Probabilidade implícita de default em debêntures do mercado brasileiro

O trabalho busca através de um exercício empírico, extrair as curvas de probabilidade implícita de default em debêntures brasileiras. A construção ocorre em duas etapas. O primeiro desafio é obter as estruturas a termo das debêntures brasileiras. Foi utilizada a revisão proposta por Diebold e Li (2006) do modelo de Nelson Siegel (1987) para construç o das ETTJs. A segunda etapa consiste em extrair a probabilidade de default utilizado a forma reduzida do modelo de Duffie e Singleton (1999). A fração de perda em caso de default foi considerada constante conforme estudo de Xu e Nencioni (2000). A taxa de decaimento também foi mantida constante conforme proposto por Diebold e Li (2006) e Araújo (2012). O exercício foi replicado para três datas distintas durante o ciclo de redução de juros no Brasil. Dentre os resultados desse estudo identificou-se que os agentes do mercado reduziram a probabilidade de default dos emissores durante esse período. A redução nos vértices mais curtos foi mais significativa do que em vértices mais longos.

Spin-Stabilized Spacecrafts: Analytical Attitude Propagation Using Magnetic Torques

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A transmission problem for the Timoshenko system

In this work we study a transmission problem for the model of beams developed by S.P. Timoshenko [10]. We consider the case of mixed material, that is, a part of the beam has friction and the other is purely elastic. We show that for this type of material, the dissipation produced by the frictional part is strong enough to produce exponential decay of the solution, no matter how small is its size. We use the method of energy to prove exponential decay for the solution.

Suppressing Fermi acceleration in two-dimensional driven billiards

We consider a dissipative oval-like shaped billiard with a periodically moving boundary. The dissipation considered is proportional to a power of the velocity V of the particle. The three specific types of power laws used are: (i) F proportional to-V; (ii) F proportional to-V-2 and (iii) F proportional to-V-delta with 1 < delta < 2. In the course of the dynamics of the particle, if a large initial velocity is considered, case (i) shows that the decay of the particle's velocity is a linear function of the number of collisions with the boundary. For case (ii), an exponential decay is observed, and for 1 < delta < 2, an powerlike decay is observed. Scaling laws were used to characterize a phase transition from limited to unlimited energy gain for cases (ii) and (iii). The critical exponents obtained for the phase transition in the case (ii) are the same as those obtained for the dissipative bouncer model. Therefore near this phase transition, these two rather different models belong to the same class of universality. For all types of dissipation, the results obtained allow us to conclude that suppression of the unlimited energy growth is indeed observed.

Dynamics of Tm-Ho energy transfer and deactivation of the F-3(4) low level of thulium in fluorozirconate glasses

The mechanism involved in the Tm3+ (F-3(4))-->Ho3+ (I-5(7)) energy transfer and Tm3+ (H-3(4), H-3(6))-->Tm3+ (F-3(4), F-3(4)) cross relaxation as a function of the donor and acceptor concentrations was investigated in Tm-Ho-codoped fluorozirconate glasses. The experimental transfer rates were determined for the Tm-->Ho energy transfer from the best fit of the acceptor luminescence decay using an expression which takes into account the Inokuti-Hirayama model and localized donor-to-acceptor interaction solution. The original acceptor solution derived from the Inokuti-Hirayama model fits well the acceptor luminescence transient only for low-concentrated systems. The results showed that a fast excitation diffusion that occurs in a very short time (t<exponential decay of donors as an average of the microscopic rate equation solution of each D-*-A pair separated by distance R that contributes in addition to the Inokuti-Hirayama solution. The observation that the experimental transfer rates were always much bigger than the one predicted by the diffusion model, in which the energy transfer process is assisted by excitation migration among donors state, reinforces the existence of a fast excitation diffusion among donor ions before the energy transfer to acceptor already observed in Yb:Er:ZBLAN. The fast excitation diffusion effect was observed to dominate both the Tm-->Tm cross relaxation and Tm-->Ho energy transfer ions from H-3(4) and F-3(4) thulium states, respectively. (C) 2004 American Institute of Physics.

Delineamento ótimos para modelos não-lineares: efeitos fixos e efeitos aleatórios

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Cálculo de funções de Wannier eletrônicas para aplicações em ciência dos materiais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelagem dinâmica espacial aplicada na avaliação das mudanças da cobertura da terra no entorno de dutos utilizando autômatos celulares: estudo de caso duto ORBEL

Pós-graduação em Geociências e Meio Ambiente - IGCE

A transmission problem for the Timoshenko system

In this work we study a transmission problem for the model of beams developed by S.P. Timoshenko [10]. We consider the case of mixed material, that is, a part of the beam has friction and the other is purely elastic. We show that for this type of material, the dissipation produced by the frictional part is strong enough to produce exponential decay of the solution, no matter how small is its size. We use the method of energy to prove exponential decay for the solution.

A theoretical characterization of scaling properties in a bouncing ball system

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estimating the number of whales entering trade using DNA profiling and capture-recapture analysis of market products

Surveys of commercial markets combined with molecular taxonomy (i.e. molecular monitoring) provide a means to detect products from illegal, unregulated and/or unreported (IUU) exploitation, including the sale of fisheries bycatch and wild meat (bushmeat). Capture-recapture analyses of market products using DNA profiling have the potential to estimate the total number of individuals entering the market. However, these analyses are not directly analogous to those of living individuals because a ‘market individual’ does not die suddenly but, instead, remains available for a time in decreasing quantities, rather like the exponential decay of a radioactive isotope. Here we use mitochondrial DNA (mtDNA) sequences and microsatellite genotypes to individually identify products from North Pacific minke whales (Balaenoptera acutorostrata ssp.) purchased in 12 surveys of markets in the Republic of (South) Korea from 1999 to 2003. By applying a novel capture-recapture model with a decay rate parameter to the 205 unique DNA profiles found among 289 products, we estimated that the total number of whales entering trade across the five-year survey period was 827 (SE, 164; CV, 0.20) and that the average ‘half-life’ of products from an individual whale on the market was 1.82 months (SE, 0.24; CV, 0.13). Our estimate of whales in trade (reflecting the true numbers killed) was significantly greater than the officially reported bycatch of 458 whales for this period. This unregulated exploitation has serious implications for the survival of this genetically distinct coastal population. Although our capture-recapture model was developed for specific application to the Korean whale-meat markets, the exponential decay function could be modified to improve the estimates of trade in other wildmeat or fisheries markets or abundance of living populations by noninvasive genotyping.

Liquid crystalline oligofluorenes and their derivatives

Homo-oligofluorenes (OFn), polyfluorenes (PF2/6) and oligofluorenes with one fluorenenone group in the center (OFnK) were synthesized. They were used as model compounds to understand of the structure-property relationships of polyfluorenes and the origin of the green emission in the photoluminescence (after photooxidation of the PFs) and the electroluminescence (EL) spectra. The electronic, electrochemical properties, thermal behavior, supramolecular self-assembly, and photophysical properties of OFn, PF2/6 and OFnK were investigated. Oligofluorenes with 2-ethylhexyl side chain (OF2-OF7) from the dimer up to the heptamer were prepared by a series of stepwise transition metal mediated Suzuki and Yamamoto coupling reactions. Polyfluorene was synthesized by Yamamoto coupling of 2,7-dibromo-9,9-bis(2-ethylhexyl)fluorene. Oligofluorenes with one fluorenone group in the center (OF3K, OF5K, OF7K) were prepared by Suzuki coupling between the monoboronic fluorenyl monomer, dimer, trimer and 2, 7-dibromofluorenone. The electrochemical and electronic properties of homo-oligofluorenes (OFn) were systematically studied by several combined techniques such as cyclic voltammetry, differential pulse voltammetry, UV-vis absorption spectroscopy, steady and time-resolved fluorescence spectroscopy. It was found that the oligofluorenes behave like classical conjugated oligomers, i.e., with the increase of the chain-length, the corresponding oxidation potential, the absorption and emission maximum, ionization potential, electron affinity, band gap and the photoluminescence lifetime displayed a very good linear relation with the reciprocal number of the fluorene units (1/n). The extrapolation of these linear relations to infinite chain length predicted the electrochemical and electronic properties of the corresponding polyfluorenes. The thermal behavior, single-crystal structure and supramolecular packing, alignment properties, and molecular dynamics of the homo-oligofluorenes (OFn) up to the polymer were studied using techniques such as TGA, DSC, WAXS, POM and DS. The OFn from tetramer to heptamer show a smectic liquid crystalline phase with clearly defined isotropization temperature. The oligomers do show a glass transition which exhibits n-1 dependence and allows extrapolation to a hypothetical glass transition of the polymer at around 64 °C. A smectic packing and helix-like conformation for the oligofluorenes from tetramer to heptamer was supported by WAXS experiments, simulation, and single-crystal structure of some oligofluorene derivatives. Oligofluorenes were aligned more easily than the corresponding polymer, and the alignability increased with the molecular length from tetramer to heptamer. The molecular dynamics in a series of oligofluorenes up to the polymer was studied using dielectric spectroscopy. The photophysical properties of OFn and PF2/6 were investigated by the steady-state spectra (UV-vis absorption and fluorescence spectra) and time-resolved fluorescence spectra both in solution and thin film. The time-resolved fluorescence spectra of the oligofluorenes were measured by streak camera and gate detection technique. The lifetime of the oligofluorenes decreased with the extension of the chain-length. No green emission was observed in CW, prompt and delayed fluorescence for oligofluorenes in m-THF and film at RT and 77K. Phosphorescence was observed for oligofluorenes in frozen dilute m-THF solution at 77K and its lifetime increased with length of oligofluorenes. A linear relation was obtained for triplet energy and singlet energy as a function of the reciprocal degree of polymerization, and the singlet-triplet energy gap (S1-T1) was found to decrease with the increase of degree of polymerization. Oligofluorenes with one fluorenone unit at the center were used as model compounds to understand the origin of the low-energy (“green”) emission band in the photoluminescence and electroluminescence spectra of polyfluorenes. Their electrochemical properties were investigated by CV, and the ionization potential (Ip) and electron affinity (Ea) were calculated from the onset of oxidation and reduction of OFnK. The photophysical properties of OFnK were studied in dilute solution and thin film by steady-state spectra and time-resolved fluorescence spectra. A strong green emission accompanied with a weak blue emission were obtained in solution and only green emission was observed on film. The strong green emission of OFnK suggested that rapid energy transfer takes place from higher energy sites (fluorene segments) to lower energy sites (fluorenone unit) prior to the radiative decay of the excited species. The fluorescence spectra of OFnK also showed solvatochromism. Monoexponential decay behaviour was observed by time-resolved fluorescence measurements. In addition, the site-selective excitation and concentration dependence of the fluorescence spectra were investigated. The ratio of green and blue emission band intensities increases with the increase of the concentration. The observed strong concentration dependence of the green emission band in solution suggests that increased interchain interactions among the fluorenone-containing oligofluorene chain enhanced the emission from the fluorenone defects at higher concentration. On the other hand, the mono-exponential decay behaviour and power dependence were not influenced significantly by the concentration. We have ruled out the possibility that the green emission band originates from aggregates or excimer formation. Energy transfer was further investigated using a model system of a polyfluorene doped by OFnK. Förster-type energy transfer took place from PF2/6 to OFnK, and the energy transfer efficiency increased with increasing of the concentration of OFnK. Efficient funneling of excitation energy from the high-energy fluorene segments to the low-energy fluorenone defects results from energy migration by hopping of excitations along a single polymer chain until they are trapped on the fluorenone defects on that chain or transferred onto neighbouring chains by Förster-type interchain energy transfer process. These results imply that the red-shifted emission in polyfluorenes can originate from (usually undesirable) keto groups at the bridging carbon atoms-especially if the samples have been subject to photo- or electro-oxidation or if fluorenone units are present due to an improper purification of the monomers prior to polymerization.

A BAYESIAN SHRINKAGE MODEL FOR INCOMPLETE LONGITUDINAL BINARY DATA WITH APPLICATION TO THE BREAST CANCER PREVENTION TRIAL

We consider inference in randomized studies, in which repeatedly measured outcomes may be informatively missing due to drop out. In this setting, it is well known that full data estimands are not identified unless unverified assumptions are imposed. We assume a non-future dependence model for the drop-out mechanism and posit an exponential tilt model that links non-identifiable and identifiable distributions. This model is indexed by non-identified parameters, which are assumed to have an informative prior distribution, elicited from subject-matter experts. Under this model, full data estimands are shown to be expressed as functionals of the distribution of the observed data. To avoid the curse of dimensionality, we model the distribution of the observed data using a Bayesian shrinkage model. In a simulation study, we compare our approach to a fully parametric and a fully saturated model for the distribution of the observed data. Our methodology is motivated and applied to data from the Breast Cancer Prevention Trial.

The long-term stability of self-esteem: Its time-dependent decay and nonzero asymptote

How stable are individual differences in self-esteem? We examined the time-dependent decay of rank-order stability of self-esteem and tested whether stability asymptotically approaches zero or a nonzero value across long test–retest intervals. Analyses were based on 6 assessments across a 29-year period of a sample of 3,180 individuals aged 14 to 102 years. The results indicated that, as test–retest intervals increased, stability exponentially decayed and asymptotically approached a nonzero value (estimated as .43). The exponential decay function explained a large proportion of variance in observed stability coefficients, provided a better fit than alternative functions, and held across gender and for all age groups from adolescence to old age. Moreover, structural equation modeling of the individual-level data suggested that a perfectly stable trait component underlies stability of self-esteem. The findings suggest that the stability of self-esteem is relatively large, even across very long periods, and that self-esteem is a trait-like characteristic.

Stopping power dependence of nitrogen sputtering yields in copper nitride films under swift-ion irradiation: Exciton model approach

Nitrogen sputtering yields as high as 104 atoms/ion, are obtained by irradiating N-rich-Cu3N films (N concentration: 33 ± 2 at.%) with Cu ions at energies in the range 10?42 MeV. The kinetics of N sputtering as a function of ion fluence is determined at several energies (stopping powers) for films deposited on both, glass and silicon substrates. The kinetic curves show that the amount of nitrogen release strongly increases with rising irradiation fluence up to reaching a saturation level at a low remaining nitrogen fraction (5?10%), in which no further nitrogen reduction is observed. The sputtering rate for nitrogen depletion is found to be independent of the substrate and to linearly increase with electronic stopping power (Se). A stopping power (Sth) threshold of ?3.5 keV/nm for nitrogen depletion has been estimated from extrapolation of the data. Experimental kinetic data have been analyzed within a bulk molecular recombination model. The microscopic mechanisms of the nitrogen depletion process are discussed in terms of a non-radiative exciton decay model. In particular, the estimated threshold is related to a minimum exciton density which is required to achieve efficient sputtering rates.