Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

BlueFriends: measuring, analyzing and preventing social exclusion between elementary school students

Social exclusion is a relatively recent term, whose creation is attributed to René Lenoir(Lenoir, 1974). Its concept covers a remarkably wide range of social and economic problems, and can be triggered for various reasons: mentally and physically handicapped, abused children, delinquents, multi-problem households, asocial people, and other social “misfits” (Silver, 1995, pp. 63; Foucault, 1992). With an increasingly multi-cultural population, cultural and social inequalities rapidly ascend, bringing with them the need for educational restructuring. We are living in an evermore diverse world, and children need to be educated to be receptive to the different types of people around them, especially considering social and cultural aspects. It is with these goals that inclusive education has seen an increased trend in today’s academic environment, reminding us that even though children may be taught under the same roof, discriminatory practices might still happen. There are, however, a number of developed tools to assess the various dimensions of social networks. These are mostly based on questionnaires and interviews, which tend to be fastidious and don’t allow for longitudinal, large scale measurement. This thesis introduces BlueFriends, a Bluetooth-based measurement tool for social inclusion/exclusion on elementary school classes. The main goals behind the development of this tool were a) understanding how exclusion manifests in students’ behaviors, and b) motivating pro-social behaviors on children through the use of a persuasive technology. BlueFriends is a distributed application, comprised by an application running on several smartphones, a web-hosted database and a computer providing a visual representation of the data collected on a TV screen, attempting to influence children behaviors. The application makes use of the Bluetooth device present on each phone to continuously sample the RSSI (Received Signal Strength Indication) from other phones, storing the data locally on each phone. All of the stored data is collected, processed and then inserted into the database at the end of each day. At the beginning of each recess, children are reminded of how their behaviors affect others with the help of a visual display, which consists of interactions between dogs. This display illustrates every child’s best friends, as well as which colleagues they don’t interact with as much. Several tips encouraging social interaction and inclusiveness are displayed, inspiring children to change their behaviors towards the colleagues they spend less time with. This thesis documents the process of designing, deploying and analyzing the results of two field studies. On the first study, we assess how the current developed tools are inferior to our measuring tool by deploying a measurement only study, aimed at perceiving how much information can be obtained by the BlueFriends application and attempting to understand how exclusion manifests itself in the school environment. On the second study, we pile on the previous to try and motivate pro-social behaviors on students, with the use of visual cues and recommendations. Ultimately, we confirm that our measurement tool’s results were satisfying towards measuring and changing children’s behaviors, and conclude with our thoughts on possible future work, suggesting a number of possible extensions and improvements.

Validation of ACB in vitro and in vivo as a biomagnetic method for measuring stomach contraction

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Measuring educational performance and disparities in educational outcomes in an international comparative context

Includes bibliography

Re-conceptualizing the international aid structure: recipient donor interactions and the rudiments of a feedback mechanism

Incluye Bibliografía

Measuring and analyzing color and texture information in anatomical leaf cross sections: An approach using computer vision to aid plant species identification

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

Violence against women in couples: Latin America and the Caribbean. A proposal for measuring its incidence and trends

Includes bibliography

Comparison of electrophoretic and dye-binding methods for measuring albumin concentrations in female turkeys

Albumin concentrations in female Bronze turkeys were compared using agarose gel electrophoresis (AGE) and the bromocresol green (BCG) dye-binding method. The correlation coefficient observed for albumin in the BCG and AGE methods was low, and statistical differences were observed at paired t test (p < 0. 0001). Compared with electrophoresis, the BCG-binding method yielded significantly lower albumin values for female turkeys during laying season. © 2011 Springer-Verlag London Limited.

Measuring income dynamics: the experience of Canada's Survey of Labour and Income Dynamics

Includes bibliography

Nutritional status indicators and instruments for measuring and monitoring poverty and equity

Includes bibliography

Measuring educational performance and disparities in educational outcomes in an international comparative context

Includes bibliography

Report of the International Meeting on Gender Statistics and Indicators for Measuring the Incidence of and Trends in Violence Against Women in Latin America and the Caribbean

The International Meeting on Gender Statistics and Indicators for Measuring the Incidence of and Trends in Violence against Women in Latin America and the Caribbean met from 21 to 23 November 2001 in La Paz, Bolivia. The meeting was attended by statisticians and specialists in gender studies on violence against women from various countries of the region, specialists of the United Nations system and other intergovernmental organizations as well as international cooperation agencies. Once the group work sessions had concluded, the specialists adopted a series of political and technical recommendations addressed to national statistical institutes, national Women's offices, victim services, Women's organizations and international cooperation agencies.