Modelos de risco de mercado com fat tail : análise empírica de value at risk and expected shortfall para ativos financeiros brasileiros

O objetivo deste trabalho foi mostrar modelagens alternativas à tradicional maneira de se apurar o risco de mercado para ativos financeiros brasileiros. Procurou-se cobrir o máximo possível de fatores de risco existentes no Brasil; para tanto utilizamos as principais proxies para instrumentos de Renda Fixa. Em momentos de volatilidade, o gerenciamento de risco de mercado é bastante criticado por trabalhar dentro de modelagens fundamentadas na distribuição normal. Aqui reside a maior contribuição do VaR e também a maior crítica a ele. Adicionado a isso, temos um mercado caracterizado pela extrema iliquidez no mercado secundário até mesmo em certos tipos de títulos públicos federais. O primeiro passo foi fazer um levantamento da produção acadêmica sobre o tema, seja no Brasil ou no mundo. Para a nossa surpresa, pouco, no nosso país, tem se falado em distribuições estáveis aplicadas ao mercado financeiro, seja em gerenciamento de risco, precificação de opções ou administração de carteiras. Após essa etapa, passamos a seleção das variáveis a serem utilizadas buscando cobrir uma grande parte dos ativos financeiros brasileiros. Assim, deveríamos identificar a presença ou não da condição de normalidade para, aí sim, realizarmos as modelagens das medidas de risco, VaR e ES, para os ativos escolhidos, As condições teóricas e práticas estavam criadas: demanda de mercado (crítica ao método gausiano bastante difundido), ampla cobertura de ativos (apesar do eventual questionamento da liquidez), experiência acadêmica e conhecimento internacional (por meio de detalhado e criterioso estudo da produção sobre o tema nos principais meios). Analisou-se, desta forma, quatro principais abordagens para o cálculo de medidas de risco sendo elas coerentes (ES) ou não (VaR). É importante mencionar que se trata de um trabalho que poderá servir de insumo inicial para trabalhos mais grandiosos, por exemplo, aqueles que incorporarem vários ativos dentro de uma carteira de riscos lineares ou, até mesmo, para ativos que apresentem risco não-direcionais.

Neurose visceral: estudo de um distúrbio urbano

O enfoque fenomenológico de Alonso Fernandes foi a base deste estudo. O autor tenta provar que houve uma evolução qualitativa na forma de descarga da tensão excessiva, um desembocar somático da angústia. Melhor definindo, nos dias de hoje, não há mais lugar para a histeria demonstrativa, teatral, necessitando palco para bem resultar. A vida atual, impessoal, ativa e materialista tornou obsoleto o mecanismo transformador da angústia reprimida em símbolo corporal. O endeusamento do jovem, a falta de espaço, o nível de aspiração muito elevado e o estresse em alta doses torna compreensível que seja sobre este mesmo corpo que ele lance todo o excesso de tensão e angústia que é ensejado pela vida urbana. O presente estudo indaga a existência de uma patologia especifica para os indivíduos que reagem desta forma. Para tal verificação usou-se 3 grupos de 30 indivíduos subdivididos em: doentes de "fundo nervoso", doentes "orgânicos" e sadios. Dois tipos de instrumento foram aplicados com o objetivo de estudar o perfil de personalidade da amostra: O Inventário de Personalidade MHPI e um questionário que abrangesse o tipo de vida, costumes, hábitos, renda, escolaridade, etc do grupo em estudo. A hipótese básica é que não há uma patologia mental específica nos pacientes com doenças de "fundo nervoso" e que fatores tais como a exiguidade do espaço vital, o nível de aspiração, a preocupação com a autoimagem e o nível de estresse influenciam predominantemente a personalidade dos sujeitos pertencentes ao grupo das doenças psicossomáticas. Comprovou-se com boa margem de certeza a ideia de que a fuga para o corpo não é um quadro patológico delimitado mas sim um mecanismo de defesa, uma ajuda ao indivíduo obrigado a sobreviver as pressões de nossos dias. Além disto, a existência de respostas relativas a um nível de aspiração exagerado no grupo de doentes de "fundo nervoso" comprova ser tal variável uma das grandes vertentes propiciadoras da escolha da via somática como forma de descarga da angústia.

Density of sand flies (diptera: psychodidae) in domestic and wild animal shelters in an area of visceral leishmaniasis in the state of Rio Grande do Norte, Brazil

XIMENES, Maria de Fátima Freire de Melo; SOUZA, Maria de Fátima de; CASTELLON, Eloy Guilhermo. Density of sand flies (Diptera: Psychodidae) in domestic and wild animal shelters in an area of visceral Leishmaniasis in the State of Rio Grande do Norte, Brazil. Memorias do Instituto Oswaldo Cruz, Rio de Janeiro, v.94, n.4, p.427-432, jul./ago. 1999. Disponivel em: Acesso em: 4 out. 2010.

Influência de fatores ambientais na Leishmaniose visceral no Rio Grande do Norte

The Visceral Leishmaniose (LV) disease is endemic in some places in Brazil. It is caused by the protozoa Leishmania chagasi, being transmitted for vector, the phlebotomies, Lutzomyia longipalpis. In virtue of the expansion of the illness in Rio Grande do Norte, it is necessary to evaluate the determinative ambient factors in the proliferation of the vector for better control of the illness. The variable rainfall and the social variables had been analyzed using space regression with two models and the ambient variable of ZANE and the variables analyzed in 205 houses in the cities of Natal, Extremoz, Nísia Floresta, São Gonçalo do Amarante, São Jose do Mipibu, Parnamirim and Macaíba the Person and ML Chi-square were used . The analyses had shown that high rainfall, plain relief, the forest, the humid tropical climate the activities of production culture of sugar cane and fruit culture and the presence of bovines increase the risk of the LV. The work showed that it has space aggregation and that ambient factors influence in the LV in the State

Preferência alimentar e identificação das principais fontes de repasto sanguíneo de fêmeas Lutzomyia (Diptera: Psychodidae) em áreas endêmicas para leishmaniose visceral na grande Natal

Leishmaniasis are endemic diseases wild spread in the New and Old World, caused by the flagelated protozoan Leishmania. In the New World, the distribution of different forms of leishmaniasis is mostly in tropical regions. In the State of Rio Grande do Norte, Northeast Brazil, 85% of the captured sand flies fauna is Lutzomyia longipalpis. The distribution of the sand fly vector in the state overlaps with the disease distribution, where the presence of sand flies is associated with presence of animals shelters. The aim of this study was to analyse the blood meal preference of sand flies vector from the genus Lutzomyia spp. in laboratory conditions, to verify the vector life cicle at different temperatures sets and to identify the main blood meal source in endemic areas for visceral leishmaniasis (VL) at peri-urban regions of Natal. Sand flies samples were collected from the municipalities of São Gonçalo do Amarante and Nísia Floresta where female sand flies were grouped for the colony maintenance in the laboratory and for the analysis of the preferred source of sand fly blood meal in natural environment. The prevalence of blood meal preference and oviposition for the females sand flies was 97% for Cavia porcellus with oviposition of 19 eggs/female; 97% for Eqqus caballus with 19 eggs/female; 98% for human blood with 14 eggs/female; 71.3% for Didelphis albiventris with 8.4 eggs/female; 73% for Gallus gallus with 14 eggs/female; 86% for Canis familiaris with 10.3 eggs/female; 81.4% for Galea spixii with 26 eggs/female; 36% for Callithrix jachus with 15 eggs/female; 42.8% for Monodelphis domestica with 0% of oviposition. Female sand flies did not take a blood meal from Felis catus. Sand flies life cycle ranged from 32-40 days, with 21-50 oviposition rates approximately. This study also showed that at 32°C the life cycle had 31 days, at 28° C it had 50 days and at 22°C it increased to 79 days. Adjusting the temperature to 35°C the eggs did not hatch, thus blocking the life cycle. A total of 1540 sand flies were captured, among them, 1.310 were male and 230 were female. Whereas 86% of the sand flies captured were Lu. longipalpis as compared to 10.5% for Lu. evandroi and, 3.2% for L. lenti and 0.3% for Lu whitmani. The ratio between female and male sandfly was approximately 6 males to 1 female. In Nísia Floresta, 50.7% of the collected females took their blood meal from armadillo, 12.8% from human. Among the female sand flies captured in São Gonçalo do Amarante, 80 of them were tested for the Leishmania KDNA infectivity where 5% of them were infected with Leishmania chagasi. Female Lutzomyia spp. showed to have an opportunistic blood meal characteristic. The behavioral parameters seem to have a higher influence in the oviposition when compared to the level of total proteins detected in the host s bloodstream. A higher Lu. longipalpis life cycle viability was observed at 28°C. The increase of temperature dropped the life cycle time, which means that the life cycle is modified by temperature range, source of blood meal and humidity. Lu longipalpis was the most specie found in the inner and peridomiciliar environment. In Nísia Floresta, armadillos were the main source of blood meal for Lutzomyia spp. At São Gonçalo do Amarante, humans were the main source of blood meal due to CDC nets placed inside their houses

Perfil de memória e ativação de linfócitos T na leishmaniose visceral

Visceral leishmaniasis (VL) in Brazil is a disease caused by Leishmania infantum chagasi (L.i.chagasi). The clinical evolution post-infection depends on the vertebrate host immune response, which is genetically mediated. This study aimed to evaluate the immune response of individuals living in endemic area for VL in the state of the Rio Grande do Norte, considering individuals with VL under treatment (n = 9), recovered VL <1 year post treatment (n = 10), > 10 years posttreatment (n = 9), uninfected individuals living in endemic areas (n = 7), individuals that lost DTH response (n=6) and asymptomatic individuals for VL (n=9). Peripheral blood cells were evaluated in the presence and absence of soluble Leishmania antigens (SLA) and ex vivo, to determine activation, presence of regulatory cells and memory cells. The Leishmania parasitemia and anti-Leishmania antibodies were determined respectively by qPCR and ELISA. Cells from individuals with VL under treatment showed less cell activation after stimulation with SLA for the markers CD4/CD69, CD8/CD69 and CD8/CD25 compared with VL post treatment treatment (p <0.001). Apparently uninfected individuals have a higher cell activation than symptomatic VL (p <0.001), with the exception of CD8/CD25 marker (p = 0.6662). On the other hand, in the ex-vivo group, significant differences were observed for CD4/CD69, CD8/CD69 and CD8/CD25 between the 4 groups due to increased cell activation present in cells of individuals symptomatic LV (p <0.001). VL cells under treatment, ex vivo, have a lower percentage of memory cells (CD4/CD45RO and CD8/CD45RO) than individuals VL post-treatment or control group (p = <0.01). Likewise, individuals with symptomatic VL have fewer regulatory cells when stimulated by SLA [CD4/CD25 (p = 0.0022) and CD4/FOXP3 (p = 0.0016)] and in the ex-vivo group (p = 0.0017). Finally, DNA isolated from recovered VL contained Leishmania DNA, supporting the hypothesis of non-sterile clinical cure for Leishmania infection. Recovered VL, even 10 years after treatment have high levels of memory cells, which may be due to the presence of stimulation, either by reexposure to Leishmania or non-sterile cure

O papel modulatório do ferro sobre a resposta imune na Leishmaniose Visceral

Iron is an essential element for many cellular functions, including the immune response against intracellular pathogens. In this study, we aimed evaluate the effect of iron on IRP2, IFN-γ, TNF-α, IL-6, IL-10, MIG and IP10 expression in PBMC and assess the effect of the spleen parasite load on the expression of these genes in the spleen of L. infantum naturally infected dogs. Blood sample from 7 DTH+ donor was collected and PBMC was obtained. The cells were cultivated in absence (iron chelator desferroximane, DFO 10 μM supplemented media) or in presence of iron (hemin 6 mM) for 1 h, followed by stimulation with Leishmania infatum antigen for 4 h. 44 dog spleen samples were obtained and parasite load in this organ was determinate by qPCR. Gene expression was analyzed by qPCR and cytokine production quantified by flow cytometry. In antigen stimulated cells, genes involved in immune response are significantly more expressed in presence of iron. T CD4+ and TCD8+ lymphocytes produces IFN-γ, TNF-α and IL-10 possibly in iron dependent pathway. Monocytes antigen stimulated reduced TNF-α, IL-6 and IL-10 production in presence of iron. We found spleen of infected dogs IRP2 expression increases according to parasite load in that organ, while an inverse profile was found for IFN-γ, TNF-α e IL-10 expression. These results suggest that T lymphocytes depends on iron to produce IFN-γ, TNF-α and IL-10, while iron seems to inhibit cytokine production in monocytes. So, we propose an immunoregulatory mechanism carried out by iron during L. infantum infection in humans and dogs

Periurbanização da leishmaniose visceral e emergência da coinfecção HIV/leishimania, no Rio Grande do Norte

Visceral leishmaniasis (VL) has undergone changes in terms of clinical and epidemiological presentation worldwide. Urbanization has been described in different regions of Brazil and the world, as well as in the state of Rio Grande do Norte. These changes have impacted in the clinical outcome of Leishmania infection. A new clinical entity called co-infection of HIV/Leishmania has been described as a consequence of overlapping areas of occurrence of VL and HIV / AIDS in different countries including Brazil. The aim of this study was to define the process of periurbanization of the LV and describe a case series of co-infection HIV / Leishmania in Rio Grande do Norte. A new demographic pattern of VL was detected, with an increase in the number VL adult male subjects. Analysis of spatial distribution of VL in the state of Rio Grande do Norte showed that in the past 20 years VL tends to occur in larger cities and therefore the highest risk disease is greater in the eastern and western regions. The first region included Natal, the state capital, where the process of suburbanization began in 1990, and more recently the city of Mossoró, the second largest state, where periurbanization began in the last five years. In 1990, the emergence of co-infection HIV/Leishmania in the state was observed. Case-control study revealed that the new clinical entity affects adult males, who acquired HIV through sexual intercourse, 40% of those with a preivous history of leishmania infection Relapse and death from LV is increased in HIV positive compared with HIV-negative patients matched by sex and age. This pattern is similar to the observed in Europe, except of the route of transmission, where in Europe occured concomitantly, by parenteral route in drug users. Analysis of spatial distribution identified overlapping new areas of occurrence of HIV / AIDS and LV potentially signaling to increased risk of this new clinical entity as described above. Therefore, epidemiological surveillance for co-infection HIV / Leishmania should be adopted in all areas of risk of VL. At the same time, it is necessary to evaluate drug resistance currently used in the treatment of VL, as well as parenteral transmission of L infantum/ chagasi in areas where drug dependence is a risk factor for HIV acquisition

Cytogenotoxicity biomarkers in fat snook Centropomus parallelus from Cananeia and Sao Vicente estuaries, SP, Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Ultramorphology and histochemistry of fat body cells from last Instar larval of the Pachycondyla (=Neoponera) villosa (Fabricius) (Formicidae: Ponerinae)

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

Growth, fat content and fatty acid profile of South American catfish, surubim (Pseudoplatystoma fasciatum) juveniles fed live, commercial and formulated diets

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Detecção de formas amastigotas em exame parasitológico de esfregaço obtido a partir de suabe conjuntival de cães com leishmaniose visceral

Leishmaniose é uma enfermidade multissistêmica cujas manifestações clínicas são extremamente variáveis. em cães sinais clínicos oftálmicos são relativamente frequentes, ainda que outros sinais sistêmicos não sejam identificados. Atualmente, o diagnóstico da doença baseia-se em métodos parasitológicos, sorológicos e moleculares, mas, até o momento, a identificação de formas amastigotas desse parasito em esfregaços feitos a partir de suabes conjuntivais não é empregada rotineiramente. Valendo-se de cães sorologicamente positivos para leishmaniose, portadores (G1) ou não (G2) de alterações oftálmicas, este estudo avaliou a viabilidade do esfregaço a partir de suabe conjuntival como método de diagnóstico para a enfermidade. O exame suprarreferido foi positivo em 60% dos animais do G1 e 38,1% do G2, no entanto não houve diferença estatisticamente significativa em relação à positividade nos dois grupos (P=0,2167). Os dados apontam para uma tendência de os cães com leishmaniose e com sinais oftálmicos serem positivos ao exame parasitológico de esfregaço a partir de suabe conjuntival, podendo esse método ser útil no diagnóstico parasitológico da leishmaniose canina.

Immune response pattern of the popliteal lymph nodes of dogs with visceral leishmaniasis

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

VISCERAL LEISHMANIASIS IN A CAPTIVE CRAB-EATING FOX CERDOCYON THOUS

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

Estudo comparativo dos métodos diagnósticos para Leishmaniose Visceral em cães oriundos de Ilha Solteira, SP

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