Implied Hazard Rates Analysis Through Brazilian Corporate Debt

No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.

Elections and stock market volatility: evidence in OECD countries and developing countries

Este trabalho estuda se existe impacto na volatilidade dos mercados de ações em torno das eleições nacionais nos países da OCDE e nos países em Desenvolvimento. Ao mesmo tempo, pretende, através de variáveis explicativas, descobrir os fatores responsáveis por esse impacto. Foi descoberta evidência que o impacto das eleições na volatilidade dos mercados de ações é maior nos países em Desenvolvimento. Enquanto as eleições antecipadas, a mudança na orientação política e o tamanho da população foram os factores que explicaram o aumento da volatilidade nos países da OCDE, o nível democrático, número de partidos da coligação governamental e a idade dos mercados foram os factores explicativos para os países em Desenvolvimento.

Options listing and the volatility of the underlying asset: a study on the derivative market function

Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Modificações introduzidas pelos treinamentos cardiopulmonar e neuromuscular nos níveis séricos basais de fatores de crescimento insulina símile i (igf-1), cortisol, autonomia funcional e qualidade de vida de mulheres idosas

Changes introduced by cardiopulmonar and neuromuscular training on basal serum insulin-like grow factor-1 (IGF-1) and cortisol levels, functional autonomy and quality of life in elderly women The aim of this study was to compare the effects of strength and aerobic training on basal serum IGF-1 and Cortisol levels, functional autonomy (FA) and quality of life (QoL) in elderly women after 12 weeks of training. The subjects were submitted the strength training (75-85% 1-RM) with weight exercises (SG; n=12; age=66.08 ± 3,37 years; BMI=26,77 ± 3,72 kg/m2), aerobic training with aquatic exercises (AG; n=13; age=68,69 ± 4,70 years; BMI=29,19 ± 2,96 kg/m2) and control group (CG; n=10; age=68,80 ± 5,41 years; BMI=29,70 ± 2,82 kg/m2). Fasting blood was analyzed to measure basal IGF-1 and cortisol levels by chemiluminescence method. The t-Student test showed increased IGF-1 in the SG (p<0.05) for intragroup comparison. The Repeated-measure ANOVA presented increased IGF-1 (p<0.05) in the SG compared to the other two groups. There were no differences in cortisol levels. All the FA tests (GDLAM autonomy protocol) presented decreased significant in the time marked in seconds to the SG. The same results were found in the AG, except in the rise from a sitting position test. The autonomy index presented significant improvements (p<0.05) in the SG related to the AG and CG and in the AG to the CG. The SG showed increased QoL (p<0.05) (by WHOQOL-Old questionnaire) in the facet 1 (sensorial functioning) and facet 5 (death and dying). Thus, the SG obtained positive changes on IGF-1 and FA levels when compared to the AG. This suggests that strength training can indicated to decrease the effects of ageing.

The Perception of Smile Attractiveness Variations from Esthetic Norms, Photographic Framing and Order of Presentation

Objectives: To evaluate the attractiveness of a smile according to variations from esthetic norms, photographic framing, and the order of the presentation of photographs.Materials and Methods: A photograph of an individual was selected and digitally manipulated to create the following smiles: an ideal control smile (I), a smile with diastema (D1), a smile with midline deviation (LM3), a smile with deviation from the long axes of the lateral incisors (10D), and a smile with an inverted smile arc (LSRV). The manipulated photographs were developed in framings of the face and of the mouth and evaluated by 20 laypeople. For half the evaluators, the presentation started with facial photographs and, for the other half, the presentation began with the mouth shots. Evaluators were asked to rank the photographs from the least to the most attractive; then, each photograph was awarded a mark (scale of 0.0 to 10.0).Results: In both presentations, the smiles I, LM3, 10D, and LSRV received favorable ratings, whereas the D1 smile got poor ratings. The photographic framings used (face vs mouth) and the order of presentation of the photographs did not influence the rankings.Conclusion: The absence of variations from beauty norms of a smile has a positive impact on its esthetic perception, but variations from the norms do not necessarily result in reduced attractiveness. (Angle Orthod. 2009;79:634-639.)

Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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

Analysis of the smile photograph.

Optimal facial esthetics is one of the objectives in orthodontic treatment and an important issue in modern society. In this context, orthodontic treatment permits individuals with dental malpositions to achieve improved dentofacial esthetics. To reach this result, the orthodontist needs to recognize the characteristics considered normal and pleasant in dental arches and smiles. The objective of this article is to review and discuss criterion adopted by dental literature to technically analyze the smile, such as dental midline, smile line, dental exposure, negative space, dental proportion, and symmetry. This article proposes a way to visualize an ideal smile for each patient.

Economic Survey of Latin America and the Caribbean 2007-2008: Macroeconomic policy and volatility

Includes bibliography

The globalization of financial volatility: challenges for emerging economies

Includes bibliography

Corporate risk management and exchange rate volatility in Latin America

Includes bibliography

Seeking growth under financial volatility

Includes bibliography

Crisis, volatility and fiscal policy in Latin America

Includes bibliography

Multilateral banking and development financing in a context of financial volatility

Includes bibliography