We're Chained: an analysis of systemic risk in finance

This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.

An analysis of the perceived service quality of hospitality industry in Rio de Janeiro through the SERVQUAL model: a multiple case study

Brazil is under political and financial crises where the end seems far away. Because of that, researchers argue that the hotel rooms offered by Rio de Janeiro, built to host the Olympic Games 2016, will be difficult to occupy after the event. It is then necessary for the hotels to understand how guests perceive the service quality in order to adapt to this new era. If guests’ perceptions meet or exceed their expectations, they will be satisfied and will probably return. Thus based on the SERVQUAL approach, this paper aims to study the impact of the service dimensions on the guests’ overall satisfaction at hotels of Rio de Janeiro. Two hotels were considered representative of the city in terms of service quality and customers’ profile. Interviews to the hotel managers were performed, and questionnaires to the guests were administered. Among the five SERVQUAL dimensions – Reliability, Tangibles, Responsiveness, Assurance, and Empathy – the Empathy dimension appears to be the only one that affects the guests’ overall satisfaction. The study could also identify that gender, country of residence, home country and family income have an impact on guests’ satisfaction. This study has no intention of generalization, but rather of refining the theory about services and the SERVQUAL model.

Social entrepreneurship, microcredit and development challenges: a case study analysis of Banco Pérola

The term “social entrepreneurship” has been attracting growing interest from different sectors in the past years, driven by the possibility of employing business techniques to tackle recurrent social and environmental issues. At the forefront of this global phenomenon is microcredit, seen by many as an effective anti-poverty tool and having the Grameen Bank as its flagship program. While the prospects of social entrepreneurship seem promising, the newness of the concept and its somewhat confusing definition make conditions difficult to analyze this contemporary phenomenon. Therefore, the objective of this study was to discuss the challenges faced by social entrepreneurs and alternatives of development for social businesses through a case study on a Brazilian microcredit institution and inclusive business, Banco Pérola. The case addresses a growing need for case studies designed for teaching in the field of social entrepreneurship. It was focused mainly on understanding the development challenges within Banco Pérola, and built based on interviews carried out with top management, credit officer and clients of the institution, as well as on secondary data collected. An analysis of the case study was performed under a Teaching Notes. As illustrated by the Banco Pérola case, the main difficulties encountered by social entrepreneurs relate to the systematization of processes and creation of operational routines, including for performance evaluation (impact assessment tools); to the capture and management of both financial and human capital; to scaling up the business model and to the need of forging closer and more personal relationships with customers as against in traditional banking practices. In spite of certain limitations, such as the fact that the case might soon become outdated due to the fast-changing environment surrounding Banco Pérola, or the fact that not all relevant stakeholders (e.g. partners) were selected for interviews, the research objective has been achieved and the study can be seen as a contribution to spreading the concept of social entrepreneurship.

Finite Element Stress Analysis of Edentulous Mandibles with Different Bone Types Supporting Multiple-Implant Superstructures

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Molecular characterization and phylogenetic analysis of JussuMP-I: A RGD-P-III class hemorrhagic metalloprotease from Bothrops jararacussu snake venom

Snake venom metalloproteases (SVMPs) embody zinc-dependent multidomain enzymes responsible for a relevant pathophysiology in envenomation. including local and systemic hemorrhage. The molecular features responsible for hemorrhagic potency of SVMPs have been associated with their multidomains structures which can target these proteins them to several receptors of different tissues and cellular types. BjussuMP-I. a SVMP isolated from the Bothrops jararacussu venom, has been characterized as a P-III hemorrhagic metalloprotease. The complete cDNA sequence of BjussuMP-I with 1641bp encodes open reading frames of 547 amino acid residues, which conserve the common domains of P-III high molecular weight hemorrhagic metalloproteases: (i) pre-pro-peptide, (ii) metalloprotease, (iii) disintegrin-like and (iv) rich cysteine domain. BjussuMP-I induced lyses in fibrin clots and inhibited collagen- and ADP-induced platelet aggregation. We are reporting, for the first time, the primary structure of an RGD-P-III class snake venom metalloprotease. A phylogenetic analysis of the BjussuMP-1 metalloprotease/catalytic domain was performed to get new insights into the molecular evolution of the metalloproteases. A theoretical molecular model of this domain was built through folding recognition (threading) techniques and refined by molecular dynamics simulation. Then, the final BjussuMP-I catalytic domain model was compared to other SVMPs and Reprolysin family proteins in order to identify eventual structural differences, which could help to understand the biochemical activities of these enzymes. The presence of large hydrophobic areas and some conserved surface charge-positive residues were identified as important features of the SVMPs and other metalloproteases. (C) 2006 Elsevier B.V. All rights reserved.

Application of abrupt cut-off models in the analysis of the capacitance spectra of conjugated polymer devices

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Joint Experimental and Theoretical Analysis of Order Disorder Effects in Cubic BaZrO3 Assembled Nanoparticles under Decaoctahedral Shape

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

3D hydrogen-bonded network built from copper(II) complexes of 1,3-propanediamine

The reaction of Cu(NO3)(2).3H(2)O with 1,3-propanediamine (pn), in the presence of NaN3, afforded a 1:1 co-crystal formed by [Cu(NO3)(2)(pn)(2)] and [Cu(N-3)(NO3)(pn)(2)] (1 and 2), which were characterized by elemental analysis, IR spectroscopy and single crystal X-ray diffraction. In both compounds, the copper(II) centers are in a distorted octahedral environment, formed by four N atoms of two bidentate pn ligands in the basal plane, whereas the axial bonds are formed by two O atoms from the nitrate ligands in 1 and one O atom from the nitrate ligand and one N atom from the azide ion in 2. The asymmetric unit of the crystal consists of two crystallographically independent 1 and 2 complexes, which are held together in a 3D network by a series of N - H center dot center dot center dot O and N - H center dot center dot center dot N hydrogen bonds, as well C - H center dot center dot center dot O interactions. New supramolecular synthons are identified by the occurrence of two geometrically distinct molecular recognition patterns involving the NO3- ion and amino groups from pn ligands.

An easy-learning and easy-teaching tool for indoor thermal analysis - ArcTech

ArcTech is a software being developed, applied and improved with the aim of becoming an efficient sensitization tool to support the teaching-learning process of Architecture courses. The application deals initially with the thermal comfort of buildings. The output generated by the software shows if a student is able to produce a pleasant environment, in terms of thermal sensation along a 24-hours period. Although one can find the very same characteristics in fully-developed commercial software, the reason to create ArcTech is related to the flexibility of the system to be adapted by the instructor and also to the need of simple tools for the evaluation of specific topics along the courses. The first part of ArcTech is dedicated to data management and that was developed using the visual programming language Delphi 7 and Firebird as the database management system. The second part contains the parameters that can be changed by the system administrator and those related to project visualization. The interface of the system, in which the student will learn how to implement and to evaluate the project alternatives, was built using Macromedia Flash. The software was applied to undergraduate students revealing its easy-learning and easy-teaching interface.

Construction and test of low cost X-ray tomography scanner for physical-chemical analysis and nondestructive inspections

X-ray computed tomography (CT) refers to the cross-sectional imaging of an object measuring the transmitted radiation at different directions. In this work, we describe the development of a low cost micro-CT X-ray scanner that is being developed for nondestructive testing. This tomograph operates using a microfocus X-ray source and contains a silicon photodiode as detectors. The performance of the system, by its spatial resolution, has been estimated through its Modulation Transfer Function - MTF and the obtained value at 10% of MTF is 661 μm. It was built as a general purpose nondestructive testing device. © 2009 American Institute of Physics.

Influence of voids in the hybrid layer based on self-etching adhesive systems: a 3-D FE analysis

The presence of porosities at the dentin/adhesive interface has been observed with the use of new generation dentin bonding systems. These porosities tend to contradict the concept that etching and hybridization processes occur equally and simultaneously. Therefore, the aim of this study was to evaluate the micromechanical behavior of the hybrid layer (HL) with voids based on a self-etching adhesive system using 3-D finite element (FE) analysis. Three FE models (Mr) were built: Mr, dentin specimen (41x41x82 μm) with a regular and perfect (i.e. pore-free) HL based on a self-etching adhesive system, restored with composite resin; Mp, similar to M, but containing 25% (v/v) voids in the HL; Mpp, similar to Mr, but containing 50% (v/v) voids in the HL. A tensile load (0.03N) was applied on top of the composite resin. The stress field was obtained by using Ansys Workbench 10.0. The nodes of the base of the specimen were constrained in the x, y and z axes. The maximum principal stress (σmax) was obtained for all structures at the dentin/adhesive interface. The Mpp showed the highest peak of σmax in the HL (32.2 MPa), followed by Mp (30 MPa) and Mr (28.4 MPa). The stress concentration in the peritubular dentin was high in all models (120 MPa). All other structures positioned far from voids showed similar increase of stress. Voids incorporated into the HL raised the σmax in this region by 13.5%. This behavior might be responsible for lower bond strengths of self-etching and single-bottle adhesives, as reported in the literature.

Analysis of polymerization time on abrasive wear of dental resins

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Influence of high insertion torque on implant placement - an anisotropic bone stress analysis

The aim of this study was to evaluate the influence of the high values of insertion torques on the stress and strain distribution in cortical and cancellous bones. Based on tomography imaging, a representative mathematical model of a partial maxilla was built using Mimics 11.11 and Solid Works 2010 softwares. Six models were built and each of them received an implant with one of the following insertion torques: 30, 40, 50, 60, 70 or 80 Ncm on the external hexagon. The cortical and cancellous bones were considered anisotropic. The bone/implant interface was considered perfectly bonded. The numerical analysis was carried out using Ansys Workbench 10.0. The convergence of analysis (6%) drove the mesh refinement. Maximum principal stress (σ max) and maximum principal strain (ε max) were obtained for cortical and cancellous bones around to implant. Pearson's correlation test was used to determine the correlation between insertion torque and stress concentration in the periimplant bone tissue, considering the significance level at 5%. The increase in the insertion torque generated an increase in the σ max and ε max values for cortical and cancellous bone. The σmax was smaller for the cancellous bone, with greater stress variation among the insertion torques. The ε max was higher in the cancellous bone in comparison to the cortical bone. According to the methodology used and the limits of this study, it can be concluded that higher insertion torques increased tensile and compressive stress concentrations in the periimplant bone tissue.

Micromechanics of dentin/adhesive interface in function of dentin depth: 3d finite element analysis

Objectives: The aim of this study was to analyze the stress distribution on dentin/adhesive interface (d/a) through a 3-D finite element analysis (FEA) varying the number and diameter of the dentin tubules orifice according to dentin depth, keeping hybrid layer (HL) thickness and TAǴs length constant. Materials and Methods: 3 models were built through the SolidWorks software: SD - specimen simulating superficial dentin (41 x 41 x 82 μm), with a 3 μm thick HL, a 17 μm length Tag, and 8 tubules with a 0.9 μm diameter restored with composite resin. MD - similar to M1 with 12 tubules with a 1.2 μm diameter, simulating medium dentin. DD - similar to M1 with 16 tubules with a 2.5 μm diameter, simulating deep dentin. Other two models were built in order to keep the diameter constant in 2.5 μm: MS - similar to SD with 8 tubules; and MM - similar to MD with 12 tubules. The boundary condition was applied to the base surface of each specimen. Tensile load (0.03N) was performed on the composite resin top surface. Stress field (maximum principal stress in tension - σMAX) was performed using Ansys Wokbench 10.0. Results: The peak of σMAX (MPa) were similar between SD (110) and MD (106), and higher for DD (134). The stress distribution pathway was similar for all models, starting from peritubular dentin to adhesive layer, intertubular dentin and hybrid layer. The peak of σMAX (MPa) for those structures was, respectively: 134 (DD), 56.9 (SD), 45.5 (DD), and 36.7 (MD). Conclusions: The number of dentin tubules had no influence in the σMAX at the dentin/adhesive interface. Peritubular and intertubular dentin showed higher stress with the bigger dentin tubules orifice condition. The σMAX in the hybrid layer and adhesive layer were going down from superficial dentin to deeper dentin. In a failure scenario, the hybrid layer in contact with peritubular dentin and adhesive layer is the first region for breaking the adhesion. © 2011 Nova Science Publishers, Inc.

Influence of buccal cusp reduction when using porcelain laminate veneers in premolars. A comparative study using 3-D finite element analysis

Objectives: Based on a maxillary premolar restored with laminate veneer and using the 3-D finite element analysis (FEA) and mCT data, the aim of this study was to evaluate the influence of different types of buccal cusp reduction on the stress distribution in the porcelain laminate veneer and in the resin luting cement layer. Methods: Two 3-D FEA models (M) of a maxillary premolar were built from mCT data. The buccal cusp reduction followed two configurations: Mt-buccal cusp completely covered by porcelain laminate veneer; and Mp-buccal cusp partially covered by porcelain laminate veneer. The loading (150 N in 458) was performed on the top of the buccal cusp. The finite element software (Ansys Workbench 10.0) was used to obtain the maximum shear stress (σmax) and maximum principal stress (σmax). Results: The Mp showed reduced the stress (σmax) in porcelain laminate veneer (from-2.3 to 24.5 MPa) in comparison with Mt (from-5.3 to 27.4 MPa). The difference between the peak and lower stress values of σmax in Mp (-6.8 to 26.7 MPa) and Mt (-5.3 to 27.4 MPa) was similar for the resin luting cement layer. The structures not exceeded the ultimate tensile strength or the shear bond strength. Conclusions: Cusp reduction did not affect significant increase in σmax and τmax. The Mt showed better stress distribution (τmax) than Mp. © 2011 Published by Elsevier Ireland on behalf of Japan Prosthodontic Society.