Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Impact of worksite health-promotion programs in hospital admission costs and medical leaves in a sample of brazilian companies

Programas de saúde e bem-estar têm sido adotados por empresas como forma de melhorar a saúde de empregados, e muitos estudos descrevem retornos econômicos positivos sobre os investimentos envolvidos. Entretanto, estudos mais recentes com metodologia melhor têm demonstrado retornos menores. O objetivo deste estudo foi investigar se características de programas de saúde e bem-estar agem como preditores de custos de internação hospitalar (em Reais correntes) e da proporção de funcionários que têm licença médica, entre Abril de 2014 e Maio de 2015, em uma amostra não-aleatória de empresas no Brasil, através de parceria com uma empresa gestora de ‘big data’ para saúde. Um questionário sobre características de programas de saúde no ambiente de trabalho foi respondida por seis grandes empresas brasileiras. Dados retirados destes seis questionários (presença e idade de programa de saúde, suas características – inclusão de atividades de screening, educação sobre saúde, ligação com outros programas da empresa, integração do programa à estrutura da empresa, e ambientes de trabalho voltado para a saúde – e a adoção de incentivos financeiros para aderência de funcionários ao programa), bem como dados individuais de idade, gênero e categoria de plano de saúde de cada empregado , foram usados para construir um banco de dados com mais de 76.000 indivíduos. Através de um modelo de regressão múltipla e seleção ‘stepwise’ de variáveis, a idade do empregado foi positivamente associada e a idade do programa de saúde e a categoria ‘premium’ de plano de saúde do funcionário foram negativamente associadas aos custos de internação hospitalar (como esperado). Inesperadamente, a inclusão de programas de screening e iniciativas de educação de saúde nos programas de saúde e bem-estar nas empresas foram identificados como preditores positivos significativos para custos de admissão hospitalar. Para evitar a inclusão errônea de licenças-maternidade, apenas os dados de licença médica de pacientes do sexo masculino foram analisados (dados disponíveis apenas para duas entre as companhias incluídas, com um total de 18.957 pacientes do sexo masculino). Analisando estes dados através de um teste Z para comparação de proporções, a empresa com programa de saúde que inclui atividades voltadas a cessação de hábitos ruins (como tabagismo e etilismo), controle de diabetes e hipertensão, e que adota incentivos financeiros para a aderência de funcionários ao programa tem menor proporção de empregados com licençca médica no período analisado, quando comparada com a outra empresa que não tem estas características (também conforme esperado). Entretanto, a companhia com menor proporção de funcionários com licença médica também foi aquela que adota programa de screening entre as atividades de seu programa de saúde. Potenciais fontes de ameaça à validade interna e externa destes resultados são discutidas, bem como possíveis explicações para a associação entre programas de screening e educação médica a piores indicadores de saúde nesta amostra de companhias são discutidas. Novos estudos com melhor desenho, com amostras maiores e randômicas são necessários para validar estes resultados e possivelmente melhorar a validade interna e externa destes resultados.

Acesso à justiça enquanto direito fundamental: efetivação pela defensoria pública

The Federal Constitution of 1988 is recognized for its enlargement in the face of large amount of provisions that make it up, among which many are fundamental rights. The fundamental rules set up the foundation of a democratic state, however, are the necessary legal mechanisms to be effective, its exercise is not enough merely to state them, but to offer ways for them to stop being just written standard on paper, and come to be viewed and exercised day-to-day. In this sense, access to justice presents itself in our times, as a cornerstone for a just society dictates. In this light, access to justice can be seen as the most fundamental of rights, which translates as instruments able to safeguard the fundamental rights not only against the action/omission violating the state but also the very particular. Furthermore, access to justice within the legal country, is not right for everyone, despite the willingness of the Citizen Charter in its article 5, paragraph LXXIV, ensuring that the State shall provide full and free legal assistance to those in need. More than half of the population lives in poverty and can´t afford to pay legal fees or court costs as well as a bump in their own ignorance of their rights. The judiciary, in their primary function, is in charge of trying to correct the violation of the rights, intending to effect a true distributive justice, serving as a paradigm for the promotion of substantive equality of human beings, however, is difficult and tortuous access Justice for those without financial resources. In this vein, we present the Public Defender, as keeper of the masses in its institutional role, defending a disadvantage, in the words, as a mechanism for effective access to justice, ensuring therefore fundamental rights. Public Defenders arise at the time or much discussion highlights the priority of actual access to justice, custody, therefore, intimate bond with the pursuit of fundamental rights, in which, that advance the broad range of rights, without whom could defend them or guardianship them

HOPF BIFURCATION FROM LINES of EQUILIBRIA WITHOUT PARAMETERS IN MEMRISTOR OSCILLATORS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Validade e confiabilidade da versão informatizada do inventário Million de estilos de personalidade

Currently, several psychological and non-psychological tests can be found in publishes without standardization on procedures set in different psychological areas, like intelligence, emotional states, attitudes, social skills, vocation, preferences and others. The computerized psychological testing is a extension of traditional testing psychological practices. However, it has own psychometrics qualities, either by its matching in a computerized environment or by the extension that can be developed in it. The current research, developed from a necessity to study process of validity and reliability on a computerized test, drew a methodological structure to provide parallel applications in numerous kinds of operational groups, evaluating the influences of the time and approach in the computerization process. This validity refers to normative values groups, reproducibility in computerized applications process and data processing. Not every psychological test can be computerized. Therefore, our need to find a good test, with quality and plausible properties to transform in computerized application, leaded us to use The Millon Personality Inventory, created by Theodore Millon. This Inventory assesses personality according to 12 bipolarities distributed in 24 factors, distributed in categories motivational styles, cognitive targets and interpersonal relations. This instrument doesn t diagnose pathological features, but test normal and non adaptive aspects in human personality, comparing with Theodore Millon theory of personality. In oder to support this research in a Brazilian context in psychological testing, we discuss the theme, evaluating the advantages and disadvantages of such practices. Also we discuss the current forms in computerization of psychological testing and the main specific criteria in this psychometric specialized area of knowledge. The test was on-line, hosted in the site http://www.planetapsi.com, during the years of 2007 and 2008, which was available a questionnaire to describe social characteristics before test. A report was generated from the data entry of each user. An application of this test was conducted in a linear way through a national coverage in all Brazil regions, getting 1508 applications. Were organized nine groups, reaching 180 applications in test and retest subject, where three periods of time and three forms of retests for studies of on-line tests were separated. Parallel to this, we organized multi-application session offline group, 20 subjects who received tests by email. The subjects of this study were generally distributed by the five Brazilian regions, and were noticed about the test via the Internet. The performance application in traditional and on-line tested groups subsidies us to conclude that on-line application provides significantly consistency in all criteria for validity studied and justifies its use. The on-line test results were related not only among themselves but were similar to those data of tests done on pencil and paper (0,82). The retests results demonstrated correlation, between 0,92 and, 1 while multisessions had a good correlation in these comparisons. Moreover, were assessed the adequacy of operational criteria used, such as security, the performance of users, the environmental characteristics, the organization of the database, operational costs and limitations in this on-line inventory. In all these five items, there were excellent performances, concluding, also, that it s possible a self-applied psychometric test. The results of this work are a guide to question and establish of methodologies studies for computerization psychological testing software in the country

Significado do Trabalho e Escolha Acadêmico-Profissional: um estudo com universitários primeiranistas

Relations between the meaning attributed to work by first year university students and their academic and professional choice were analyzed. The participants were 921 students, 17-52 years old (M = 22; SD = 4.9), enrolled in 16 courses common to two college level institutions of the city of Natal, RN, one public, the other private. A questionnaire was designed for collecting data about the academic-professional choice, with open-ended and multiple choice questions. Work meaning was obtained by means of two questions on centrality and two scales pertaining to the Inventory of Motivation and Work Meaning: value and descriptive attributes. A socio-demographic set of questions ended the questionnaire. Data was entered in a SPSS (Statistical Package for the Social Sciences) database, allowing for the pertinent statistical analyses, such as frequency, t test, chi square, factor analysis, cluster analysis and ANOVA. Results indicated that the decision about academic-professional career was made by the majority of the participants (in first option, N = 921) without the adequate consideration of the socio-professional reality (80.7%) and personal internal resources (98.5%). When considering the second option (N = 654), only the first criterion was taken into account, but only by 12.5% of the sample. The main difficulties faced by students during the choosing process were, then, made apparent in the data. 46.8% of the participants were unsatisfied with the course they had started and were anticipating unpromising perspectives in relation to it. The first year students took work as the second most important aspect of their lives and demonstrated an idealized vision about it. Five patterns of work meaning were identified. In relation to centrality and the value and descriptive attributes, the university students displayed differentiation in the attribution of work meaning according to course and area of knowledge

Design of a Takagi-Sugeno Fuzzy Regulator for a Set of Operation Points

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Custo de bombas centrífugas funcionando como turbinas em microcentrais hidrelétricas

A implantação de microcentrais hidrelétricas é uma das alternativas para suprir com energia comunidades pequenas e isoladas, situadas normalmente na área rural. O aproveitamento de potenciais hidráulicos de pequeno porte é uma alternativa cada vez mais viável devido não só à falta de recursos financeiros para os grandes empreendimentos, mas também pelo imenso potencial de geração em centrais de pequeno porte, que pouco tem sido aproveitado. O objetivo deste trabalho foi de apresentar uma metodologia simples de engenharia para estimar o custo das Bombas Funcionando como Turbinas (BFTs) utilizadas em microcentrais hidrelétricas, que possam ser usadas em estudos preliminares de novos aproveitamentos hidrelétricos, sem uma investigação detalhada dos lugares onde se pretende implantar. Os custos foram obtidos consultando-se diretamente os fabricantes de equipamentos e o mercado da praça de Ponta Grossa - PR. Os resultados mostraram que, para as microcentrais hidrelétricas, sempre que os custos constituírem o aspecto dominante, e para potências até 50 kW, a opção por Bombas Funcionando como Turbinas (BFTs) deve ser considerada em lugar das turbinas hidráulicas.

Modeling and identification of fertility maps using artificial neural networks

The application of agricultural fertilizers using variable rates along the field can be made through fertility maps previously elaborated or through real-time sensors. In most of the cases applies maps previously elaborated. These maps are identified from analyzes done in soil samples collected regularly (a sample for each field cell) or irregularly along the field. At the moment, mathematical interpolation methods such as nearest neighbor, local average, weighted inverse distance, contouring and kriging are used for predicting the variables involved with elaboration of fertility maps. However, some of these methods present deficiencies that can generate different fertility maps for a same data set. Moreover, such methods can generate inprecise maps to be used in precision farming. In this paper, artificial neural networks have been applied for elaboration and identification of precise fertility maps which can reduce the production costs and environmental impacts.

Early healing pattern of autogenous bone grafts with and without e-PTFE membranes: A histomorphometric study in rats

Objective. The aim of this study was to perform quantitative and qualitative analyses of the initial repair pattern of an autogenous bone block graft when covered or not with e-PTFE membranes. Study design. Sixty male Wistar rats received a bone graft plus an e-PTFE membrane (MB) or just the graft (B). A block graft was harvested from the animal's calvarium and was laid and stabilized on the external cortical area near the angle of the mandible. Descriptive histology and histomorphometric analyses were carried out and the data were analyzed statistically by ANOVA and the Tukey test, with the level of significance set at 5%. Results. The results for group B showed that there was bone loss during the healing period (B0 = 1.38, B45 = 1.05, F = 7.91 > F C = 3.02), that is, the initial volume of the graft decreased in time. Bone tissue loss was about 24%. In contrast, the MB group showed bone tissue gain along the observation period (MB0 = 1.54, MB45 = 2.40, F = 7.91 > FC = 3.02), meaning that the total volume of newly formed bone was greater than the original graft area. Bone tissue gain was approximately 55%. MB showed significantly greater bone gain when compared to B (B45 = 1.05, MB45 = 2.40, F = 39.86 > FC = 1.90). These significant differences between B and MB could already be observed after 21 days. Conclusions. The bone block graft underwent resorption at an early healing stage, while additional new bone formation was observed when the bone graft was covered with an e-PTFE membrane. © 2005 Mosby, Inc. All rights reserved.

Setting the preheating process of electronic ballasts for hot-cathode fluorescent lamps, considering the Rh/Rc ratio

This paper presents a new model for the representation of the electrodes filaments of fluorescent lamps, during their preheating, and an analysis capable to guide the design of the preheating process in electronic ballasts. The main improvement obtained with the lamp model is the accurate theoretical reproduction of the behavior of the Rh/Rc ratio during the preheating process. In addition, using the proposed methodology based on the lamp model, it is possible to set a proper preheating process to the electrodes filaments, without the necessity of exhaustive empirical adjustments in the prototype, reducing time and costs involved in the design of ballasts with preheating capabilities. © 2006 IEEE.

Regulation, worker protection and active labour-market policies in Latin America

Includes bibliography

Millennium development goals: progress towards the right to health in Latin america and the Caribbean

Includes bibliography

Climate Change and Development in Latin America and the Caribbean. Overview 2009

Includes bibliography

Contribution of energy services to the Millennium Development Goals and to poverty alleviation in Latin America and the Caribbean: executive summary

Includes bibliography