Análise do contágio nos principais índices bolsistas europeu e norte-americano

Mestrado em Controlo de Gestão e dos Negócios

Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

Sovereign wealth funds and state immunity

The study sheds light on the application of the rule of state immunity to sovereign wealth funds (SWFs). SWFs are Janus-faced investment vehicles established by their parent states to invest public resources in financial markets, with the aim of increasing long-term returns and pursuing macroeconomic goals. The ultimate purpose of the study is to assess if the hybrid nature of SWFs results in changes to the rule of state immunity when applied to them, and whether a generally accepted standard in this regard can be deduced from state practice. The research is conducted through a comparative analysis. It is based on the provisions of the UN Convention on Jurisdictional Immunities of States and Their Property (UNCSI), as well as on six domestic jurisdictions (US, UK, France, Germany, Italy and China) among those that have contributed most significantly to the international debate on state immunity and which host the largest amount of SWF investments.

Preference Mapping Of Dulce De Leche Commercialized In Brazilian Markets.

Dulce de leche samples available in the Brazilian market were submitted to sensory profiling by quantitative descriptive analysis and acceptance test, as well sensory evaluation using the just-about-right scale and purchase intent. External preference mapping and the ideal sensory characteristics of dulce de leche were determined. The results were also evaluated by principal component analysis, hierarchical cluster analysis, partial least squares regression, artificial neural networks, and logistic regression. Overall, significant product acceptance was related to intermediate scores of the sensory attributes in the descriptive test, and this trend was observed even after consumer segmentation. The results obtained by sensometric techniques showed that optimizing an ideal dulce de leche from the sensory standpoint is a multidimensional process, with necessary adjustments on the appearance, aroma, taste, and texture attributes of the product for better consumer acceptance and purchase. The optimum dulce de leche was characterized by high scores for the attributes sweet taste, caramel taste, brightness, color, and caramel aroma in accordance with the preference mapping findings. In industrial terms, this means changing the parameters used in the thermal treatment and quantitative changes in the ingredients used in formulations.

OCCURRENCE AND ANTIBIOTIC SENSIBILITY PROFILE OF Salmonella spp. ISOLATED FROM PORK MEAT CUTS COMMERCIALIZED IN THE OPEN MARKETS IN PELOTAS, RS (BRAZIL)

The objective of the present study was to evaluate the occurrence of Salmonella spp. in 15 samples of pork meat cuts (T-bone, shank, sausage and ribs) commercialized in open markets of Pelotas (RS, Brazil) and verify the prevalent serovars, and test the isolates profile of sensitivity to several antibiotics of importance in medicine (nalidixic acid, ampicillin, aztreonam, kanamycin, carbenicillin, cephalothin, cefoxitin, ceftriaxone, ciprofloxacin, chloramphenicol, gentamicin, sulfonamide, tetracycline and trimetoprina). Twelve samples (80%) were contaminated by Salmonella enterica, serovars Infantis, Derby, Panama and Typhimurium. All isolates were susceptible to trimetoprin, aztreonam, ciprofloxacin, ceftriaxone and cefoxitin. For the other antibiotics, the pattern of sensitivity varied as serovar. In addition, 39.1% of isolates showed up to be multiresistant.

The pareto-stability concept is a natural solution concept for discrete matching markets with indifferences

In a decentralized setting the game-theoretical predictions are that only strong blockings are allowed to rupture the structure of a matching. This paper argues that, under indifferences, also weak blockings should be considered when these blockings come from the grand coalition. This solution concept requires stability plus Pareto optimality. A characterization of the set of Pareto-stable matchings for the roommate and the marriage models is provided in terms of individually rational matchings whose blocking pairs, if any, are formed with unmatched agents. These matchings always exist and give an economic intuition on how blocking can be done by non-trading agents, so that the transactions need not be undone as agents reach the set of stable matchings. Some properties of the Pareto-stable matchings shared by the Marriage and Roommate models are obtained.

Debt Maturity: Is Long-Term Debt Optimal?

We model and calibrate the arguments in favor and against short-term and long-term debt. These arguments broadly include: maturity premium, sustainability, and service smoothing. We use a dynamic-equilibrium model with tax distortions and government outlays uncertainty, and model maturity as the fraction of debt that needs to be rolled over every period. In the model, the benefits of defaulting are tempered by higher future interest rates. We then calibrate our artificial economy and solve for the optimal debt maturity for Brazil as an example of a developing country and the US as an example of a mature economy. We obtain that the calibrated costs from defaulting on long-term debt more than offset costs associated with short-term debt. Therefore, short-term debt implies higher welfare levels.