Joint value at risk: a new conditional risk measure

In this PhD thesis a new firm level conditional risk measure is developed. It is named Joint Value at Risk (JVaR) and is defined as a quantile of a conditional distribution of interest, where the conditioning event is a latent upper tail event. It addresses the problem of how risk changes under extreme volatility scenarios. The properties of JVaR are studied based on a stochastic volatility representation of the underlying process. We prove that JVaR is leverage consistent, i.e. it is an increasing function of the dependence parameter in the stochastic representation. A feasible class of nonparametric M-estimators is introduced by exploiting the elicitability of quantiles and the stochastic ordering theory. Consistency and asymptotic normality of the two stage M-estimator are derived, and a simulation study is reported to illustrate its finite-sample properties. Parametric estimation methods are also discussed. The relation with the VaR is exploited to introduce a volatility contribution measure, and a tail risk measure is also proposed. The analysis of the dynamic JVaR is presented based on asymmetric stochastic volatility models. Empirical results with S&P500 data show that accounting for extreme volatility levels is relevant to better characterize the evolution of risk. The work is complemented by a review of the literature, where we provide an overview on quantile risk measures, elicitable functionals and several stochastic orderings.

Conditional entropy and predictability for non-reversible Markov systems

The purpose of this thesis is to clarify the role of non-equilibrium stationary currents of Markov processes in the context of the predictability of future states of the system. Once the connection between the predictability and the conditional entropy is established, we provide a comprehensive approach to the definition of a multi-particle Markov system. In particular, starting from the well-known theory of random walk on network, we derive the non-linear master equation for an interacting multi-particle system under the one-step process hypothesis, highlighting the limits of its tractability and the prop- erties of its stationary solution. Lastly, in order to study the impact of the NESS on the predictability at short times, we analyze the conditional entropy by modulating the intensity of the stationary currents, both for a single-particle and a multi-particle Markov system. The results obtained analytically are numerically tested on a 5-node cycle network and put in correspondence with the stationary entropy production. Furthermore, because of the low dimensionality of the single-particle system, an analysis of its spectral properties as a function of the modulated stationary currents is performed.

[food Insecurity In Brazilian Families With Children Under Five Years Of Age].

This article analyzes food insecurity and hunger in Brazilian families with children under five years of age. This was a nationally representative cross-sectional study using data from the National Demographic and Health Survey on Women and Children (PNDS-2006), in which the outcome variable was moderate to severe food insecurity, measured by the Brazilian Food Insecurity Scale (EBIA). Prevalence estimates and prevalence ratios were generated with 95% confidence intervals. The results showed a high prevalence of moderate to severe food insecurity, concentrated in the North and Northeast regions (30.7%), in economic classes D and E (34%), and in beneficiaries of conditional cash transfer programs (36.5%). Multivariate analysis showed that the socioeconomic relative risks (beneficiaries of conditional cash transfers), regional relative risks (North and Northeast regions), and economic relative risks (classes D and E) were 1.8, 2.0 and 2.4, respectively. Aggregation of the three risks showed 48% of families with moderate to severe food insecurity, meaning that adults and children were going hungry during the three months preceding the survey.

Censored Linear Regression Models For Irregularly Observed Longitudinal Data Using The Multivariate-t Distribution.

In acquired immunodeficiency syndrome (AIDS) studies it is quite common to observe viral load measurements collected irregularly over time. Moreover, these measurements can be subjected to some upper and/or lower detection limits depending on the quantification assays. A complication arises when these continuous repeated measures have a heavy-tailed behavior. For such data structures, we propose a robust structure for a censored linear model based on the multivariate Student's t-distribution. To compensate for the autocorrelation existing among irregularly observed measures, a damped exponential correlation structure is employed. An efficient expectation maximization type algorithm is developed for computing the maximum likelihood estimates, obtaining as a by-product the standard errors of the fixed effects and the log-likelihood function. The proposed algorithm uses closed-form expressions at the E-step that rely on formulas for the mean and variance of a truncated multivariate Student's t-distribution. The methodology is illustrated through an application to an Human Immunodeficiency Virus-AIDS (HIV-AIDS) study and several simulation studies.

Estudo da capacidade de complexação e sua relação com algumas variáveis ambientais em cinco represas do Rio Tietê/Brasil

The copper and cadmium complexation properties in natural sediment suspensions of reservoirs of the Tietê River were studied using the solid membrane copper and cadmium ion-selective electrodes. The complexation and the average conditional stability constants were determined under equilibrium conditions at pH=6.00 ± 0.05 in a medium of 1.0 mol L-1 sodium nitrate, using the Scatchard method. The copper and cadmium electrodes presented Nernstian behavior from 1x10-6 to 1x10-3 mol L-1 of total metal concentration. Scatchard graphs suggest two classes of binding sites for both metals. A multivariate study was done to correlate the reservoirs and the variables: complexation properties, size, total organic carbon, volatile acid sulfide, E II and pH.

Insegurança alimentar em domicílios brasileiros com crianças menores de cinco anos

This article analyzes food insecurity and hunger in Brazilian families with children under five years of age. This was a nationally representative cross-sectional study using data from the National Demographic and Health Survey on Women and Children (PNDS-2006), in which the outcome variable was moderate to severe food insecurity, measured by the Brazilian Food Insecurity Scale (EBIA). Prevalence estimates and prevalence ratios were generated with 95% confidence intervals. The results showed a high prevalence of moderate to severe food insecurity, concentrated in the North and Northeast regions (30.7%), in economic classes D and E (34%), and in beneficiaries of conditional cash transfer programs (36.5%). Multivariate analysis showed that the socioeconomic relative risks (beneficiaries of conditional cash transfers), regional relative risks (North and Northeast regions), and economic relative risks (classes D and E) were 1.8, 2.0 and 2.4, respectively. Aggregation of the three risks showed 48% of families with moderate to severe food insecurity, meaning that adults and children were going hungry during the three months preceding the survey.

Hipotaxe e Gramaticalização: uma Análise das Construções de Tempo e de Condição

This paper studies complex sentences with temporal hypotatic clauses and with conditional hypotatic clauses in order to investigate the degree of grammaticalization shown by these two kinds of utterances. Our hypothesis is that the more the hypotatic clause is integrated to the nuclear clause, the greater is the degree of grammaticalization. Such degree of integration was measured according to three groups of factors, and the results show that, regarding two of the variables evaluated, the conditional clauses are the most integrated to their nucleus, but, in another rank of evaluation, the temporal clauses are the most integrated ones. Considering that this study is based on a functionalist view, the results may be interpreted according to the principle that there is a competition of motivations in the use of language, so that each utterance reflects the balance of such forces.

Procedimentos pedagogicos para o ensino das lutas : contextos e possibilidades

Universidade Estadual de Campinas . Faculdade de Educação Física

Uma proposta de preparação para equipes jovens de voleibol feminino

Universidade Estadual de Campinas. Faculdade de Educação Física

Análises do matching de identidade generalizado por contingências de três e quatro termos: implicações para equivalência de estímulos

A expansão da tríplice continência em unidades com quatro ou mais elementos abriu novas perspectivas para a compreensão de comportamentos complexos, como a emergência de respostas que derivam da formação de classes de estímulos equivalentes e que modelam comportamentos simbólicos e conceituais. Na investigação experimental, o procedimento de matching to sample tem sido frequentemente empregado para estabelecer discriminações condicionais. Em particular, a obtenção do matching de identidade generalizado é considerada demonstrativa da aquisição dos conceitos de igualdade e diferença. Segundo argumentamos, o fato de se buscar a compreensão desses conceitos a partir de processos discriminativos condicionais pode ter sido responsável pelos frequentes fracassos em demonstrá-los em sujeitos não humanos. A falta de correspondência entre os processos discriminativos responsáveis por estabelecer a relação de reflexividade entre estímulos que formam classes equivalentes e o matching de identidade generalizado, nesse sentido, é aqui revista ao longo de estudos empíricos e discutida com respeito às suas implicações.

Impacto da adequação da oferta energética sobre a mortalidade em pacientes de UTI recebendo nutrição enteral

OBJETIVO: Investigar a relação entre adequação da oferta energética e mortalidade na unidade de terapia intensiva em pacientes sob terapia nutricional enteral exclusiva. MÉTODOS: Estudo observacional prospectivo conduzido em uma unidade de terapia intensiva em 2008 e 2009. Foram incluídos pacientes >18 anos que receberam terapia nutricional enteral por >72h. A adequação da oferta de energia foi estimada pela razão administrado/prescrito. Para a investigação da relação entre variáveis preditoras (adequação da oferta energética, escore APACHE II, sexo, idade e tempo de permanência na unidade de terapia intensiva e o desfecho mortalidade na unidade de terapia intensiva, utilizou-se o modelo de regressão logística não condicional. RESULTADOS: Foram incluídos 63 pacientes (média 58 anos, mortalidade 27%), 47,6% dos quais receberam mais de 90% da energia prescrita (adequação média 88,2%). O balanço energético médio foi de -190 kcal/dia. Observou-se associação significativa entre ocorrência de óbito e as variáveis idade e tempo de permanência na unidade de terapia intensiva, após a retirada das variáveis adequação da oferta energética, APACHE II e sexo durante o processo de modelagem. CONCLUSÃO: A adequação da oferta energética não influenciou a taxa de mortalidade na unidade de terapia intensiva. Protocolos de infusão de nutrição enteral seguidos criteriosamente, com adequação administrado/prescrito acima de 70%, parecem ser suficientes para não interferirem na mortalidade. Dessa forma, pode-se questionar a obrigatoriedade de atingir índices próximos a 100%, considerando a elevada frequência com que ocorrem interrupções no fornecimento de dieta enteral devido a intolerância gastrointestinal e jejuns para exames e procedimentos. Pesquisas futuras poderão identificar a meta ideal de adequação da oferta energética que resulte em redução significativa de complicações, mortalidade e custos.

Atividade física durante a gestação e desfechos fetais: um estudo de casos e controles

OBJETIVO: Analisar a relação entre atividade física durante o segundo trimestre de gestação e baixo peso ao nascer, prematuridade e restrição de crescimento intra-uterino. MÉTODOS: Estudo de caso-controle realizado no município de São Paulo, em 2005. Foram estudados 273 recém-nascidos de baixo peso e 546 controles. Dentre os casos foram selecionadas duas sub-amostras: 117 nascimentos pré-termo e 132 com restrição de crescimento intra-uterino (n=132) e seus respectivos controles. As informações foram obtidas mediante entrevistas com as puérperas e transcrição de dados dos prontuários. Foram realizadas análises de regressão logística múltipla condicional e hierarquizada. RESULTADOS: Foi identificado como fator de proteção para baixo peso ao nascer a realização de atividades leves por mais de sete horas diárias (ORaj:0,61; IC 95 por cento :0,39;0,94), para a qual identificou-se relação do tipo dose-resposta (p de tendência=0,026), e tendência similar na análise da restrição de crescimento intra-uterino (ORaj:0,51; IC 95 por cento :0,26;0,97). A realização de atividades domésticas associou-se como fator protetor tanto contra o baixo peso ao nascer quanto à prematuridade (p de tendência=0,013 e 0,035, respectivamente). Foi detectado efeito de proteção contra prematuridade para a caminhada no lazer. CONCLUSÕES: Atividades físicas leves, como caminhadas, durante o segundo trimestre de gestação exercem efeito protetor independente sobre o baixo peso ao nascer, a prematuridade e a restrição de crescimento intrauterino

Trajectory Sensitivity Method and Master-Slave Synchronization to Estimate Parameters of Nonlinear Systems

A combination of trajectory sensitivity method and master-slave synchronization was proposed to parameter estimation of nonlinear systems. It was shown that master-slave coupling increases the robustness of the trajectory sensitivity algorithm with respect to the initial guess of parameters. Since synchronization is not a guarantee that the estimation process converges to the correct parameters, a conditional test that guarantees that the new combined methodology estimates the true values of parameters was proposed. This conditional test was successfully applied to Lorenz's and Chua's systems, and the proposed parameter estimation algorithm has shown to be very robust with respect to parameter initial guesses and measurement noise for these examples. Copyright (C) 2009 Elmer P. T. Cari et al.

Observational evidences on the modulation of the South American Low Level Jet east of the Andes according the ENSO variability

The differences on the phase and wavelength of the quasi-stationary waves over the South America generated by El Nino (EN) and La Nina (LN) events seem to affect the daily evolution of the South American Low Level Jet east of the Andes (SALLJ). For the austral summer period of 1977 2004 the SALLJ episodes detected according to Bonner criterion 1 show normal to above-normal frequency in EN years, and in LN years the episodes show normal to below-normal frequency. During EN and LN years the SALLJ episodes were associated with positive rainfall anomalies over the La Plata Basin, but more intense during LN years. During EN years the increase in the SALLJ cases were associated to intensification of the Subtropical Jet (SJ) around 30 degrees S and positive Sea Level Pressure (SLP) anomalies over the western equatorial Atlantic and tropical South America, particularly over central Brazil. This favored the intensification of the northeasterly trade winds over the northern continent and it channeled by the Andes mountain to the La Plata Basin region where negative SLP are found. The SALLJ cases identified during the LN events were weaker and less frequent when compared to those for EN years. In this case the SJ was weaker than in EN years and the negative SLP anomalies over the tropical continent contributed to the inversion of the northeasterly trade winds. Also a southerly flow anomaly was generated by the geostrophic balance due to the anomalous blocking over southeast Pacific and the intense cyclonic transient over the southern tip of South America. As result the warm tropical air brought by the SALLJ encounters the cold extratropical air from the southerly winds over the La Plata basin. This configuration can increase the conditional instability over the La Plata basin and may explain the more intense positive rainfall anomalies in SALLJ cases during LN years than in EN years.

Merging Resource Availability with Isotope Mixing Models: The Role of Neutral Interaction Assumptions

Background: Bayesian mixing models have allowed for the inclusion of uncertainty and prior information in the analysis of trophic interactions using stable isotopes. Formulating prior distributions is relatively straightforward when incorporating dietary data. However, the use of data that are related, but not directly proportional, to diet (such as prey availability data) is often problematic because such information is not necessarily predictive of diet, and the information required to build a reliable prior distribution for all prey species is often unavailable. Omitting prey availability data impacts the estimation of a predator's diet and introduces the strong assumption of consumer ultrageneralism (where all prey are consumed in equal proportions), particularly when multiple prey have similar isotope values. Methodology: We develop a procedure to incorporate prey availability data into Bayesian mixing models conditional on the similarity of isotope values between two prey. If a pair of prey have similar isotope values (resulting in highly uncertain mixing model results), our model increases the weight of availability data in estimating the contribution of prey to a predator's diet. We test the utility of this method in an intertidal community against independently measured feeding rates. Conclusions: Our results indicate that our weighting procedure increases the accuracy by which consumer diets can be inferred in situations where multiple prey have similar isotope values. This suggests that the exchange of formalism for predictive power is merited, particularly when the relationship between prey availability and a predator's diet cannot be assumed for all species in a system.