009, por meio da Resolução do Conselho Monetário Nacional, os fundos de pensão foram autorizados a investirem em fundos de investimentos em participação – fundos em private equity. Esses investimentos são caracterizados por retornos de longo prazo e ganhos reais atrativos; apesar disso, esses investimentos ainda são inexpressivos em comparação aos mercados tradicionais. Nesse sentido, este estudo teve por objetivo compreender as dificuldades de se realizar investimento de longo prazo por meio de capital intelectual e, a partir de um caso específico, verificar como este investidor vem realizando a análise desse tipo de investimento. Para este fim, foi realizado um estudo exploratório em um fundo de pensão de médio porte por meio de análise documental, entrevistas abertas e não estruturadas e observação no processo decisório de investimento. Esse fundo está localizado na cidade do Rio de Janeiro e foi escolhido pelo critério não probabilístico de acessibilidade. Verificou-se que, embora haja atratividade em termo de retorno financeiro, os investimentos em participações – private equity - ainda estão abaixo do limite da regulamentação, devido aos altos riscos relacionados à confiança, ao prazo e à autonomia no processo decisório de investimento em inovação.

Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

A new approach to development banking in Jamaica

Includes bibliography

Istmo Centroamericano: la regulación de la distribución de energía eléctrica en los países con empresas privadas. Los casos de El Salvador, Guatemala, Nicaragua y Panamá

Incluye Bibliografía

Capital flows to Latin America: recent developments

Includes bibliography

Previous Percutaneous Coronary Intervention as Risk Factor for Coronary Artery Bypass Grafting

Background: Percutaneous coronary intervention (PCI) has increased as the initial revascularization strategy in chronic coronary artery disease. Consequently, more patients undergoing coronary artery bypass grafting (CABG) have history of coronary stent. Objective: Evaluate the impact of previous PCI on in-hospital mortality after CABG in patients with multivessel coronary artery disease. Methods: Between May/2007 and June/2009, 1099 consecutive patients underwent CABG on cardiopulmonary bypass. Patients with no PCI (n=938, 85.3%) were compared with patients with previous PCI (n=161, 14.6%). Logistic regression models and propensity score matching analysis were used to assess the risk-adjusted impact of previous PCI on in-hospital mortality. Results: Both groups were similar, except for the fact that patients with previous PCI were more likely to have unstable angina (16.1% x 9.9%, p=0.019). In-hospital mortality after CABG was higher in patients with previous PCI (9.3% x 5.1%, p=0.034) and it was comparable with EuroSCORE and 2000 Bernstein-Parsonnet risk score. Using multivariate logistic regression analysis, previous PCI emerged as an independent predictor of postoperative in-hospital mortality (odds ratio 1.94, 95% CI 1.02-3.68, p=0.044) as strong as diabetes (odds ratio 1.86, 95% CI 1.07-3.24, p=0.028). After computed propensity score matching based on preoperative risk factors, in-hospital mortality remained higher among patients with previous PCI (odds ratio 3.46, 95% CI 1.10-10.93, p=0.034). Conclusions: Previous PCI in patients with multivessel coronary artery disease is an independent risk factor for in-hospital mortality after CABG. This fact must be considered when PCI is indicated as initial alternative in patients with more severe coronary artery disease. (Arq Bras Cardiol 2012;99(1):586-595)

The role of myocardial scintigraphy in the assessment of cardiovascular risk in patients with end-stage chronic kidney disease on the waiting list for renal transplantation

The usefulness of stress myocardial perfusion scintigraphy for cardiovascular (CV) risk stratification in chronic kidney disease remains controversial. We tested the hypothesis that different clinical risk profiles influence the test. We assessed the prognostic value of myocardial scintigraphy in 892 consecutive renal transplant candidates classified into four risk groups: very high (aged epsilon 50 years, diabetes and CV disease), high (two factors), intermediate (one factor) and low (no factor). The incidence of CV events and death was 20 and 18, respectively (median follow-up 22 months). Altered stress testing was associated with an increased probability of cardiovascular events only in intermediate-risk (one risk factor) patients [30.3 versus 10, hazard ratio (HR) 2.37, confidence interval (CI) 1.693.33, P 0.0001]. Low-risk patients did well regardless of scan results. In patients with two or three risk factors, an altered stress test did not add to the already increased CV risk. Myocardial scintigraphy was related to overall mortality only in intermediate-risk patients (HR 2.8, CI 1.55.1, P 0.007). CV risk stratification based on myocardial stress testing is useful only in patients with just one risk factor. Screening may avoid unnecessary testing in 60 of patients, help stratifying for risk of events and provide an explanation for the inconsistent performance of myocardial scintigraphy.

The Real Importance of Pre-Existing Comorbidities on Long-Term Mortality after Acute Kidney Injury

Background: The causes of death on long-term mortality after acute kidney injury (AKI) have not been well studied. The purpose of the study was to evaluate the role of comorbidities and the causes of death on the long-term mortality after AKI. Methodology/Principal Findings: We retrospectively studied 507 patients who experienced AKI in 2005-2006 and were discharged free from dialysis. In June 2008 (median: 21 months after AKI), we found that 193 (38%) patients had died. This mortality is much higher than the mortality of the population of Sao Paulo City, even after adjustment for age. A multiple survival analysis was performed using Cox proportional hazards regression model and showed that death was associated with Khan's index indicating high risk [adjusted hazard ratio 2.54 (1.38-4.66)], chronic liver disease [1.93 (1.15-3.22)], admission to non-surgical ward [1.85 (1.30-2.61)] and a second AKI episode during the same hospitalization [1.74 (1.12-2.71)]. The AKI severity evaluated either by the worst stage reached during AKI (P=0.20) or by the need for dialysis (P=0.12) was not associated with death. The causes of death were identified by a death certificate in 85% of the non-survivors. Among those who died from circulatory system diseases (the main cause of death), 59% had already suffered from hypertension, 34% from diabetes, 47% from heart failure, 38% from coronary disease, and 66% had a glomerular filtration rate <60 previous to the AKI episode. Among those who died from neoplasms, 79% already had the disease previously. Conclusions: Among AKI survivors who were discharged free from dialysis the increased long-term mortality was associated with their pre-existing chronic conditions and not with the severity of the AKI episode. These findings suggest that these survivors should have a medical follow-up after hospital discharge and that all efforts should be made to control their comorbidities.

Problemas de estimação de custo de capital de empresas concessionárias no Brasil: uma aplicação à regulamentação de concessões rodoviárias

Neste trabalho, discute-se a fixação de taxas de retorno de concessões no Brasil, com aplicação específica ao caso da metodologia da Agência Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequação da regulamentação vigente, baseada no conceito de taxa interna de retorno (TIR), e não de custo de oportunidade do capital. A partir de um exemplo com dados referentes ao auge da crise financeira internacional (dezembro de 2008), evidencia-se também a falta de lógica decorrente da utilização de retornos e preços passados na estimação de taxas de retorno, um procedimento comum a toda a área de concessões de serviços públicos no Brasil. Propõe-se uma metodologia alternativa cujos resultados são sensíveis às condições correntes de mercado de capitais, que produz resultados coerentes com a situação então vigente.

Effects of adherence to guidelines for the control of major cardiovascular risk factors on outcomes in the REduction of Atherothrombosis for Continued Health (REACH) Registry Europe

To examine the impact of cardiovascular risk factor control on 3-year cardiovascular event rates in patients with stable symptomatic atherothrombotic disease in Europe.

Marginal Return of Infrastructure Investment on Bilateral Trade Performance

Investing in transport infrastructures such as roadways, airports and seaports has proven to improve a country's trade performance through reduction of transportation costs and providing access to production and market. This research investigates the diminishing return of infrastructure investment and also the rate of return of two types of infrastructure investment strategies on trade. An augmented gravity model is used with econometric analysis methods in this study. The results have shown that as roadway and airport densities increase, the marginal returns on trade decrease. Empirical evidence from the United States and China with all their trading partners from the past twenty years has also suggested existence of diminishing return of infrastructure investment on roadways and airports. Infrastructure investment strategy that focuses on increasing roadway and airport density experiences smaller diminishing return on trade. In contrast, seaport investment that focuses on port quality and efficiency generates higher return on trade. A trade benefiting infrastructure investment strategy that best utilizes financial resources must balance between quality and quantity based on a country's current level of infrastructure asset.

Who has really paid for the Reconstruction of East Germany? Expected and Realized Returns on Real Estate Investments in East and West Germany in the 1990s

We evaluate the profitability of investments in residential property in Germany after unification with a focus on the comparison of East and West Germany. Calculations are carried out for (1) the after-tax return an investor might have expected at the beginning of the 1990s, and (2) the after-tax return that has been realized ten years after. We compare a set of statistical data for investments in fifty major cities by using complete financial budgeting. The results show that tax subsidies could not always protect investors from losing money, but they have boosted realized returns after tax considerably. Therefore, it was indeed the taxpayers, not the investors, who have borne the cost of reconstructing East Germany.

Relative Energy Balance, CKD, and Risk of Cardiovascular and All-Cause Mortality.

BACKGROUND Mortality risk for people with chronic kidney disease is substantially greater than that for the general population, increasing to a 7-fold greater risk for those on dialysis therapy. Higher body mass index, generally due to higher energy intake, appears protective for people on dialysis therapy, but the relationship between energy intake and survival in those with reduced kidney function is unknown. STUDY DESIGN Prospective cohort study with a median follow-up of 14.5 (IQR, 11.2-15.2) years. SETTING & PARTICIPANTS Blue Mountains Area, west of Sydney, Australia. Participants in the general community enrolled in the Blue Mountains Eye Study (n=2,664) who underwent a detailed interview, food frequency questionnaire, and physical examination including body weight, height, blood pressure, and laboratory tests. PREDICTORS Relative energy intake, food components (carbohydrates, total sugars, fat, protein, and water), and estimated glomerular filtration rate (eGFR). Relative energy intake was dichotomized at 100%, and eGFR, at 60mL/min/1.73m(2). OUTCOMES All-cause and cardiovascular mortality. MEASUREMENTS All-cause and cardiovascular mortality using unadjusted and adjusted Cox proportional regression models. RESULTS 949 people died during follow-up, 318 of cardiovascular events. In people with eGFR<60mL/min/1.73m(2) (n=852), there was an increased risk of all-cause mortality (HR, 1.48; P=0.03), but no increased risk of cardiovascular mortality (HR, 1.59; P=0.1) among those with higher relative energy intake compared with those with lower relative energy intake. Increasing intake of carbohydrates (HR per 100g/d, 1.50; P=0.04) and total sugars (HR per 100g/d, 1.62; P=0.03) was associated significantly with increased risk of cardiovascular mortality. LIMITATIONS Under-reporting of energy intake, baseline laboratory and food intake values only, white population. CONCLUSIONS Increasing relative energy intake was associated with increased all-cause mortality in patients with eGFR<60mL/min/1.73m(2). This effect may be mediated by increasing total sugars intake on subsequent cardiovascular events.