Contracting with repeated moral hazard and private evaluations

A repeated moral hazard setting in which the Principal privately observes the Agent’s output is studied. It is shown that there is no loss from restricting the analysis to contracts in which the Agent is supposed to exert effort every period, receives a constant efficiency wage and no feedback until he is fired. The optimal contract for a finite horizon is characterized, and shown to require burning of resources. These are only burnt after the worst possible realization sequence and the amount is independent of both the length of the horizon and the discount factor (δ). For the infinite horizon case a family of fixed interval review contracts is characterized and shown to achieve first best as δ → 1. The optimal contract when δ << 1 is partially characterized. Incentives are optimally provided with a combination of efficiency wages and the threat of termination, which will exhibit memory over the whole history of realizations. Finally, Tournaments are shown to provide an alternative solution to the problem.

Co-ordination failure, moral hazard and sovereign bankruptcy procedures

We study a model of sovereign debt crisis that combines problems of creditor coordination and debtor moral hazard. Solving the sovereign debtor's incentives leads to excessive 'rollover failure' by creditors when sovereign default occurs. We discuss how the incidence of crises might be reduced by international sovereign bankruptcy procedures and relate this to the current debate on revising international financial architecture. Paper prepared for Bank of England Conference on "The Role of the Official and Private Sectors in Resolving International Financial Crises", London, and for the Latin American Meeting of the Econometric Society, Sao Paolo, Brazil. (Preliminary draft circulated for comments, please do not cite without reference to the authors).

Renegociação de dívidas e moral hazard: uma análise do efeito da política de descontos no pagamento de dívidas de cartões de crédito

O Brasil vem vivenciando um aumento na demanda por cartões de crédito, principalmente nas classes baixas. Entretanto, a população de menor renda e menor qualificação representa maior riscos para a operação. Este fato é evidenciado pelas altas taxas de inadimplência. Exposto isso, empresas se utilizam de estratégias de renegociação de dívida na tentativa de recuperar parte do investimento realizado. Entretanto, poucos foram os estudos acerca da consequência no longo prazo destas estratégias. Utilizando os experimentos realizados por uma empresa de cartão de crédito, cujas campanhas de renegociação variavam mês a mês, este estudo, procurou evidências de que as ofertas de renegociação de dívidas podem afetar a reputação da firma, fazendo com que clientes da rede mesma rede social deste que recebeu a oferta de renegociação também fiquem inadimplentes. Concluímos que o aumento do desconto nas negociações tem um efeito significativo sobre o incentivo do cliente em honrar suas obrigações junto a empresa, ou seja, o aumento de 0,01 p.p. no desconto dado aos clientes aumenta em 0,05 sua probabilidade em atrasar sua fatura no próximo período.

Implied Hazard Rates Analysis Through Brazilian Corporate Debt

No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.

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.

APPLICATION of THE HAZARD ANALYSIS and CRITICAL CONTROL POINT (HACCP) SYSTEM on THE MUSHROOM PROCESSING LINE FOR FRESH CONSUMPTION

The Hazard Analysis and Critical Control Point (HACCP) is a preventive system that intends to guarantee the safety and harmlessness of food. It improves the quality of products as it eliminates possible defects during the process, and saves costs by practically eliminating final product inspection. This work describes the typical hazards encountered on the mushroom processing line for fresh consumption. Throughout the process, only the reception stage of mushrooms has been considered a critical control point (CCP). The main hazards at this stage were: the presence of unauthorised phytosanitary products; larger doses of such products than those permitted; the presence of pathogenic bacteria or thermo-stable enterotoxins. Putting into practice such knowledge would provide any industry that processes mushrooms for fresh consumption with a self-control HACCP-based system for its own productions.

Upper-mantle seismic anisotropy from SKS splitting in the South American stable platform: A test of asthenospheric flow models beneath the lithosphere

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Geothermal investigations in an area of induced seismic activity, northern São Paulo State, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The use of shallow seismic reflection technique in near surface exploration of urban sites: An evaluation in the city of SãO Paulo, Brazil

In order to evaluate the use of shallow seismic technique to delineate geological and geotechnical features up to 40 meters depth in noisy urban areas covered with asphalt pavement, five survey lines were conducted in the metropolitan area of São Paulo City. The data were acquired using a 24-bit, 24-channel seismograph, 30 and 100 Hz geophones and a sledgehammer-plate system as seismic source. Seismic reflection data were recorded using a CMP (common mid point) acquisition method. The processing routine consisted of: prestack band-pass filtering (90-250 Hz); automatic gain control (AGC); muting (digital zeroin) of dead/noisy traces, ground roll, air-wave and refracted-wave; CMP sorting; velocity analyses; normal move-out corrections; residual static corrections; f-k filtering; CMP stacking. The near surface is geologically characterized by unconsolidated fill materials and Quaternary sediments with organic material overlying Tertiary sediments with the water table 2 to 5 m below the surface. The basement is composed of granite and gneiss. Reflections were observed from 40 milliseconds to 65 ms two-way traveltime and were related to the silt clay layer and fine sand layer contact of the Tertiary sediments and to the weathered basement. The CMP seismic-reflection technique has been shown to be useful for mapping the sedimentary layers and the bedrock of the São Paulo sedimentary basin for the purposes of shallow investigations related to engineering problems. In spite of the strong cultural noise observed in these urban areas and problems with planting geophones we verified that, with the proper equipment, field parameters and particularly great care in data collection and processing, we can overcome the adverse field conditions and to image reflections from layers as shallow as 20 meters.

Cross-hole and seismic CPT tests in a tropical soil site

A large portion of Brazil is covered with tropical soils but literature about dynamic parameters of these soils is very limited. SCPT and cross-hole tests were carried out at an experimental research site inland in the state of São Paulo, Brazil. Shear wave velocities (VS) determined based on both tests are presented and compared. A good agreement was observed between both test results and the differences can be associated with soil variability, which was very sensitive to CPT tests. It was also observed that Go/q c ratio determined based on SCPT appears to be an interesting technique to help identify tropical soils. Copyright ASCE 2006.

Mapping hazard risk: A case study of Ubatuba, Brazil

Steep slopes in subtropical zones are always at risk from landslides. The risk greatly increases when there is rapid, unplanned urban growth. This has happened at Ubatuba on the Brazilian coast - tourism-related development has forced local people into narrow valleys with steep slopes. In this article the authors describe how the hazard risk can be mapped, helping the local authorities to control the problem.

Developing a system for down-hole seismic testing together with the CPTU

This paper presents a system for performing down-hole seismic test together with the piezocone test in order to determine the shear wave velocity (Vs) and for calculating the maximum shear modulus (Go); a basic parameter for analyzing the dynamic soil behavior and a reference value of the soil stiffness. The system components are described and tests results for checking the geophone response are also presented, both before and after installation into the probe. The system was used in down-hole tests carried out at three experimental research sites located in the interior of Sao Paulo State, Brazil, where in situ seismic test results are available. The Vs values measured in down-hole tests carried out with this system were consistent with those determined in cross-hole tests and with a commercial seismic piezocone, which enabled to validate the developed system.

The seismic SPT to determine the maximum shear modulus

This paper presents the first results of a system to carry out seismic SPT, which associates the up-hole seismic technique to the currently used SPT test. This hybrid test allows determining the maximum shear modulus (G 0) together with the SPT test. G 0 is the most important dynamic soil parameter and it is calculated based on the shear wave velocity (V S) measurements. The equipment and the method of analysis will be briefly described. The V s values measured using the S-SPT in one experimental research site located inland of Sao Paulo State-Brazil are presented and compared with down-hole and Seismic CPT test data. These preliminary results indicate that the S-SPT was satisfactory and can be used for dynamic site characterization.

CRS seismic data imaging system: a case study for basib reevaluation

Este trabalho apresenta resultados práticos de uma atenção sistemática dada ao processamento e à interpretação sísmica de algumas linhas terrestres do conjunto de dados do gráben do Tacutu (Brasil), sobre os quais foram aplicadas etapas fundamentais do sistema WIT de imageamento do empilhamento CRS (Superfície de Reflexão Comum) vinculado a dados. Como resultado, esperamos estabelecer um fluxograma para a reavaliação sísmica de bacias sedimentares. Fundamentado nos atributos de frente de onda resultantes do empilhamento CRS, um macro-modelo suave de velocidades foi obtido através de inversão tomográfica. Usando este macro-modelo, foi realizado uma migração à profundidade pré- e pós-empilhamento. Além disso, outras técnicas baseadas no empilhamento CRS foram realizadas em paralelo como correção estática residual e migração de abertura-limitada baseada na zona de Fresnel projetada. Uma interpretação geológica sobre as seções empilhadas e migradas foi esboçada. A partir dos detalhes visuais dos painéis é possível interpretar desconformidades, afinamentos, um anticlinal principal falhado com conjuntos de horstes e grábens. Também, uma parte da linha selecionada precisa de processamento mais detalhado para evidenciar melhor qualquer estrutura presente na subsuperfície.

Long-term recovery patterns of arctic tundra after winter seismic exploration

In response to the increasing global demand for energy, oil exploration and development are expanding into frontier areas of the Arctic, where slow-growing tundra vegetation and the underlying permafrost soils are very sensitive to disturbance. The creation of vehicle trails on the tundra from seismic exploration for oil has accelerated in the past decade, and the cumulative impact represents a geographic footprint that covers a greater extent of Alaska’s North Slope tundra than all other direct human impacts combined. Seismic exploration for oil and gas was conducted on the coastal plain of the Arctic National Wildlife Refuge, Alaska, USA, in the winters of 1984 and 1985. This study documents recovery of vegetation and permafrost soils over a two-decade period after vehicle traffic on snow-covered tundra. Paired permanent vegetation plots (disturbed vs. reference) were monitored six times from 1984 to 2002. Data were collected on percent vegetative cover by plant species and on soil and ground ice characteristics. We developed Bayesian hierarchical models, with temporally and spatially autocorrelated errors, to analyze the effects of vegetation type and initial disturbance levels on recovery patterns of the different plant growth forms as well as soil thaw depth. Plant community composition was altered on the trails by species-specific responses to initial disturbance and subsequent changes in substrate. Long-term changes included increased cover of graminoids and decreased cover of evergreen shrubs and mosses. Trails with low levels of initial disturbance usually improved well over time, whereas those with medium to high levels of initial disturbance recovered slowly. Trails on ice-poor, gravel substrates of riparian areas recovered better than those on ice-rich loamy soils of the uplands, even after severe initial damage. Recovery to pre-disturbance communities was not possible where trail subsidence occurred due to thawing of ground ice. Previous studies of disturbance from winter seismic vehicles in the Arctic predicted short-term and mostly aesthetic impacts, but we found that severe impacts to tundra vegetation persisted for two decades after disturbance under some conditions. We recommend management approaches that should be used to prevent persistent tundra damage.