Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Backward elimination model construction for regression and classification using leave-one-out criteria

A fundamental principle in practical nonlinear data modeling is the parsimonious principle of constructing the minimal model that explains the training data well. Leave-one-out (LOO) cross validation is often used to estimate generalization errors by choosing amongst different network architectures (M. Stone, "Cross validatory choice and assessment of statistical predictions", J. R. Stast. Soc., Ser. B, 36, pp. 117-147, 1974). Based upon the minimization of LOO criteria of either the mean squares of LOO errors or the LOO misclassification rate respectively, we present two backward elimination algorithms as model post-processing procedures for regression and classification problems. The proposed backward elimination procedures exploit an orthogonalization procedure to enable the orthogonality between the subspace as spanned by the pruned model and the deleted regressor. Subsequently, it is shown that the LOO criteria used in both algorithms can be calculated via some analytic recursive formula, as derived in this contribution, without actually splitting the estimation data set so as to reduce computational expense. Compared to most other model construction methods, the proposed algorithms are advantageous in several aspects; (i) There are no tuning parameters to be optimized through an extra validation data set; (ii) The procedure is fully automatic without an additional stopping criteria; and (iii) The model structure selection is directly based on model generalization performance. The illustrative examples on regression and classification are used to demonstrate that the proposed algorithms are viable post-processing methods to prune a model to gain extra sparsity and improved generalization.

Determinantes do nível de caixa das empresas: análise de amostra de países da América Latina

Neste estudo são analisados, através de técnicas de dados em painel, os fatores determinantes dos níveis de ativos líquidos de empresas abertas do Brasil, Argentina, Chile, México e Peru no período de 1995 a 2009. O índice utilizado nas modelagens é denominado de ativo líquido (ou simplesmente caixa), o qual inclui os recursos disponíveis em caixa e as aplicações financeiras de curto prazo, divididos pelo total de ativos da firma. É possível identificar uma tendência crescente de acúmulo de ativos líquidos como proporção do total de ativos ao longo dos anos em praticamente todos os países. São encontradas evidências de que empresas com maiores oportunidades de crescimento, maior tamanho (medido pelo total de ativos), maior nível de pagamento de dividendos e maior nível de lucratividade, acumulam mais caixa na maior parte dos países analisados. Da mesma forma, empresas com maiores níveis de investimento em ativo imobilizado, maior geração de caixa, maior volatilidade do fluxo de caixa, maior alavancagem e maior nível de capital de giro, apresentam menor nível de acúmulo de ativos líquidos. São identificadas semelhanças de fatores determinantes de liquidez em relação a estudos empíricos com empresas de países desenvolvidos, bem como diferenças devido a fenômenos particulares de países emergentes, como por exemplo elevadas taxas de juros internas, diferentes graus de acessibilidade ao mercado de crédito internacional e a linhas de crédito de agências de fomento, equity kicking, entre outros. Em teste para a base de dados das maiores firmas do Brasil, é identificada a presença de níveis-alvo de caixa através de modelo auto-regressivo de primeira ordem (AR1). Variáveis presentes em estudos mais recentes com empresas de países desenvolvidos como aquisições, abertura recente de capital e nível de governança corporativa também são testadas para a base de dados do Brasil.

Estudo de um sistema híbrido de destilação solar para polimento de águas produzidas

The oil industry, experiencing a great economic and environmental impact, has increasingly invested in researches aiming a more satisfactory treatment of its largest effluent, i.e., produced water. These are mostly discarded at sea, without reuse and after a basic treatment. Such effluent contains a range of organic compounds with high toxicity and are difficult to remove, such as polycyclic aromatic hydrocarbons, salts, heavy metals, etc.. The main objective of this work was to study the solar distillation of produced water pre-treated to remove salts and other contaminants trough of a hybrid system with a pre-heater. This developed apparatus was called solar system, which consists of a solar heater and a conventional distillation solar still. The first device consisted of a water tank, a solar flat plate collector and a thermal reservoir. The solar distillator is of simple effect, with 1m2 of flat area and 20° of inclination. This dissertation was divided in five steps: measurements in the solar system, i.e. temperatures and distillate flow rate and weather data; modeling and simulation of the system; study of vapor-liquid equilibrium of the synthetic wastewater by the aqueous solution of p-xylene; physical and chemical analyses of samples of the feed, distillate and residue, as well as climatology pertinent variables of Natal-RN. The solar system was tested separately, with the supply water, aqueous NaCl and synthetic oil produced water. Temperature measurements were taken every minute of the thermal reservoir, water tank and distillator (liquid and vapor phases). Data of solar radiation and rainfall were obtained from INPE (National Institute for Space Research). The solar pre-heater demonstrated to be effective for the liquid systems tested. The reservoir fluid had an average temperature of 58°C, which enabled the feed to be pre-heated in the distillator. The temperature profile in the solar distillator showed a similar behavior to daily solar radiation, with temperatures near 70°C. The distillation had an average yield of 2.4 L /day, i.e., an efficiency of 27.2%. Mathematical modeling aided the identification of the most important variables and parameters in the solar system. The study of the vapor-liquid equilibrium from Total Organic Carbon (TOC) analysis indicated heteroazeotropia and the vapor phase resulted more concentrated in p-xylene. The physical-chemical analysis of pH, conductivity, Total Dissolved Solids (TDS), chlorides, cations (including heavy metals) and anions, the effluent distillate showed satisfactory results, which presents a potential for reuse. The climatological study indicates the region of Natal-RN as favorable to the operation of solar systems, but the use of auxiliary heating during periods of higher rainfall and cloud cover is also recommended

Caracterização geomorfológica e modelagem de dados espaciais na plataforma continental rasa do RN nos limites da folha Touros

This work focuses the geomorphological characterization and spatial data modeling in the shallow continental shelf within the Folha Touros limits (SB-25-CV-II), based on bathymetric data analysis and remote sensing products interpretation. The Rio Grande do Norte state is located in northeastern Brazil and the work area is located at the transition region between the eastern and northern portions of their coast. The bathymetric surveys were conduced between march and may 2009, using a 10 meters long vessel and 0.70 meters draught, equipped with global positioning system and echo sounder (dual beam, 200KHz , 14°). The fieldwork resulted in 44 bathymetric profiles espaced 1.5 km and 30 km average length. The bathymetric data amount were 111,200 points and were navigated 1395.7 km within na area about 1,850 km2. The bathymetric data were corrected for the tide level, vessel draught and were subsequently entered into a geographic information system for further processing. Analysis of remote sensing products was carried out using Landsat 7/ETM + band 1, from november 1999. The image was used for visualization and mapping submerged features. The results showed the presence of geomorphological features within the study area. Were observed, from the analysis of local bathymetry and satellite image, seven types of geomorphological features. The channels, with two longitudinals channels (e. g. San Roque and Cioba channels) and other perpendicular to the coast (e. g. Touros, Pititinga and Barretas). Coastal reef formations (Maracajaú, Rio do Fogo and Cioba). Longitudinal waves, described in the literature as longitudinal dunes. The occurrence of a transverse dune field. Another feature observed was the oceanic reefs, an rock alignment parallel to the coast. Were identified four riscas , from north to south: risca do Liso, Gameleira, Zumbi, Pititinga (the latter being described for the first time). Finally, an oceanic terrace was observed in the deepest area of study. Image interpretation corroborated with the in situ results, enabling visualization and description for all features in the region. The results were analysed in an integrating method (using the diferent methodologies applied in this work) and it was essential to describe all features in the area. This method allowed us to evaluate which methods generated better results to describe certain features. From these results was possible to prove the existence of submerged features in the eastern shallow continental shelf of Rio Grande do Norte. In this way, the conclusions was (1) this study contributed to the provision of new information about the area in question, particularly with regard to data collection in situ depths, (2) the method of data collection and interpretation proves to be effective because, through this, it was possible to visualize and interpret the features present in the study area and (3) the interpretation and discussion of results in an integrated method, using different methodologies, can provide better results

Desenvolvimento do protótipo de um atlas escolar interativo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Desenvolvimento de mapa dinâmico para sistema de navegação terrestre

Pós-graduação em Ciências Cartográficas - FCT

Previsão dos custos de produção por intermédio de séries temporais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Informação e segurança pública: modelo de banco de dados para a gestão de informações em Moçambique

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelos conceituais de dados como parte do processo da catalogação: perspectiva de uso dos FRBR no desenvolvimento de catálogos bibliográficos digitais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelo dinâmico bayesiano multivariado para análise espaço-temporal de dados de área

Pós-graduação em Matematica Aplicada e Computacional - FCT

Geotecnologias aplicadas à análise do assoreamento de reservatórios de hidrelétricas em cenário de escassez de dados de séries históricas

Pós-graduação em Engenharia Mecânica - FEG

Enantioselective CE analysis of hepatic ketamine metabolism in different species in vitro

Ketamine, an injectable anesthetic and analgesic consisting of a racemic mixture of S-and R-ketamine, is routinely used in veterinary and human medicine. Nevertheless, metabolism and pharmacokinetics of ketamine have not been characterized sufficiently in most animal species. An enantioselective CE assay for ketamine and its metabolites in microsomal preparations is described. Racemic ketamine was incubated with pooled microsomes from humans, horses and dogs over a 3 h time interval with frequent sample collection. CE data revealed that ketamine is metabolized enantioselectively to norketamine (NK), dehydronorketamine and three hydroxylated NK metabolites in all three species. The metabolic patterns formed differ in production rates of the metabolites and in stereoselectivity of the hydroxylated NK metabolites. In vitro pharmacokinetics of ketamine N-demethylation were established by incubating ten different concentrations of racemic ketamine and the single enantiomers of ketamine for 8 min and data modeling was based on Michaelis-Menten kinetics. These data revealed a reduced intrinsic clearance of the S-enantiomer in the racemic mixture compared with the single S-enantiomer in human microsomes, no difference in equine microsomes and the opposite effect in canine microsomes. The findings indicate species differences with possible relevance for the use of single S-ketamine versus racemic ketamine in the clinic.

Avaliações e testes dos métodos MASW e ReMi por meio do tratamento de dados empíricos e sintéticos em um programa de processamento e inversão desenvolvido em MATLAB e sua implicação em um problema geológico na Bacia de Taubaté

Os métodos de ondas superficiais com ênfase nas ondas Rayleigh foram utilizados como o núcleo desse trabalho de Doutorado. Inicialmente, as ondas Rayleigh foram modeladas permitindo o estudo de sensibilidade de suas curvas de dispersão sob diferentes configurações de parâmetros físicos representando diversos modelos de camadas, em que pôde ser observado parâmetros com maior e menor sensibilidade e também alguns efeitos provocados por baixas razões de Poisson. Além disso, na fase de inversão dos dados a modelagem das ondas Rayleigh foi utilizada para a construção da função objeto, que agregada ao método de mínimos quadrados, a partir do método de Levenberg-Marquardt, permitiu a implementação de um algoritmo de busca local responsável pela inversão de dados das ondas superficiais. Por se tratar de um procedimento de busca local, o algoritmo de inversão foi complementado por uma etapa de pré-inversão com a geração de um modelo inicial para que o procedimento de inversão fosse mais rápido e eficiente. Visando uma eficiência ainda maior do procedimento de inversão, principalmente em modelos de camadas com inversão de velocidades, foi implementado um algoritmo de pós-inversão baseado em um procedimento de tentativa e erro minimizando os valores relativos da raiz quadrada do erro quadrático médio (REQMr) da inversão dos dados. Mais de 50 modelos de camadas foram utilizados para testar a modelagem, a pré-inversão, inversão e pós-inversão dos dados permitindo o ajuste preciso de parâmetros matemáticos e físicos presentes nos diversos scripts implementados em Matlab. Antes de inverter os dados adquiridos em campo, os mesmos precisaram ser tratados na etapa de processamento de dados, cujo objetivo principal é a extração da curva de dispersão originada devido às ondas superficiais. Para isso, foram implementadas, também em Matlab, três metodologias de processamento com abordagens matemáticas distintas. Essas metodologias foram testadas e avaliadas com dados sintéticos e reais em que foi possível constatar as virtudes e deficiências de cada metodologia estudada, bem como as limitações provocadas pela discretização dos dados de campo. Por último, as etapas de processamento, pré-inversão, inversão e pós-inversão dos dados foram unificadas para formar um programa de tratamento de dados de ondas superficiais (Rayleigh). Ele foi utilizado em dados reais originados pelo estudo de um problema geológico na Bacia de Taubaté em que foi possível mapear os contatos geológicos ao longo dos pontos de aquisição sísmica e compará-los a um modelo inicial existente baseado em observações geomorfológicas da área de estudos, mapa geológico da região e informações geológicas globais e locais dos movimentos tectônicos na região. As informações geofísicas associadas às geológicas permitiram a geração de um perfil analítico da região de estudos com duas interpretações geológicas confirmando a suspeita de neotectônica na região em que os contatos geológicos entre os depósitos Terciários e Quaternários foram identificados e se encaixaram no modelo inicial de hemi-graben com mergulho para Sudeste.

Empowering global software development with business intelligence

Context: Global Software Development (GSD) allows companies to take advantage of talent spread across the world. Most research has been focused on the development aspect. However, little if any attention has been paid to the management of GSD projects. Studies report a lack of adequate support for management’s decisions made during software development, further accentuated in GSD since information is scattered throughout multiple factories, stored in different formats and standards. Objective: This paper aims to improve GSD management by proposing a systematic method for adapting Business Intelligence techniques to software development environments. This would enhance the visibility of the development process and enable software managers to make informed decisions regarding how to proceed with GSD projects. Method: A combination of formal goal-modeling frameworks and data modeling techniques is used to elicitate the most relevant aspects to be measured by managers in GSD. The process is described in detail and applied to a real case study throughout the paper. A discussion regarding the generalisability of the method is presented afterwards. Results: The application of the approach generates an adapted BI framework tailored to software development according to the requirements posed by GSD managers. The resulting framework is capable of presenting previously inaccessible data through common and specific views and enabling data navigation according to the organization of software factories and projects in GSD. Conclusions: We can conclude that the proposed systematic approach allows us to successfully adapt Business Intelligence techniques to enhance GSD management beyond the information provided by traditional tools. The resulting framework is able to integrate and present the information in a single place, thereby enabling easy comparisons across multiple projects and factories and providing support for informed decisions in GSD management.