Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

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.

Valuing emerging markets companies : new approaches to determine the effective exposure to country risk

The aim of this paper is to propose new methods to measure the effective exposure to country risk of emerging-market companies. Starting from Damodaran (2003), we propose seven new approaches and a revised CAPM for emerging markets companies. The “Prospective Lambda” represents the effective exposure according to analysts’ estimates of growth. The “Relative Lambda” relies on the firm value estimated through a relative valuation. The “Retrospective Lambda” represents the ex-post effective exposure to country risk. The “Company Effective Risk Premium” is a generalization of the Retrospective Lambda, and expresses the premium effectively requested by investors to invest in that specific company in the past year. “The Actual Lambda” and the “Company Actual Risk Premium” represent, respectively, the actual exposure to country risk of a company and the actual premium requested by investors to invest in that specific company. The “Industry Lambda” reflects the median exposure to country risk of the industry in which the company belongs. We tested our new measures of exposure to country risk on the Latin American emerging markets companies according to the classification of the MSCI Emerging Markets Latin America Index. The results confirm that the new approaches can be effectively applied by financial analysts to stable-growth companies that operate in emerging markets and to mature markets companies that operate in emerging markets, providing with a more reliable estimate of both the premium effectively requested by investors in the past and the actual premium. Applying the new approaches, the cost of equity reflects the effective exposure of a company to country risk without being over- or underestimated, as is the case with other existing approaches.

Modifiable risk factors for overweight and obesity in children and adolescents from São Paulo, Brazil

Background: Brazil is currently experiencing a nutrition transition: the displacement of traditional diets with foods high in saturated fat, sodium, and cholesterol and an increase in sedentary lifestyles. Despite these trends, our understanding of child obesity in Brazil is limited. Thus, the aims of this study were (1) to investigate the current prevalence of overweight and obesity in a large sample of children and adolescents living in São Paulo, Brazil, and (2) to identify the lifestyle behaviors associated with an increased risk of obesity in young Brazilians.Methods: A total of 3,397 children and adolescents (1,596 male) aged 7-18 years were randomly selected from 22 schools in São Paulo, Brazil. Participants were classified as normal weight, overweight, or obese based on international age-and sex-specific body mass index thresholds. Selected sociodemographic, physical activity, and nutrition behaviors were assessed via questionnaire.Results: Overall, 19.4% of boys and 16.1% of girls were overweight while 8.9% and 4.3% were obese. Two-way analysis of variance revealed that the prevalence of overweight and obesity was significantly higher in boys and in younger children when compared to girls and older children, respectively (P < 0.05 for both). Logistic regression analysis revealed that overweight was associated with more computer usage, parental encouragement to be active, and light soft drink consumption after controlling for differences in sex, age, and parental education (P < 0.05 for all). Conversely, overweight was associated with less active transport to school, eating before sleep, and consumption of breakfast, full-sugar soft drinks, fried food and confectionery (P < 0.05 for all).Conclusions: Our results show that obesity in São Paulo children and adolescents has reached a level equivalent to that seen in many developed countries. We have also identified three key modifiable factors related to obesity that may be appropriate targets for future intervention in Brazilian youth: transport mode to school, computer usage, and breakfast consumption.

Quality of life and its association with cardiovascular risk factors in a community health care program population

OBJECTIVE: To evaluate quality of life in a population that attended a specific community event on health care education, and to investigate the association of their quality of life with the presence of cardiovascular risk factors INTRODUCTION: Interest in health-related quality of life is growing worldwide as a consequence of increasing rates of chronic disease. However, little is known about the association between quality of life and cardiovascular risk factors. METHODS: This study included 332 individuals. Demographics, blood pressure, body mass index, and casual glycemia were evaluated. The brief version of the World Health Organization Quality of Life questionnaire on quality of life was given to them. The medians of the scores obtained for the physical, psychological, emotional, and environmental domains were used as cutoffs to define higher and lower scores. A multinomial logistic regression model was used to define the parameters associated with lower scores. RESULTS: Diabetes mellitus, dyslipidemia, and obesity were associated with lower scores in the physical domain. Dyslipidemia was also associeted with lower scores in the psychological domain. Male gender and regular physical activity had protective effects on quality of life. Aging was inversely associated with decreased quality of life in the environmental domain. CONCLUSION: The presence of cardiovascular risk factors is related to a decreased quality of life. Conversely, male gender and regular physical activity had protective effects on quality of life. These findings suggest that exercising should be further promoted by health-related public programs, with a special focus on women.

Risk factors for hidradenitis suppurativa: a pilot study

A hidradenite supurativa é uma doença inflamatória crônica debilitante de etiologia parcialmente compreendida. Realizamos um estudo piloto tipo caso-controle pareado por sexo e idade com outros pacientes dermatológicos para analisar prováveis fatores de risco associados a esta doença. Incluímos 15 casos e 45 controles, sendo 67% mulheres. Análise bivariada e multivariada por regressão logística identificou associação significativa com tabagismo, índice de massa corporal mais elevado e história familiar. O uso de contraceptivos hormonais foi menos frequente nas portadoras de hidradenite.

Venous ulcer: clinical characteristics and risk factors

BackgroundLower limb venous ulceration ranks among the 10 most common medical problems in Western countries and has significant socioeconomic impact. The aim of this study was to identify the risk factors for unhealed, recurrent, and large ulcers and to characterize patients with active or recently healed venous ulcers.MethodsWe identified 97 patients and assessed 103 ulcerated limbs in 90 patients. All patients underwent clinical examination, arterial and venous system evaluation, ankle-brachial index determination, and ultrasound of the affected limb. Clinical characteristics included age, gender, race, ulcer duration, time since first episode, history of recurrence, localization of ulcer, ulcer area, eczema, ochre dermatitis, lipodermatosclerosis, pain, body mass index, and medical history data. Risk factors were identified by univariate analysis and estimated odds ratios.ResultsWe assessed 90 patients (103 limbs) with active or healed venous leg ulcers, of whom 84.4% were Caucasian and 68.9% were female. Mean age was 56.0 +/- 13.3 years. Ulcers had remained unhealed for < 1 year in 40.7%. Lipodermatosclerosis, lower limb hyperpigmentation, edema, and eczema were seen in 96.7%, 95.6%, 94.4%, and 51.1% of patients, respectively. Pain was a frequent symptom in 74.4%. Body mass index was assessed in 85 patients: 30.6% were slightly, 36.5% moderately, and 7% severely obese. Patient age > 60 years (odds ratio [OR] 4.0), extensive lipodermatosclerosis (OR 8.7), and previous history of ulceration (OR 19.9) were risk factors for unhealed ulcers. Time since first ulcer episode >= 2 years (OR 29.2) and incompetence of venous systems (OR 1.6) were risk factors for recurrence.ConclusionsLongstanding and large ulcers and recurrences are the main problems encountered by venous ulcer patients. Severe lipodermatosclerosis, previous ulcer history, and time since first ulcer episode >= 2 years are significant risk factors.

Associations between healthy eating patterns and indicators of metabolic risk in postmenopausal women

Background: Since human diets contain many components that may work synergistically to prevent or promote disease, assessing diet quality may be informative. The purpose of this study was to investigate the association between quality diet, by using Healthy Eating Index (HEI), and metabolic risk indicators in postmenopausal women.Methods: This cross-sectional study included a total of 173 Brazilian women, aged 45-75 years, seeking healthcare at a public outpatient center. Food consumption assessed by 24 h-recall food inquiry was used to calculate HEI scores: >80 implied diet good, 80-51 diet needed improvement, and <51 diet poor. Anthropometric data included: body mass index (BMI = weight/height(2)), waist-circumference (WC), body fat (%BF) and lean mass (%LM). Data on total cholesterol (TC), high density lipoprotein cholesterol (HDLC), low density lipoprotein cholesterol (LDLC), and triglycerides (TG) were also collected. Fisher's Exact test, and logistic regression method (to determine odds ratio, OR) were used in the statistical analysis.Results: Overweight and obesity were observed in 75.7% of the participants. Excessive %BF (> 35%) was observed in 56.1%, while %LM was reduced (<70%) in 78.1%. WC was elevated (= 88 cm) in 72.3%. Based on HEI values, diet quality was good in 3% (5/173), needed improvement in 48.5% (84/173), and was poor in 48.5% (84/173) of the cases. In this group, 75% of women had high intakes of lipids (> 35%), predominantly saturated and monounsaturated fat. on average, plasma TC, LDLC, and TG levels were higher than recommended in 57.2%, 79.2% and 45.1% of the women, respectively, while HDLC was low in 50.8%. There was association between HEI scores and the %BF that it was higher among women with HEI score < 80 (p = 0.021). There were not observed significant risk associations between HEI and lipid profile.Conclusion: Among the Brazilian postmenopausal women attending a public outpatient clinic, diet was considered to need improvement or to be of poor quality, attributed to high saturated fat ingestion, which probably caused a negative impact on metabolic risk indicators, namely body composition.

Association between anthropometric indicators of body fat and metabolic risk markers in post-menopausal women

Objective. to evaluate anthropometric indicators of body fat and their association with metabolic risk markers in postmenopausal women.Methods. A cross-sectional study with 80 Brazilian women (40-70 years) was carried out. Body mass index (BMI = weight/height(2)), waist circumference (WC) and waist-to-hip ratio (WHR) were obtained for anthropometric evaluation. Trunk fat mass (TFM) was measured by dual-energy X-ray absorptiometry. The following metabolic variables were evaluated: total cholesterol (TC), HDL, LDL, triglycerides (TG), as well as glycemia and insulin to determine insulin resistance (HOMA-IR).Results. Overweight and obesity were observed in 81% of the women. Values of WC >88 cm were observed in 68.5% of the women. on average, TC, LDL and TG levels were above normal levels in 60, 50 and 42.5% of the women, respectively; and HDL was normal in 82.5%. IR was observed in 37.5% of the women. Positive correlations were found between anthropometric indicators and TFM (P < 0.05). WC was most correlated with TFM (r = 0.92), followed by BMI (r = 0.88) and by WHR (r = 0.48; P < 0.05). All anthropometric indicators and TFM showed significant negative correlations with HDL and significant positive correlations with HOMA-IR (P < 0.05). Only WHR was significantly associated with dysglycemia (R(2) = 12%), hypertriglyceridemia (R(2) = 17%) and decreased HDL (R(2) = 27%). WC was significantly associated with HOMA-IR (R(2) = 34%).Conclusion. WC and WHR are anthropometric measures that showed strong correlation with TFM and with metabolic risk markers in postmenopausal women.

Assessment of risk factors for low bone mineral density in Brazilian postmenopausal women

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

The impact of prior preeclampsia on the risk of superimposed preeclampsia and other adverse pregnancy outcomes in patients with chronic hypertension

OBJECTIVE: We sought to compare the rates of superimposed preeclampsia and adverse outcomes in women with chronic hypertension with or without prior preeclampsia.STUDY DESIGN: We conducted secondary analysis of 369 women with chronic hypertension (104 with prior preeclampsia) enrolled at 12-19 weeks as part of a multisite trial of antioxidants to prevent preeclampsia (no reduction was found). Outcome measures were rates of superimposed preeclampsia and other adverse perinatal outcomes.RESULTS: Prepregnancy body mass index, blood pressure, and smoking status at enrollment were similar between groups. The rates of superimposed preeclampsia (17.3% vs 17.7%), abruptio placentae (1.0% vs 3.1%), perinatal death (6.7% vs 8.7%), and small for gestational age (18.4% vs 14.3%) were similar between groups, but preterm delivery <37 weeks was higher in the prior preeclampsia group (36.9% vs 27.1%; adjusted risk ratio, 1.46; 95% confidence interval, 1.05-2.03; P = .032).CONCLUSION: In women with chronic hypertension, a history of preeclampsia does not increase the rate of superimposed preeclampsia, but is associated with an increased rate of delivery at <37 weeks.

Mild gestational hyperglycaemia as a risk factor for metabolic syndrome in pregnancy and adverse perinatal outcomes

Objective The aims of this study were to evaluate the prevalence of metabolic syndrome (MS) in a cohort of pregnant women with a wide range of glucose tolerance, pre-pregnancy risk factors for MS during pregnancy and the effects of MS in the occurrence of adverse perinatal outcomes.Research Design and Methods One hundred and thirty six women with positive screening for gestational diabetes (GDM) were classified by two diagnostic methods: glycaemic profile and 100 g oral glucose tolerance test (OGTT) as normoglycaemic, mild gestational hyperglycaemic, GDM, and overt GDM. Markers of insulin resistance were measured between 24-28 and 36th week of gestation, and 6 weeks after delivery.Results The prevalence of MS was 0; 20.0; 23.5 and 36.4% in normoglycaemic, mild hyperglycaemic, GDM and overt GDM groups, respectively. Previous history of GDM with or without insulin use, body mass index (BMI) >= 25, hypertension, family history of diabetes in first-degree relatives, non-Caucasian ethnicity, history of prematurity and polyhydramnios were statistically significant pre-pregnancy predictors for MS in the index pregnancy, that by its turn increased the occurrence of adverse perinatal outcomes (p = 0.01).Conclusions The prevalence of MS increases with the worsening of glucose tolerance and is an independent predictor of adverse perinatal outcomes; impaired glycaemic profile identifies pregnancies with important metabolic abnormalities that are linked to the occurrence of adverse perinatal outcomes even in the presence of a normal OGTT, in patients that are not currently classified as having GDM. Copyright (C) 2008 John Wiley & Sons, Ltd.

Metabolic syndrome and dietary components are associated with coronary artery disease risk score in free-living adults: a cross-sectional study

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The role of salt abuse on risk for hypercalciuria

Background: Elevated sodium excretion in urine resulting from excessive sodium intake can lead to hypercalciuria and contribute to the formation of urinary stones. The aim of this study was to evaluate salt intake in patients with urinary lithiasis and idiopathic hypercalciuria (IH).Methods: Between August 2007 and June 2008, 105 lithiasic patients were distributed into 2 groups: Group 1 (n = 55): patients with IH (urinary calcium excretion > 250 mg in women and 300 mg in men with normal serum calcium); Group 2 (n = 50): normocalciuric patients (NC). Inclusion criteria were: age over 18 years, normal renal function (creatinine clearance >= 60 ml/min), absent proteinuria and negative urinary culture. Pregnant women, patients with intestinal pathologies, chronic diarrhea or using corticoids were excluded. The protocol of metabolic investigation was based on non-consecutive collection of two 24-hour samples for dosages of: calcium, sodium, uric acid, citrate, oxalate, magnesium and urinary volume. Food intake was evaluated by the three-day dietary record quantitative method, and the Body Mass Index (BMI) was calculated and classified according to the World Health Organization (WHO). Sodium intake was evaluated based on 24-hour urinary sodium excretion.Results: The distribution in both groups as regards mean age (42.11 +/- 10.61 vs. 46.14 +/- 11.52), weight (77.14 +/- 16.03 vs. 75.99 +/- 15.80), height (1.64 +/- 0.10 vs. 1.64 +/- plusorminus 0.08) and BMI (28.78 +/- 5.81 vs. 28.07 +/- 5.27) was homogeneous. Urinary excretion of calcium (433.33 +/- 141.92 vs. 188.93 +/- 53.09), sodium (280.08 +/- 100.94 vs. 200.44.93 +/- 65.81), uric acid (880.63 +/- 281.50 vs. 646.74 +/- 182.76) and magnesium (88.78 +/- 37.53 vs. 64.34 +/- 31.84) was significantly higher in the IH group (p < 0.05). There was no statistical difference in calcium intake between the groups, and there was significantly higher salt intake in patients with IH than in NC.Conclusions: This study showed that salt intake was higher in patients with IH as compared to NC.

Prevalence and risk factors for urinary and fecal incontinence in brazilian women

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