Dois modelos de controle de risco: o modelo Nelson-Siegel dinâmico e o cálculo de VaR por modelos GARCH

A presente dissertação tem como objetivo apresentar dois importantes modelos usados na análise de risco. Essa análise culmina em uma aplicação empírica para cada um deles. Apresenta-se primeiro o modelo Nelson-Siegel dinâmico, que estima a curva de juros usando um modelo paramétrico exponencial parcimonioso. É citada a referência criadora dessa abordagem, que é Nelson & Siegel (1987), passa-se pela apresentação da mais importante abordagem moderna que é a de Diebold & Li (2006), que é quem cria a abordagem dinâmica do modelo Nelson-Siegel, e que é inspiradora de diversas extensões. Muitas dessas extensões também são apresentadas aqui. Na parte empírica, usando dados da taxa a termo americana de Janeiro de 2004 a Março de 2015, estimam-se os modelos Nelson-Siegel dinâmico e de Svensson e comparam-se os resultados numa janela móvel de 12 meses e comparamos seus desempenhos com aqueles de um passeio aleatório. Em seguida, são apresentados os modelos ARCH e GARCH, citando as obras originais de Engle (1982) e Bolleslev (1986) respectivamente, discutem-se características destes modelos e apresentam-se algumas extensões ao modelo GARCH, incluindo aí alguns modelos GARCH multivariados. Passa-se então por uma rápida apresentação do conceito de VaR (Value at Risk), que será o objetivo da parte empírica. Nesta, usando dados de 02 de Janeiro de 2004 até 25 de Fevereiro de 2015, são feitas uma estimação da variância de um portfólio usando os modelos GARCH, GJR-GARCH e EGARCH e uma previsão do VaR do portfólio a partir da estimação feita anteriormente. Por fim, são apresentados alguns trabalhos que usam os dois modelos conjuntamente, ou seja, que consideram que as taxas ou os fatores que as podem explicam possuem variância variante no tempo.

Modelo de gerenciamento de estoques de peças de reposição para empresas de transporte urbano de passageiros

This work searches to offer a model to improve spare parts stock management for companies of urban passenger transport by bus, with the consequent progress in their maintenance management. Also known as MRO items (Maintenance, Repair and Operations), these spare parts, according their consumption and demand features, cost, criticity to operation, lead-time, quantity of suppliers, among other parameters, shouldn´t have managed their inventory like normal production items (work in process e final products), that because their features, are managed by more predictable models based, for example, in economic order quantity. In the case specifically of companies of urban passenger transport by bus, items MRO have significant importance in their assets and a bad management of these inventories can cause serious losses to company, leading it even bankrupticy business, in more severe situations which missing spare part provokes vehicles shutdown indefinitely. Given slight attention to the issue, which translates in little literature available about it when compared to that literature about normal items stocks, and due the fact that MRO items be critical to bus urban transport of passengers companies´, it is necessary, so, deepen in this theme searching to give technical and scientific subsidies to companies that work, in many times, empirically, with these so decisive inputs to their business. As a typical portfolio problem, in which there are n items, separated into critical and noncritical, while competing for the same resource, it was developed a new algorithm to aid in a better inventory management of spare parts used only in corrective maintenance (whose failures are unpredictable and random), by analyzing the cost-benefit ratio, which compares the level of service versus cost of each item. The model was tested in a company of urban passenger transport by bus from the city of Natal, who anonymously provided their real data to application in this work

Modelo de covariância bayesiana para seleção de protfólios de investimentos

The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work

Modelo enxuto de gerenciamento multiprojetos baseado na corrente crítica

Pós-graduação em Engenharia Mecânica - FEG

Análise do processo de gestão de portfólio de projetos seis sigma em indústrias brasileiras do setor automotivo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Otimização de portfólio utilizando como métricas de retorno medidas de posição central

This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR model. The measurement of risks and returns becomes increasingly important for investors to minimize their losses to maximize thus their possibilities of earnings, taking into account sudden change scenarios. We present concepts of investment funds used as data and research on central position measurements to determine which measure was more suitable. To assemble the Efficient Frontier of assets considering the method proposed measure of central position-CVaR position is used MatLab. Then, after getting the Frontier, it was possible to compare it with the Medium-CVaR model, already proven effective. Finally, we analyze the viability of the proposed model in portfolio management

Análise de portfólio: uma perspectiva bayesiana

Este trabalho tem com objetivo abordar o problema de alocação de ativos (análise de portfólio) sob uma ótica Bayesiana. Para isto foi necessário revisar toda a análise teórica do modelo clássico de média-variância e na sequencia identificar suas deficiências que comprometem sua eficácia em casos reais. Curiosamente, sua maior deficiência não esta relacionado com o próprio modelo e sim pelos seus dados de entrada em especial ao retorno esperado calculado com dados históricos. Para superar esta deficiência a abordagem Bayesiana (modelo de Black-Litterman) trata o retorno esperado como uma variável aleatória e na sequência constrói uma distribuição a priori (baseado no modelo de CAPM) e uma distribuição de verossimilhança (baseado na visão de mercado sob a ótica do investidor) para finalmente aplicar o teorema de Bayes tendo como resultado a distribuição a posteriori. O novo valor esperado do retorno, que emerge da distribuição a posteriori, é que substituirá a estimativa anterior do retorno esperado calculado com dados históricos. Os resultados obtidos mostraram que o modelo Bayesiano apresenta resultados conservadores e intuitivos em relação ao modelo clássico de média-variância.

Proposta de um modelo de gestão de custos para pequenas propriedades rurais familiares com foco na tomada de decisão

This work was general-purpose, develop a proposal of a theoretical model of decisionmaking with a focus on management of small family farms costs, which enables support for decision making. And the following objectives: i) develop a structured methodology, which allows to form a literary basis to provide scientific support for the implementation of research; ii) develop based on the literature the dimensions and variables of the necessary models to propose an application and iii tooling) to implement the proposed model within the dimensions and variables, and validate every stage background and perform the necessary conclusions to verify the effectiveness of applied model. In terms of methodology, we used a structured methodology, which allowed forming a bibliographic portfolio of 29 articles, and through the research constructs developed, based on an existing model, an activity segmentation model for aid farmer of small family farms in the decision-making process with emphasis on cost management. The model was applied in six family farms in the South West region of Parana and Santa Catarina West. With regard to the search results, it was identified that the model can be applied to the specific context for which it was created. It was also possible to identify that the proposed model was valid and relevant to aid in the management of family farms by identifying, through the targeting of productive activities, investment priorities guided by the balance between managing costs and return activities. Moreover, possible to target the activities of six surveyed properties, demonstrating that the property 02, has the shape of more complex segmentation should be divided into three groups of activities, which can be conducted in parallel without any restrictions between activities. Other properties have the segmentation of the simplest activities, allowing viewing in this way that there are activities of groups that require prioritizing investments. Specifically the property 01 and 04 have the highest priority investment target groups, the most prominent activities of groups representing respectively 49.32% and 47.40%, which are represented by grain production activities on the property 01 and grain production, beef cattle and eggs on the property 04.

O que é portfólio

Tópico 1 – Definições O tópico define portfólio como instrumento contendo as diferentes produções do aluno, realizadas durante o curso, expressando sua aprendizagem, reflexões e dúvidas, que expressam o processo de aprendizagem. Define a prática pedagógica relacionada ao portfólio como metacognição. Apresenta o conceito de avaliação relativo a esse processo de aprendizagem e o modo como o portfólio reflete a trajetória do saber construído, na qual aluno e tutor acompanham o processo. Tópico 2 – O portfólio e seu conteúdo O tópico mostra o que deve fazer parte do portfólio, por meio do modelo Barton e Collins (2000) e sua construção com sete características, suas partes estruturais e detalhes de sua elaboração. Unidade 1 do módulo de Metodologia de trabalho de conclusão de curso que compõe o Curso de Especialização Multiprofissional em Saúde da Família.

Modelo dinâmico de simulação e otimização da força normal de reação do solo para um mecanismo de corte basal

The physical model was based on the method of Newton-Euler. The model was developed by using the scientific computer program Mathematica®. Several simulations where tried varying the progress speeds (0.69; 1.12; 1.48; 1.82 and 2.12 m s-1); soil profiles (sinoidal, ascending and descending ramp) and height of the profile (0.025 and 0.05 m) to obtain the normal force of soil reaction. After the initial simulations, the mechanism was optimized using the scientific computer program Matlab® having as criterion (function-objective) the minimization of the normal force of reaction of the profile (FN). The project variables were the lengths of the bars (L1y, L2, l3 and L4), height of the operation (L7), the initial length of the spring (Lmo) and the elastic constant of the spring (k t). The lack of robustness of the mechanism in relation to the variable height of the operation was outlined by using a spring with low rigidity and large length. The results demonstrated that the mechanism optimized showed better flotation performance in relation to the initial mechanism.

Modelo de programação quadrática para análise da movimentação logística e comercialização da soja brasileira

The purpose of this work was to analyze the logistical distribution of Brazilian soybean by applying a quadratic programming to a spatial equilibrium model. The soybean transportation system is an important part of the soybean complex in Brazil, since the major part of the costs of this commodity derives from the transportation costs. Therefore, the optimization of this part of the process is essential to a better competitiveness of the Brazilian soybean in the international market. The Brazilian soybean complex have been increasing its agricultural share in the total of the exportation value in the last ten years, but due to other countries' investments the Brazilian exportations cannot be only focused on increasing its production but it still have to be more efficient. This way, a model was reached which can project new frames by switching the transportation costs and conduce the policy makers to new investments in the sector.

Estrutura de um curso de taxonomia de campo: o modelo aplicado em Ubatuba, São Paulo

The field activities are essential for the education of a good taxonomist. The most common problems found in field activities are: a) large number of students, b) heterogeneous educational background and unlevelled knowledge of the participants, c) repetitions and tendency of collecting the more evidents life-forms. The causes and consequences of such problems are discussed herein. The proposed solution is a methodology, based on many years of experience in field courses for undergraduate and graduate courses. Topics about the ideal number of participants, area of coverage, period of activity, division of work and the necessary material and equipment are discussed. According to the number of species collected at the same place, this methodology may result in a list of local species with precise information about the life-forms, habitat, common names, frequency, uses, phenology and further information in this kind of work. The results of the aplication of this metodology in a field course held in the region of Ubatuba-SP are presented.

Análise bayesiana do modelo de herança monogênica no melhoramento vegetal: um exemplo com abobrinha

A common breeding strategy is to carry out basic studies to investigate the hypothesis of a single gene controlling the trait (major gene) with or without polygenes of minor effect. In this study we used Bayesian inference to fit genetic additive-dominance models of inheritance to plant breeding experiments with multiple generations. Normal densities with different means, according to the major gene genotype, were considered in a linear model in which the design matrix of the genetic effects had unknown coefficients (which were estimated in individual basis). An actual data set from an inheritance study of partenocarpy in zucchini (Cucurbita pepo L.) was used for illustration. Model fitting included posterior probabilities for all individual genotypes. Analysis agrees with results in the literature but this approach was far more efficient than previous alternatives assuming that design matrix was known for the generations. Partenocarpy in zucchini is controlled by a major gene with important additive effect and partial dominance.

Percepção dos usuários, profissionais de saúde e gestores sobre o modelo de atendimento oftalmológico no Hospital Regional de Divinolândia - São Paulo

Purpose: This study aimed to evaluate the assistance quality through the perception of the users and municipal health managers (mayors, health secretaries and screening team). Methods: A transversal and descriptive study was carried out. Results: The sample was comprised by 359 users and 48 managers. Medical assistance was considered excellent by 79.6% of the users, 93.7% of the managers, 87.5% of the health secretaries and 100% of the screening team. Reception received a great evaluation by 73.8% of the users and 93.8% of the selectors. Conclusion: The assistance model used at the Ophthalmologic Clinic of Divinolândia obtained a high level of satisfaction pleasing both users and managers.