Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Behavioural queueing : cellular automata and a laboratory experiment

Dans cette thèse, nous étudions les aspects comportementaux d'agents qui interagissent dans des systèmes de files d'attente à l'aide de modèles de simulation et de méthodologies expérimentales. Chaque période les clients doivent choisir un prestataire de servivce. L'objectif est d'analyser l'impact des décisions des clients et des prestataires sur la formation des files d'attente. Dans un premier cas nous considérons des clients ayant un certain degré d'aversion au risque. Sur la base de leur perception de l'attente moyenne et de la variabilité de cette attente, ils forment une estimation de la limite supérieure de l'attente chez chacun des prestataires. Chaque période, ils choisissent le prestataire pour lequel cette estimation est la plus basse. Nos résultats indiquent qu'il n'y a pas de relation monotone entre le degré d'aversion au risque et la performance globale. En effet, une population de clients ayant un degré d'aversion au risque intermédiaire encoure généralement une attente moyenne plus élevée qu'une population d'agents indifférents au risque ou très averses au risque. Ensuite, nous incorporons les décisions des prestataires en leur permettant d'ajuster leur capacité de service sur la base de leur perception de la fréquence moyenne d'arrivées. Les résultats montrent que le comportement des clients et les décisions des prestataires présentent une forte "dépendance au sentier". En outre, nous montrons que les décisions des prestataires font converger l'attente moyenne pondérée vers l'attente de référence du marché. Finalement, une expérience de laboratoire dans laquelle des sujets jouent le rôle de prestataire de service nous a permis de conclure que les délais d'installation et de démantèlement de capacité affectent de manière significative la performance et les décisions des sujets. En particulier, les décisions du prestataire, sont influencées par ses commandes en carnet, sa capacité de service actuellement disponible et les décisions d'ajustement de capacité qu'il a prises, mais pas encore implémentées. - Queuing is a fact of life that we witness daily. We all have had the experience of waiting in line for some reason and we also know that it is an annoying situation. As the adage says "time is money"; this is perhaps the best way of stating what queuing problems mean for customers. Human beings are not very tolerant, but they are even less so when having to wait in line for service. Banks, roads, post offices and restaurants are just some examples where people must wait for service. Studies of queuing phenomena have typically addressed the optimisation of performance measures (e.g. average waiting time, queue length and server utilisation rates) and the analysis of equilibrium solutions. The individual behaviour of the agents involved in queueing systems and their decision making process have received little attention. Although this work has been useful to improve the efficiency of many queueing systems, or to design new processes in social and physical systems, it has only provided us with a limited ability to explain the behaviour observed in many real queues. In this dissertation we differ from this traditional research by analysing how the agents involved in the system make decisions instead of focusing on optimising performance measures or analysing an equilibrium solution. This dissertation builds on and extends the framework proposed by van Ackere and Larsen (2004) and van Ackere et al. (2010). We focus on studying behavioural aspects in queueing systems and incorporate this still underdeveloped framework into the operations management field. In the first chapter of this thesis we provide a general introduction to the area, as well as an overview of the results. In Chapters 2 and 3, we use Cellular Automata (CA) to model service systems where captive interacting customers must decide each period which facility to join for service. They base this decision on their expectations of sojourn times. Each period, customers use new information (their most recent experience and that of their best performing neighbour) to form expectations of sojourn time at the different facilities. Customers update their expectations using an adaptive expectations process to combine their memory and their new information. We label "conservative" those customers who give more weight to their memory than to the xiv Summary new information. In contrast, when they give more weight to new information, we call them "reactive". In Chapter 2, we consider customers with different degree of risk-aversion who take into account uncertainty. They choose which facility to join based on an estimated upper-bound of the sojourn time which they compute using their perceptions of the average sojourn time and the level of uncertainty. We assume the same exogenous service capacity for all facilities, which remains constant throughout. We first analyse the collective behaviour generated by the customers' decisions. We show that the system achieves low weighted average sojourn times when the collective behaviour results in neighbourhoods of customers loyal to a facility and the customers are approximately equally split among all facilities. The lowest weighted average sojourn time is achieved when exactly the same number of customers patronises each facility, implying that they do not wish to switch facility. In this case, the system has achieved the Nash equilibrium. We show that there is a non-monotonic relationship between the degree of risk-aversion and system performance. Customers with an intermediate degree of riskaversion typically achieve higher sojourn times; in particular they rarely achieve the Nash equilibrium. Risk-neutral customers have the highest probability of achieving the Nash Equilibrium. Chapter 3 considers a service system similar to the previous one but with risk-neutral customers, and relaxes the assumption of exogenous service rates. In this sense, we model a queueing system with endogenous service rates by enabling managers to adjust the service capacity of the facilities. We assume that managers do so based on their perceptions of the arrival rates and use the same principle of adaptive expectations to model these perceptions. We consider service systems in which the managers' decisions take time to be implemented. Managers are characterised by a profile which is determined by the speed at which they update their perceptions, the speed at which they take decisions, and how coherent they are when accounting for their previous decisions still to be implemented when taking their next decision. We find that the managers' decisions exhibit a strong path-dependence: owing to the initial conditions of the model, the facilities of managers with identical profiles can evolve completely differently. In some cases the system becomes "locked-in" into a monopoly or duopoly situation. The competition between managers causes the weighted average sojourn time of the system to converge to the exogenous benchmark value which they use to estimate their desired capacity. Concerning the managers' profile, we found that the more conservative Summary xv a manager is regarding new information, the larger the market share his facility achieves. Additionally, the faster he takes decisions, the higher the probability that he achieves a monopoly position. In Chapter 4 we consider a one-server queueing system with non-captive customers. We carry out an experiment aimed at analysing the way human subjects, taking on the role of the manager, take decisions in a laboratory regarding the capacity of a service facility. We adapt the model proposed by van Ackere et al (2010). This model relaxes the assumption of a captive market and allows current customers to decide whether or not to use the facility. Additionally the facility also has potential customers who currently do not patronise it, but might consider doing so in the future. We identify three groups of subjects whose decisions cause similar behavioural patterns. These groups are labelled: gradual investors, lumpy investors, and random investor. Using an autocorrelation analysis of the subjects' decisions, we illustrate that these decisions are positively correlated to the decisions taken one period early. Subsequently we formulate a heuristic to model the decision rule considered by subjects in the laboratory. We found that this decision rule fits very well for those subjects who gradually adjust capacity, but it does not capture the behaviour of the subjects of the other two groups. In Chapter 5 we summarise the results and provide suggestions for further work. Our main contribution is the use of simulation and experimental methodologies to explain the collective behaviour generated by customers' and managers' decisions in queueing systems as well as the analysis of the individual behaviour of these agents. In this way, we differ from the typical literature related to queueing systems which focuses on optimising performance measures and the analysis of equilibrium solutions. Our work can be seen as a first step towards understanding the interaction between customer behaviour and the capacity adjustment process in queueing systems. This framework is still in its early stages and accordingly there is a large potential for further work that spans several research topics. Interesting extensions to this work include incorporating other characteristics of queueing systems which affect the customers' experience (e.g. balking, reneging and jockeying); providing customers and managers with additional information to take their decisions (e.g. service price, quality, customers' profile); analysing different decision rules and studying other characteristics which determine the profile of customers and managers.

A Survey Measure of Risk Aversion

We Use Survey Data on the Well-Being of Individuals to Measure Attitude Toward Risk. Risk Neutrality Cannot Be Rejected by the Data.

Modélisation du carnet d'ordres limites et prévision de séries temporelles

Le contenu de cette thèse est divisé de la façon suivante. Après un premier chapitre d’introduction, le Chapitre 2 est consacré à introduire aussi simplement que possible certaines des théories qui seront utilisées dans les deux premiers articles. Dans un premier temps, nous discuterons des points importants pour la construction de l’intégrale stochastique par rapport aux semimartingales avec paramètre spatial. Ensuite, nous décrirons les principaux résultats de la théorie de l’évaluation en monde neutre au risque et, finalement, nous donnerons une brève description d’une méthode d’optimisation connue sous le nom de dualité. Les Chapitres 3 et 4 traitent de la modélisation de l’illiquidité et font l’objet de deux articles. Le premier propose un modèle en temps continu pour la structure et le comportement du carnet d’ordres limites. Le comportement du portefeuille d’un investisseur utilisant des ordres de marché est déduit et des conditions permettant d’éliminer les possibilités d’arbitrages sont données. Grâce à la formule d’Itô généralisée il est aussi possible d’écrire la valeur du portefeuille comme une équation différentielle stochastique. Un exemple complet de modèle de marché est présenté de même qu’une méthode de calibrage. Dans le deuxième article, écrit en collaboration avec Bruno Rémillard, nous proposons un modèle similaire mais cette fois-ci en temps discret. La question de tarification des produits dérivés est étudiée et des solutions pour le prix des options européennes de vente et d’achat sont données sous forme explicite. Des conditions spécifiques à ce modèle qui permettent d’éliminer l’arbitrage sont aussi données. Grâce à la méthode duale, nous montrons qu’il est aussi possible d’écrire le prix des options européennes comme un problème d’optimisation d’une espérance sur en ensemble de mesures de probabilité. Le Chapitre 5 contient le troisième article de la thèse et porte sur un sujet différent. Dans cet article, aussi écrit en collaboration avec Bruno Rémillard, nous proposons une méthode de prévision des séries temporelles basée sur les copules multivariées. Afin de mieux comprendre le gain en performance que donne cette méthode, nous étudions à l’aide d’expériences numériques l’effet de la force et la structure de dépendance sur les prévisions. Puisque les copules permettent d’isoler la structure de dépendance et les distributions marginales, nous étudions l’impact de différentes distributions marginales sur la performance des prévisions. Finalement, nous étudions aussi l’effet des erreurs d’estimation sur la performance des prévisions. Dans tous les cas, nous comparons la performance des prévisions en utilisant des prévisions provenant d’une série bivariée et d’une série univariée, ce qui permet d’illustrer l’avantage de cette méthode. Dans un intérêt plus pratique, nous présentons une application complète sur des données financières.

Risk Aversion in Inventory Management

Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a framework for incorporating risk aversion in multi-period inventory models as well as multi-period models that coordinate inventory and pricing strategies. In each case, we characterize the optimal policy for various measures of risk that have been commonly used in the finance literature. In particular, we show that the structure of the optimal policy for a decision maker with exponential utility functions is almost identical to the structure of the optimal risk-neutral inventory (and pricing) policies. Computational results demonstrate the importance of this approach not only to risk-averse decision makers, but also to risk-neutral decision makers with limited information on the demand distribution.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

The lottery-panel task for bi-dimensional parameter-free elicitation of risk attitudes

We propose first, a simple task for the eliciting attitudes toward risky choice, the SGG lottery-panel task, which consists in a series of lotteries constructed to compensate riskier options with higher risk-return trade-offs. Using Principal Component Analysis technique, we show that the SGG lottery-panel task is capable of capturing two dimensions of individual risky decision making i.e. subjects’ average risk taking and their sensitivity towards variations in risk-return. From the results of a large experimental dataset, we confirm that the task systematically captures a number of regularities such as: A tendency to risk averse behavior (only around 10% of choices are compatible with risk neutrality); An attraction to certain payoffs compared to low risk lotteries, compatible with over-(under-) weighting of small (large) probabilities predicted in PT and; Gender differences, i.e. males being consistently less risk averse than females but both genders being similarly responsive to the increases in risk-premium. Another interesting result is that in hypothetical choices most individuals increase their risk taking responding to the increase in return to risk, as predicted by PT, while across panels with real rewards we see even more changes, but opposite to the expected pattern of riskier choices for higher risk-returns. Therefore, we conclude from our data that an “economic anomaly” emerges in the real reward choices opposite to the hypothetical choices. These findings are in line with Camerer's (1995) view that although in many domains, paid subjects probably do exert extra mental effort which improves their performance, choice over money gambles is not likely to be a domain in which effort will improve adherence to rational axioms (p. 635). Finally, we demonstrate that both dimensions of risk attitudes, average risk taking and sensitivity towards variations in the return to risk, are desirable not only to describe behavior under risk but also to explain behavior in other contexts, as illustrated by an example. In the second study, we propose three additional treatments intended to elicit risk attitudes under high stakes and mixed outcome (gains and losses) lotteries. Using a dataset obtained from a hypothetical implementation of the tasks we show that the new treatments are able to capture both dimensions of risk attitudes. This new dataset allows us to describe several regularities, both at the aggregate and within-subjects level. We find that in every treatment over 70% of choices show some degree of risk aversion and only between 0.6% and 15.3% of individuals are consistently risk neutral within the same treatment. We also confirm the existence of gender differences in the degree of risk taking, that is, in all treatments females prefer safer lotteries compared to males. Regarding our second dimension of risk attitudes we observe, in all treatments, an increase in risk taking in response to risk premium increases. Treatment comparisons reveal other regularities, such as a lower degree of risk taking in large stake treatments compared to low stake treatments and a lower degree of risk taking when losses are incorporated into the large stake lotteries. Results that are compatible with previous findings in the literature, for stake size effects (e.g., Binswanger, 1980; Antoni Bosch-Domènech & Silvestre, 1999; Hogarth & Einhorn, 1990; Holt & Laury, 2002; Kachelmeier & Shehata, 1992; Kühberger et al., 1999; B. J. Weber & Chapman, 2005; Wik et al., 2007) and domain effect (e.g., Brooks and Zank, 2005, Schoemaker, 1990, Wik et al., 2007). Whereas for small stake treatments, we find that the effect of incorporating losses into the outcomes is not so clear. At the aggregate level an increase in risk taking is observed, but also more dispersion in the choices, whilst at the within-subjects level the effect weakens. Finally, regarding responses to risk premium, we find that compared to only gains treatments sensitivity is lower in the mixed lotteries treatments (SL and LL). In general sensitivity to risk-return is more affected by the domain than the stake size. After having described the properties of risk attitudes as captured by the SGG risk elicitation task and its three new versions, it is important to recall that the danger of using unidimensional descriptions of risk attitudes goes beyond the incompatibility with modern economic theories like PT, CPT etc., all of which call for tests with multiple degrees of freedom. Being faithful to this recommendation, the contribution of this essay is an empirically and endogenously determined bi-dimensional specification of risk attitudes, useful to describe behavior under uncertainty and to explain behavior in other contexts. Hopefully, this will contribute to create large datasets containing a multidimensional description of individual risk attitudes, while at the same time allowing for a robust context, compatible with present and even future more complex descriptions of human attitudes towards risk.

Does liquidity constraints matter for Ricardian equivalence?

The paper analysis a general equilibrium model with two periods, several households and a government that has to finance some expenditures in the first period. Households may have some private information either about their type (adverse selection) or about some action levei chosen in the first period that affects the probability of certain states of nature in the second period (moral hazard). Trade of financiai assets are intermediated by a finite collection of banks. Banks objective functions are determined in equilibrium by shareholders. Due to private information it may be optimal for the banks to introduce constraints in the set of available portfolios for each household as wellas household specific asset prices. In particular, households may face distinct interest rates for holding the risk-free asset. The government finances its expenditures either by taxing households in the first period or by issuing bonds in the first period and taxing households in the second period. Taxes may be state-dependent. Suppose government policies are neutml: i) government policies do not affect the distribution of wealth across households; and ii) if the government decides to tax a household in the second period there is a portfolio available for the banks that generates the Mme payoff in each state of nature as the household taxes. Tben, Ricardian equivalence holds if and only if an appropriate boundary condition is satisfied. Moreover, at every free-entry equilibrium the boundary condition is satisfied and thus Ricardian equivalence holds. These results do not require any particular assumption on the banks' objective function. In particular, we do not assume banks to be risk neutral.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Limited liability and non-responsiveness in moral hazard and adverse selection problems

This work analyses the optimal menu of contracts offered by a risk neutral principal to a risk averse agent under moral hazard, adverse selection and limited liability. There are two output levels, whose probability of occurrence are given by agent’s private information choice of effort. The agent’s cost of effort is also private information. First, we show that without assumptions on the cost function, it is not possible to guarantee that the optimal contract menu is simple, when the agent is strictly risk averse. Then, we provide sufficient conditions over the cost function under which it is optimal to offer a single contract, independently of agent’s risk aversion. Our full-pooling cases are caused by non-responsiveness, which is induced by the high cost of enforcing higher effort levels. Also, we show that limited liability generates non-responsiveness.

Risk Judgment in Obsessive-Compulsive Disorder: Testing a Dual-Systems Account

Dual-systems theorists posit distinct modes of reasoning. The intuition system reasons automatically and its processes are unavailable to conscious introspection. The deliberation system reasons effortfully while its processes recruit working memory. The current paper extends the application of such theories to the study of Obsessive-Compulsive Disorder (OCD). Patients with OCD often retain insight into their irrationality, implying dissociable systems of thought: intuition produces obsessions and fears that deliberation observes and attempts (vainly) to inhibit. To test the notion that dual-systems theory can adequately describe OCD, we obtained speeded and unspeeded risk judgments from OCD patients and non-anxious controls in order to quantify the differential effects of intuitive and deliberative reasoning. As predicted, patients deemed negative events to be more likely than controls. Patients also took more time in producing judgments than controls. Furthermore, when forced to respond quickly patients' judgments were more affected than controls'. Although patients did attenuate judgments when given additional time, their estimates never reached the levels of controls'. We infer from these data that patients have genuine difficulty inhibiting their intuitive cognitive system. Our dual-systems perspective is compatible with current theories of the disorder. Similar behavioral tests may prove helpful in better understanding related anxiety disorders. (C) 2013 Elsevier Ltd. All rights reserved.

A kockázat megjelenése a származtatott pénzügyi termékekben (The risk appearing in financial derivatives)

A pénzügyi kockázatok szerepe, modellezése, kezelése az utóbbi évtizedekben vált egyre hangsúlyosabbá az elméletben és a gyakorlatban egyaránt. A 2007-ben kezdődő pénzügyi válság egyik kiváltó oka a kockázatok nem megfelelő felmérése volt. A válság egyik tanulsága, hogy bár a matematika és a fizika hozzájárulása rendkívül mély módszertani apparátust biztosított a kockázatok számszerűsítésére, ezen eredmények pénzügyi alkalmazása csak akkor sikeres, ha pontosan értjük a modellek feltételeit és korlátait. Jelen cikk a pénzügyi derivatívák értékelésének alapelveit, valamint a származtatott ügyletekben megjelenő kockázatokat tekinti át, illetve bemutatja azokat a bizonytalansági tényezőket, amelyek megkérdőjelezik az értékelés objektivitását. / === / The modeling and management of financial risks became one of the most important topics of the last decade both in theory and fi nancial practice. The mismanagement of fi nancial risks can be mentioned among the reasons contributing to the eruption of the recent crisis. In order to use successfully the methodology of mathematics and physics in pricing of derivatives, we have to consider the assumptions and limits of the models. This paper introduces the main concepts – no arbitrage pricing and risk neutral valuation – in derivatives’ pricing, then presents and quantifies the risk of some derivative products. I am arguing that the assumptions of the Black–Scholes and Merton model are injured at several points, so the pricing can not be perfectly cleared from all the risk preferences. All those risks, deriving from the difference of the reality and the model are priced in the volatility parameter in the practice.

Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

Saúde Mental em meio prisional : avaliação de necessidades de cuidados em reclusos com perturbação mental

RESUMO: A população prisional é constituída por indivíduos geralmente sujeitos a alguma forma de exclusão social e que apresentam problemas de saúde física e mental mais frequentes do que na população em geral. A prevalência mais elevada de perturbações mentais e de suicídio nos reclusos, em relação à população civil, é consensual e está demonstrada em numerosos estudos internacionais. O abuso/dependência de substâncias, a depressão, as psicoses e a perturbação anti-social de personalidade são as perturbações mais comuns na população prisional. As perturbações mentais são importantes factores de risco de suicídio, de vitimização, de reincidência e de reentrada no sistema prisional. Assim sendo, o grupo de reclusos com perturbação mental constitui um grupo de risco relevante. A avaliação de necessidades de cuidados foi iniciada no Reino Unido como um método para o planeamento, medição dos resultados e financiamento dos cuidados de saúde. Para esta avaliação foram desenvolvidos instrumentos que avaliam as necessidades em diversos domínios (clínicos e sociais) para aplicação aos utentes, cuidadores e profissionais. Até aos anos noventa, a avaliação de necessidades no contexto prisional incidia especialmente nas necessidades de segurança dos serviços, segundo a perspectiva dos profissionais. Contudo, a partir do relatório Reed (1992), sobre a situação dos reclusos com perturbação mental, verificou-se uma abordagem mais abrangente, que incluía a avaliação das necessidades de cuidados dos reclusos. Embora as necessidades dos reclusos com perturbação mental pareçam ser similares às dos doentes psiquiátricos em geral, existem diferenças em determinados domínios como a comorbilidade do eixo II, o abuso de substâncias e o risco de violência. Por este motivo, as necessidades de cuidados de saúde mental dos reclusos são elevadas e frequentemente não se encontram satisfeitas. De forma a incluir estas especificidades foi desenvolvida a versão forense do Camberwell Assessment of Need (CAN), designada por CAN - Forensic Version (CANFOR). Actualmente existe um consenso generalizado entre as instituições internacionais do dever de proporcionar aos reclusos cuidados de saúde, de prevenção e de tratamento, equivalentes aos cuidados disponíveis para a população civil - o princípio da equivalência de cuidados. A presente investigação pretendeu caracterizar e avaliar as necessidades de cuidados dos reclusos acompanhados nos serviços de psiquiatria prisionais na área da Grande Lisboa (internamento no Serviço de Psiquiatria do Hospital Prisional de S. João de Deus (HPSJD) e consultas nos Estabelecimentos Prisionais (EP) de Caxias e de Tires). De modo a estabelecer uma comparação com sujeitos civis foi seleccionada uma amostra de conveniência de pacientes acompanhados num departamento de psiquiatria da mesma região, segundo um emparelhamento por sexo, escalão etário, e por diagnóstico, num período de 3 meses. Realizou-se um estudo de tipo observacional, transversal e comparativo. Aplicaram-se os seguintes instrumentos de avaliação: questionário específico, Brief Psychiatric Rating Scale 4.0, Mini International Neuropsychiatric Interview 5.0.0, Global Assessment Functioning, CAN-R e CANFOR-R. No período do estudo (12 meses) foram assistidos 149 reclusos, dos quais, 35 (23,5%) não cumpriram os critérios de inclusão. A amostra final de reclusos (PRs) (n=114) foi constituída por 79 homens (69,3%) e 35 mulheres (30,7%), dos quais 77 eram condenados (67,5%) e 37 (32,5%) encontravam-se detidos preventivamente. A amostra final de participantes civis (PCs) foi constituída por 121 indivíduos, dos quais 76 eram homens (62,8%) e 45 eram mulheres (37,2%).A amostra final de participantes civis (PCs) foi constituída por 121 indivíduos, dos quais 76 eram homens (62,8%) e 45 eram mulheres (37,2%). Relativamente aos PRs, o diagnóstico mais frequente foi a Perturbação Anti-social da Personalidade (57,9%), seguida pela Depressão Major (56,1%). A maioria (53,5%) apresentava três ou mais categorias diagnósticas. Aproximadamente um terço dos PRs (30%) pontuou o nível elevado de risco de suicídio. A probabilidade deste risco aumentava, significativamente, nos portadores de Depressão Major, de um maior nível de psicopatologia e de uma condenação actual. Perto de metade dos PRs (47,4%) possuía duas ou mais condenações prévias e mais de metade estavam envolvidos em crimes contra pessoas (53,5%). A probabilidade de condenações múltiplas foi significativamente superior nos portadores de Perturbação Antisocial da Personalidade e nos reclusos com maior número de necessidades totais. Entre os PRs dos dois sexos, as principais diferenças significativas residiram na maior frequência de consumo de substâncias e no maior número de necessidades de cuidados nãosatisfeitas nos homens versus mulheres. A comparação entre os PRs, antes da detenção, e os PCs mostrou que os primeiros possuíam menor escolaridade, menos medicação psiquiátrica, mas mais emprego e mais consumos de substâncias ilícitas. A Perturbação Anti-social da Personalidade (OR=26,4; IC95%: 10,7-64,9), a Perturbação Pós-stress Traumático (OR=15,0; IC95%: 3,5-65,4), a Dependência/Abuso de Substâncias (OR=8,5; IC95%: 4,2-17,6) a Depressão Major (OR=2,6; IC95%: 1,5-4,4) e o Risco de Suicídio Elevado (OR=2,6; IC95%: 1,4-5,0) foram significativamente mais frequentes nos PRs versus PCs. Relativamente à avaliação de necessidades de cuidados, os PRs mostraram maior número de necessidades não-satisfeitas e maior necessidade de ajuda profissional, em relação aos PCs. Embora diversas necessidades não-satisfeitas possam resultar da condição de recluso, outras, em domínios da saúde física, da segurança do próprio e dos consumos tóxicos, poderão indicar que os PRs recebem um nível de cuidados inferior ao necessário, em comparação com os PCs. Os PRs apresentaram patologia mental, predominantemente não-psicótica e elevado risco de suicídio/auto-agressão, associado a depressão, necessidades de cuidados e uma pena de prisão. Possuíam, numa frequência elevada, características, consistentemente, associadas à reincidência criminal (personalidade anti-social, consumos tóxicos, condenações anteriores), pelo que se justifica um especial acompanhamento deste grupo, no período pré e pós-libertação. A comparação de necessidades de cuidados no contexto civil e prisional indica um maior nível de necessidades e um menor nível de cuidados recebidos pelos PRs, em relação aos PCs. O princípio da equivalência de cuidados poderá estar comprometido nos indivíduos reclusos com perturbação mental. A utilização do CANFOR foi fácil e poderá contribuir para um melhor planeamento, oferta e avaliação de resultados ao nível individual. Os PRs e PCs revelaram características clínicas e de necessidades muito diferentes entre si, pelo que, os reclusos com perturbação mental deverão ser assistidos em serviços de saúde mental preparados para abordar as suas especificidades.---------------ABSTRACT: The prison population is generally made up of individuals who are usually subject to some sort of social exclusion and who show physical and mental problems more frequently than the general population. Various international studies have found higher rates of mental disturbances and suicide within the prison population. The most common mental disturbances found are substance abuse or dependency, depression, psychosis, and anti-social personality disturbance. Such mental disturbances are important factors in suicide, victimization, delinquency recurrence, and the risk of reentry into prison. As a result, prison inmates with mental disturbances are a relevant at risk group. Assessment of needs of care first started in the United Kingdom as a method of care planning, results measuring and finance health care. The method involved the development of certain measuring instruments to be used by patients, caregivers and professionals in order to evaluate needs in various domains (clinical and social). Until the nineties, the assessment of needs of care in a prison context focused mainly on the service’s security needs. However, after the Reed (1992) report on mentally disturbed inmates, a much wider approach was considered, which included evaluation of the inmate’s needs of care. However similar mentally disturbed prison inmates’ needs may appear to those of other psychiatric patients, there are some differences in particular domains, namely, co-morbidity of Axis II, substance abuse and the risk of violence. For this reason, inmates’ mental health care needs are high and very often not met. In order to include these specificities, a forensic version of the Camberwell assessment of need (CAN,) designated CAN – Forensic version (CANFOR) was developed. There is now generalized consensus among international institutions of the duty under the equivalent health care principle to provide inmates with preventative health care and treatment, that are equivalent to the care available to the civil population. This investigation aims to characterize and assess the health care provision of prison inmates admitted to Lisbon’s Psychiatric Prison ward - the Psychiatric Ward of São João de Deus Hospital (HPSJD) - and inmates in the Caxias and Tires Prison Establishments (EP) undertaking outpatient treatment. In order to establish a comparison between prison and civilian patients, a convenience sample was selected from civilian patients being treated in a psychiatric ward in the same geographical area. This sample was paired by gender, age group and diagnosis during a three month period. The study was observational, transversal and comparative. The following measuring instruments were used: a purpose-built questionnaire, Brief Psychiatric Rating Scale 4.0, Mini International Neuropsychiatric Interview 5.0.0, Global Assessment Functioning Scale, CAN-R and CANFOR-R. During the research period (12 months), 149 inmates received care, of whom 35 (23.5%) did not comply with the prerequisite criteria of this study. The final sample of inmates (PRs) (n=114) comprised 79 men (69.3%) and 35 (30.7%) women, of whom 77 (67.5%) were convicted prisoners and 37 (32.5%) were in preventive custody. The final sample for Civilian Participants (PCs) was made up of 121 individuals, of whom 76 (62.8%) were men and 45 (37.2%) were women. The most common diagnosis among the PRs was Anti-Social Personality Disorder (57.9%), followed by Major Depression (56.1%). More than half of the subjects in the sample (53.5%) showed three or more diagnostic categories. Approximately one third (30%) of the PRs showed a high level of suicide risk. The probability of this risk was significantly higher among Major Depression patients, those showing a higher level of psychopathology and those with a current conviction. Almost half of the PRs (47.4%) had been given two or more prior convictions and more than half (53.5%) were involved in crimes against people. The probability of multiple convictions was significantly higher among inmates with Anti-Social Personality Disorder and in those with more total needs. With regard to gender, the main significant difference among the PRs was that men were found to have a higher frequency of substance use and a greater number of unsatisfied caring needs than women. Comparison between the PRs prior to detention and PCs revealed that the former held lower educational qualifications and received less psychiatric medication, but had higher levels of employment and showed greater consumption of illicit substances. In addition Anti-Social Personality Disorder (OR=26.4; IC 95%: 10.7-64.9), Post-Stress Traumatic Disturbance (OR=15.0; IC 95%: 3.5-65.4), Substance Dependency/Abuse (OR=8.5; IC 95%: 4.2-17.6), Major Depression (OR=2.6; IC 95%: 1.5-4.4), and High Suicide Risk (OR=2.6; IC 95%: 1.4-5.0) were significantly more frequent amongst PRs than PCs. The results for needs assessment revealed that the PRs showed higher levels of unmet needs and a greater need for professional help in comparison with the PCs. Although various unmet needs may result from the inmate’s condition, other needs - in particular those regarding physical health, personal security and toxic substance use - suggest that the care given to PRs may be inadequate in comparison with that given to PCs. This implies that the principle of equivalent health care for PRs with mental illnesses may not be upheld. Furthermore, the mental morbidity results of the PRs indicated that they suffer predominantly from non-psychotic and high suicide/self inflicted aggression risk associated with depression, caring needs and a prison sentence. They also often showed characteristics that are consistently associated with criminal recidivism (Anti-social Personality, use of toxic substances, prior convictions). This result justifies that there should be special follow-up for this group in the pre- and after release period. The use of CANFOR proved to be simple and the application delay was acceptable. No difficulties were encountered in the understanding of its categories by its users. As a result, itcould contribute towards better planning, supply and assessment of results at an individual level. Given that the PRs and PCs revealed different clinical and needs characteristics, it is recommended that inmates with mental disturbances should be assisted in mental health services that are adequately prepared to address their specificities.

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