We're Chained: an analysis of systemic risk in finance

This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.

Private equity regulation: what are the consequences of the alternative investment fund managers directive (AIFMD) on private equity managers?

The recent global financial crisis brought significant regulatory changes in the worldwide financial industry. In Europe and in the alternative asset sector specifically, a new regulation by the name of Alternative Investment Fund Managers Directive saw the daylight in 2010. This far-reaching and complex Directive with the main goal of regulating and overseeing alternative investment funds has triggered many discussions and represents an industry game-changer. Thus, this research will focus on the impact and consequences of the Directive on private equity fund managers and the role of regulators. In other words, what are the effects, what does that mean in a quantitative and qualitative sense, and how is it likely to influence the outlook of this asset class? In order to provide the reader with an extensive view on the topic, the paper will first discuss relevant theory and literature, using mix-methods and legal-dogmatic approaches. Further, descriptive case studies, analysis of existing surveys, and interviews with industry experts will supplement the paper in order to understand primary implications of the Directive with the goal of providing useful insights for further private equity regulation research.

Home bias no mercado de capitais brasileiro : um estudo sobre a custódia de investidores em ações

A presente dissertação apresenta uma análise da concentração do portfólio de a-ções de investidores brasileiros nas próprias empresas onde trabalham com o intuito de observar se o Home Bias se aplica à amostra analisada. Nosso estudo foi reali-zado com uma amostra extraída da custódia de 86 clientes de uma corretora de va-lores mobiliários, sendo estes dados reais de mercado. Restringimos a seleção da amostra de forma que metade fosse de clientes que trabalham em empresas de ca-pital aberto e a outra metade não. Foi feita análise cross section de quanto os inves-tidores alocam em ações das empresas para a qual trabalham e verificou-se qual o percentual desta participação em seus portfólios, em comparação a uma amostra de controle de investidores que não trabalham nesta mesma empresa. Além destas a-nálises, separamos a amostra pelo valor total do portfólio e realizamos os mesmos estudos com estes dois grupos diferentes da amostra. Como uma análise de robus-tez, identificamos empresas listadas que não adotam a remuneração com ações como uma sub-amostra do estudo. Como resultado, encontramos evidências de que os funcionários investem significativamente mais (seja em proporção do portfólio ou em valores) em ações das empresas onde trabalham em relação aos demais inves-tidores, evidenciando um viés de familiaridade na tomada de decisão de investimen-tos.

Análise do alongamento das carteiras dos fundos de previdência complementar aberta

O objetivo deste estudo é analisar as durações das carteiras de renda fixa dos fundos previdenciários, que são paradoxalmente curtas em relação aos objetivos de longo prazo inerentes à previdência, e os eventuais efeitos dos incentivos de permanência existentes nos planos coletivos instituídos, como o custeio do instituidor e regras de desligamento – vesting – no alongamento dessas carteiras. Como forma de sobrepujar as dificuldades da observação direta dos prazos de alongamento das carteiras dos fundos analisados, foi proposto um índice de alongamento calcado na Análise de Estilo Baseada nos Retornos desenvolvida por SHARPE (1992) empregando-se as componentes principais dos Índices de Duração Constante da Anbima (IDkA) para a avaliação da sensibilidade dos retornos mensais dos fundos analisados às curvas de juros real e nominal. Os resultados obtidos não mostram evidências de que os fundos que recebem recursos exclusivamente de planos instituídos apresentem duração maior do que daqueles que recebem recursos de planos individuais e coletivos averbados. Por outro lado, os fundos classificados como “Previdência Data Alvo” pela Anbima destacam-se por apresentar índices de alongamento maiores frente à média dos fundos classificados como “Previdência Renda Fixa” ou “Previdência Balanceado” e correlação positiva entre seus índices de alongamento e Ano Alvo do fundo, o que sugere que políticas que trabalhem o conjunto de informação dos agentes, investidores e gestores, são capazes de modificar a alocação dos investimentos. Basta informação para melhorar a alocação.

The effect of guia exame’s ratings on the brazilian fund industry: an analysis of net-worth flows

This paper infers the impact the publication “Guia Exame” (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth subsequently to the event of being rated, according to the methodology applied by the guide to rank the funds. We used five years of fund ratings according to Guia Exame (2000-2004) and analyzed the changes of these funds’ net worth. We also compared the event amongst different categories of funds. The results found confirm the expected effects according to star rankings and asset manager size in all years.

Business Plan, financial and risk analysis from the start-up mathrix

Mathrix is an e-learning math website that will be launched in March 2016. This master thesis offered a unique chance to interact with experienced supervisors in venture capitalism and project investment. It could serve as guidelines for entrepreneurs who intend to raise funds. Starting with the company’s business plan, the thesis focuses on estimating the company’s value with its return on investment using three scenarios and taking into consideration the risks evolved.

Analysis of the economic and financial relations between Latin American and the Caribbean and the BRICS group

This document has been prepared in compliance with Activity III.1.2 of the Work Programme of SELA for the year 2015, entitled “Analysis of the economic and financial relations between Latin America and the Caribbean and the BRICS countries”. The document comprises an introduction, four chapters and a final section with the conclusions and recommendations stemming from the study. Chapter I describes the economic performance of the BRICS countries, their economic relations with Latin America and the Caribbean and the functioning of the development banks of the member countries. Chapter II assesses the financial architecture of Latin America and the Caribbean and explores the needs for financing in the region. Chapter III deals with the regulatory frameworks governing public and private investments in Latin America and the Caribbean and the Bilateral Investment Treaties with the BRICS countries. Finally, Chapter IV describes the main features of the New Development Bank (NDB) and the Contingent Reserve Agreement of the BRICS

Mathematical analysis of maximum power generated by photovoltaic systems and fitting curves for standard test conditions

The rural electrification is characterized by geographical dispersion of the population, low consumption, high investment by consumers and high cost. Moreover, solar radiation constitutes an inexhaustible source of energy and in its conversion into electricity photovoltaic panels are used. In this study, equations were adjusted to field conditions presented by the manufacturer for current and power of small photovoltaic systems. The mathematical analysis was performed on the photovoltaic rural system I- 100 from ISOFOTON, with power 300 Wp, located at the Experimental Farm Lageado of FCA/UNESP. For the development of such equations, the circuitry of photovoltaic cells has been studied to apply iterative numerical methods for the determination of electrical parameters and possible errors in the appropriate equations in the literature to reality. Therefore, a simulation of a photovoltaic panel was proposed through mathematical equations that were adjusted according to the data of local radiation. The results have presented equations that provide real answers to the user and may assist in the design of these systems, once calculated that the maximum power limit ensures a supply of energy generated. This real sizing helps establishing the possible applications of solar energy to the rural producer and informing the real possibilities of generating electricity from the sun.

ECONOMIC ANALYSIS of AMAZON RIVER PRAWN FARMING TO THE MARKETS FOR LIVE BAIT and JUVENILES IN PANTANAL, BRAZIL

The implementation of a hypothetical aquaculture facility with hatchery, nursery and grow-out earthen ponds for raising the Amazon River Prawn Macrobrachium amazonicum in the Pantanal was considered. Eight larviculture cycles per year were projected: four to produce post-larvae for stocking in grow-out bait ponds, and four to stock nursery tanks to sell juveniles as seed to grow-out farms, which produce prawns for human consumption. Annual production would be 146,880 dozen bait prawns and 2,938 thousand juveniles. The assumed sale prices were US$ 1.38 per dozen baits and US$ 15.39 per thousand juveniles. The net present value was US$ 555,890.79, internal rate of return was 48% per year, payback period was 2.4 years and benefit-cost ratio was 3.90. The breakeven price to cover total costs per dozen baits was US$ 0.70 and per thousand juveniles was US$ 17.00, indicating that the selling price assumed for juveniles in base scenario is not realistic. Net return was US$ 84,773.80. The results indicate that this activity would be a lucrative and attractive investment in the Pantanal.

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

Optimisation of environmental gas cleaning routes for solid wastes cogeneration systems. Part II - Analysis of waste incineration combined gas/steam cycle

In the first paper of this paper (Part I), conditions were presented for the gas cleaning technological route for environomic optimisation of a cogeneration system based in a thermal cycle with municipal solid waste incineration. In this second part, an environomic analysis is presented of a cogeneration system comprising a combined cycle composed of a gas cycle burning natural gas with a heat recovery steam generator with no supplementary burning and a steam cycle burning municipal solid wastes (MSW) to which will be added a pure back pressure steam turbine (another one) of pure condensation. This analysis aims to select, concerning some scenarios, the best atmospheric pollutant emission control routes (rc) according to the investment cost minimisation, operation and social damage criteria. In this study, a comparison is also performed with the results obtained in the Case Study presented in Part I. (c) 2007 Elsevier Ltd. All rights reserved.

Electricity, hot water and cold water production from biomass. Energetic and economical analysis of the compact system of cogeneration run with woodgas from a small downdraft gasifier

Wood gasification technologies to convert the biomass into fuel gas stand out. on the other hand, producing electrical energy from stationary engine is widely spread, and its application in rural communities where the electrical network doesn't exist is very required. The recovery of exhaust gases (engine) is a possibility that makes the system attractive when compared with the same components used to obtain individual heat such as electric power. This paper presents an energetic alternative to adapt a fixed bed gasifier with a compact cogeneration system in order to cover electrical and thermal demands in a rural area and showing an energy solution for small social communities using renewable fuels. Therefore, an energetic and economical analysis from a cogeneration system producing electric energy, hot and cold water, using wooden gas as fuel from a small-sized gasifier was calculated. The energy balance that includes the energy efficiency (electric generation as well as hot and cold water system; performance coefficient and the heat exchanger, among other items), was calculated. Considering the annual interest rates and the amortization periods, the costs of production of electrical energy, hot and cold water were calculated, taking into account the investment, the operation and the maintenance cost of the equipments. Crown Copyright (C) 2010 Published by Elsevier Ltd. All rights reserved.

Influence of Different Base Thicknesses on Maxillary Complete Denture Processing: Linear and Angular Graphic Analysis on the Movement of Artificial Teeth

Objective: The purpose of this study was to compare the dental movement that occurs during the processing of maxillary complete dentures with 3 different base thicknesses, using 2 investment methods, and microwave polymerization.Methods: A sample of 42 denture models was randomly divided into 6 groups (n = 7), with base thicknesses of 1.25, 2.50, and 3.75 mm and gypsum or silicone flask investment. Points were demarcated on the distal surface of the second molars and on the back of the gypsum cast at the alveolar ridge level to allow linear and angular measurement using AutoCAD software. The data were subjected to analysis of variance with double factor, Tukey test and Fisher (post hoc).Results: Angular analysis of the varying methods and their interactions generated a statistical difference (P = 0.023) when the magnitudes of molar inclination were compared. Tooth movement was greater for thin-based prostheses, 1.25 mm (-0.234), versus thick 3.75 mm (0.2395), with antagonistic behavior. Prosthesis investment with silicone (0.053) showed greater vertical change compared with the gypsum investment (0.032). There was a difference between the point of analysis, demonstrating that the changes were not symmetric.Conclusions: All groups evaluated showed change in the position of artificial teeth after processing. The complete denture with a thin base (1.25 mm) and silicone investment showed the worst results, whereas intermediate thickness (2.50 mm) was demonstrated to be ideal for the denture base.

The Effect of Coating Patterns with Spinel-Based Investment on the Castability and Porosity of Titanium Cast into Three Phosphate-Bonded Investments

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

The effect of mold temperature on castability of CPTi and Ti-6Al-4V castings into phosphate bonded investment materials

Objective. The aim of this study was to evaluate the castability of CP titanium and Ti-6Al-4V alloy castings into Rematitan Plus investment at three different mold temperatures.Methods. A nylon mesh pattern (20 mm with 64 squares and wire of 0.7 mm in diameter) was used for the castability testing. Initially, an image of the wax pattern was obtained by means of a digital camera and the total extension of filaments (mm) was then measured, using the Leica Qwin image analysis system. The mesh sprued was placed in the Rematitan Plus investment material and the castings were made in a Discovery Plasma machine at three different mold temperatures: 430 degrees C (control group), 480 degrees C or 530'C. Ten castings were made for each temperature. The images of the castings were analyzed (Leica Qwin) and the castability index determined by the number of the completely cast segments as a percentage of the wax pattern. Data were analyzed by two-way ANOVA and Tukey's multiple comparison test (a = 0.05) using materials and temperatures as discriminating variables.Results. The Ti-6Al-4V alloy (60.86%) presented a better castability index than CP Ti (48.44%) (p < 0.000001). For CP Ti, the temperature of 530 degrees C (23.96%) presented better castability than at other temperatures, 480 degrees C (14.66%) and 430 degrees C (12.54%), with no difference between them (p < 0.001). For Ti-6Al-4V alloy, there was a statistically significant difference among the three temperatures: 530 degrees C (28.36%) > 480 degrees C (19.66%) > 430 degrees C (15.97%) (p < 0.002).Significance. Within the limitations of this study, the increase in the mold temperature of the Rematitan Plus investment resulted in a better castability index for both materials, and Ti-6Al-4V presented a better castability index than CP Ti. (c) 2005 Academy of Dental Materials. Published by Elsevier Ltd. All rights reserved.