Social welfare analysis in a simple financial economy with risk regulation

In the last years, regulating agencies of rnany countries in the world, following recommendations of the Basel Committee, have compelled financiaI institutions to maintain minimum capital requirements to cover market risk. This paper investigates the consequences of such kind of regulation to social welfare and soundness of financiaI institutions through an equilibrium model. We show that the optimum level of regulation for each financiaI institution (the level that maximizes its utility) depends on its appetite for risk and some of them can perform better in a regulated economy. In addition, another important result asserts that under certain market conditions the financiaI fragility of an institution can be greater in a regulated econolny than in an unregulated one

Funding social sector activity in Brazil: a case study analysis of agency risk incidence and mitigation

Empresas e organizações sociais têm um papel cada vez mais importante no mercado brasileiro. Essas organizações - sejam elas com ou sem fins lucrativos –têm como objetivocausar um profundo e positivo impacto social.Ambas enfrentamtambém o mesmo desafio: financiar as suas operações. Recentemente, dois modelos inovadores de financiamento, o fundo de venture capitalVox Capital e o fundo de empréstimo social SITAWI, entraram no mercado brasileiro para solucionar esse desafio. Este estudo analisa ambos os fundos,associando o problema do financiamento de empresas e organizações sociais às teorias tradicionais de negócio. Mais especificamente, por meio de um estudo de caso,é avaliado se o risco de agência (agency risk) explica as práticas e o designcontratual utilizados pelos fundos. A pesquisa é baseada num estudo de Alemany e Scarlata (2010) sobre a estruturação dos negócios de fundos filantrópicos de capital empreendedor (PhVC, na sigla em inglês) na América do Norte e na Europa. Uma definição chave desse estudo é que organizações sem fins lucrativos, ao contrário daquelas com fins lucrativos, estão sujeitas a uma restrição de distribuição de lucros. Embora Alemany e Scarlata (2010) tivessem descobertoque parceria (stewardship), mais do que o problema de agência (agency problem), explica a estrutura dos negócios dos fundos PhVC, as implicações do presente estudo de caso para o Brasil são diferentes. Os resultados sugerem que o problema de agência,mais do que a parceria,descreve adequadamente os contratos analisados de financiamento. Detectou-seque cláusulas contratuais não foram apenas usadas para mitigar o risco de agênciaresultanteda ausência de uma restrição de distribuição de lucros, mas também para reger as estruturas cooperativas com organizações sem fins lucrativos. No caso de SITAWI, a restrição dos destinatários de fundos de distribuir lucros provou-se uma ferramenta efetiva para alinhar os interesses entre os financiadores e os destinatários dos fundos. Apesar daimplicação da presença de parceria, os contratos do fundo social contiveram cláusulas geralmente usadas para reduzir o risco de agência. No caso de Vox Capital, os destinatários dos fundos eram empresas com fins lucrativos, portanto não sujeitas à restrição de distribuição de lucros. O modelo de negócio de Vox Capital é organizado para impedir qualquer incidência potencial do problema de agência. Ambos os fundos, independentemente da estrutura jurídica dos beneficiários destes fundos, evidenciaram o intuito de garantir a aplicação de práticas de negócio utilizadas pelas empresas tradicionais do setor corporativo em vez daquelas utilizadas no setor social.

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.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

ALGORITHM FOR PROBABILISTIC ANALYSIS of DISTRIBUTION SYSTEMS WITH DISTRIBUTED GENERATION

In this paper an efficient algorithm for probabilistic analysis of unbalanced three-phase weakly-meshed distribution systems is presented. This algorithm uses the technique of Two-Point Estimate Method for calculating the probabilistic behavior of the system random variables. Additionally, the deterministic analysis of the state variables is performed by means of a Compensation-Based Radial Load Flow (CBRLF). Such load flow efficiently exploits the topological characteristics of the network. To deal with distributed generation, a strategy to incorporate a simplified model of a generator in the CBRLF is proposed. Thus, depending on the type of control and generator operation conditions, the node with distributed generation can be modeled either as a PV or PQ node. To validate the efficiency of the proposed algorithm, the IEEE 37 bus test system is used. The probabilistic results are compared with those obtained using the Monte Carlo method.

A probabilistic model for elastic-plastic fracture analysis of plane and axisymmetric structures

This work presents a methodology for elastic-plastic fracture reliability analysis of plane and axisymmetric structures. The structural reliability analysis is accomplished by means of the FORM analytical method. The virtual crack extension technique based on a direct minimization of potencial energy is utililized for the calculation of the energy release rate. Results are presented to illustrate the performance of the adopted methodology.

A Meta-Analysis of Predation Risk Effects on Pollinator Behaviour

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Prevalence of trachoma in a population of the upper Rio Negro basin and risk factors for active disease

Purpose: To determine the prevalence of trachoma in Sao Gabriel da Cachoeira (SGC), the only urban community of the upper Rio Negro Basin of the Amazon state in Brazil, near the Colombian border, and to investigate the risk factors associated with the active forms of the disease. Methods: A total of 1702 people (440 children up to 9 years and 1069 adults aged 15 years and above) were examined. The sample was selected from a probabilistic household sampling procedure based on census data and a previous study of trachoma prevalence in Sao Gabriel da Cachoeira. A two-stage probabilistic household cluster sample was drawn. Household units were randomly selected within each cluster. A variety of socioeconomic and hygiene variables were studied in order to determine the risk factors for active trachoma in a household. Results: The total prevalence of trachoma was 8.9%. Prevalence of active trachoma (TF and/or TI) in children aged 1-9 years was 11.1% and trachomatous trichiasis in adults aged 15 years and above was 0.19%. Trachomatous scarring reached a peak of 22.4% for subjects between 50 to 60 years of age. Corneal opacity occurred in subjects aged 50 years and older with a prevalence of 2.0%. No sex effect was found on the overall prevalence of trachoma in SGC. Risk factors associated with active trachoma were mainly related to poor socioeconomic indicators. Conclusions: Despite the ubiquitous presence of water, the analysis of the risk factors associated with the active forms of the disease supports the idea that a low personal standard of hygiene and not water availability per se, is the key factor associated with trachoma. Copyright © 2008 Informa Healthcare USA, Inc.

Probabilistic analysis of the distributed power generation in weakly meshed distribution systems

This paper presents an approach for probabilistic analysis of unbalanced three-phase weakly meshed distribution systems considering uncertainty in load demand. In order to achieve high computational efficiency this approach uses both an efficient method for probabilistic analysis and a radial power flow. The probabilistic approach used is the well-known Two-Point Estimate Method. Meanwhile, the compensation-based radial power flow is used in order to extract benefits from the topological characteristics of the distribution systems. The generation model proposed allows modeling either PQ or PV bus on the connection point between the network and the distributed generator. In addition allows control of the generator operating conditions, such as the field current and the power delivery at terminals. Results on test with IEEE 37 bus system is given to illustrate the operation and effectiveness of the proposed approach. A Monte Carlo Simulations method is used to validate the results. © 2011 IEEE.

Analysis of the risk factors related to the immune humoral anti-Anaplasma marginale in dairy cattle

Anaplasma marginale is the most prevalent pathogen of cattle transmitted by ticks in the world. This study aimed to evaluate the risk factors for anaplasmosis in dairy cattle. Fifty dairy cattle from the herd of Empresa de Pesquisa Agropecuaria do Estado do Rio de Janeiro were selected by proportional stratified sampling. The risk factors evaluated were: physiological state, race pattern, number of lactations, milk production, infestation by Rhipicephalus microplus and animal density. Antibody activity against A. marginale was determined using the indirect enzyme-linked immunosorbent assay. The percentual values of seroprevalence for A. marginale were submitted to X2 test, and the level of minimum significance, to keep a factor in the model of logistic regression, was fixated in 5%. It was observed that pregnancy and lactation influenced significantly (p<0.05) in the seropositivity of the animals. Bos indicus animals had 5.21 times more chances of being seropositive than B. taurus animals. Primiparous female had 88% more chances of being seropositive than pluriparous female. Animals with high milk production were 63% more positive than low production animals. When infested by ticks the animals had 39% more chance of being seropositive to A. marginale. Bos indicus animals presented 5.21 times more chance of being seropositive than B. taurus animals. Primiparous females presented 88% more chance of being seropositive than the pluriparous ones. High milk production animals were 63% more positive than the low production ones. When infested by ticks the animals had 39% more chance of being seropositive to A. marginale. High density grazing provided for the animals 3.2 times more chances of being seropositive than low density ones. The herd was classified as erratic to A. marginale, even being placed in a steady enzootic area.

Can savannas become forests? A coupled analysis of nutrient stocks and fire thresholds in central Brazil

Aims: The effects of fire ensure that large areas of the seasonal tropics are maintained as savannas. The advance of forests into these areas depends on shifts in species composition and the presence of sufficient nutrients. Predicting such transitions, however, is difficult due to a poor understanding of the nutrient stocks required for different combinations of species to resist and suppress fires. Methods: We compare the amounts of nutrients required by congeneric savanna and forest trees to reach two thresholds of establishment and maintenance: that of fire resistance, after which individual trees are large enough to survive fires, and that of fire suppression, after which the collective tree canopy is dense enough to minimize understory growth, thereby arresting the spread of fire. We further calculate the arboreal and soil nutrient stocks of savannas, to determine if these are sufficient to support the expansion of forests following initial establishment. Results: Forest species require a larger nutrient supply to resist fires than savanna species, which are better able to reach a fire-resistant size under nutrient limitation. However, forest species require a lower nutrient supply to attain closed canopies and suppress fires; therefore, the ingression of forest trees into savannas facilitates the transition to forest. Savannas have sufficient N, K, and Mg, but require additional P and Ca to build high-biomass forests and allow full forest expansion following establishment. Conclusions: Tradeoffs between nutrient requirements and adaptations to fire reinforce savanna and forest as alternate stable states, explaining the long-term persistence of vegetation mosaics in the seasonal tropics. Low-fertility limits the advance of forests into savannas, but the ingression of forest species favors the formation of non-flammable states, increasing fertility and promoting forest expansion. © 2013 Springer Science+Business Media Dordrecht.

Prevalence of cardiovascular risk factors among Latin American adolescents: a multilevel analysis

High blood pressure (HBP) and obesity is a well-established major risk factor for stroke and coronary heart disease. However, the literatures are scarce about these informations in adolescents from low-and-middle income countries. This school-based survey was carried out among students from Maringá (Brazil) and Buenos Aires (Argentina) selected random sampling. We studied 991 Brazilian adolescents (54.5% girls) in the age range of 14-18 years. In Argentina, we studied 933 adolescents (45.9% female) in the age range of 11-17 years. The outcomes of this study are general obesity, abdominal obesity and HBP. The associated factors analysed were gender, age and health behaviours. The prevalence of obesity was 5.8% in Brazil and 2.8% in Argentina, the prevalence of abdominal obesity was 32.7% in Brazil and 11.1% in Argentina, the prevalence of HBP was 14.9% in Brazil and 13.5% in Argentina. The multilevel analysis showed that older adolescents (>14 years old) have a little likelihood of being overweight, whereas male adolescents are more likely to be obese and have HBP. The abdominal obesity in both indicators were not associated with the independent variables. The prevalence of cardiovascular risk factors is high in Latin American adolescents independent of each country, and was associated with male gender.Journal of Human Hypertension advance online publication, 15 August 2013; doi:10.1038/jhh.2013.74.

Analysis of the risk factors relating to cows' resistance to Rhipicephalus microplus ticks during the peripartum

This study aimed to evaluate season, breed, number of lactations and milk production as risk factors relating to Rhipicephalus microplus infestation in dairy cows during the peripartum. Eighty-four animals were randomly selected through proportional stratified sampling. All engorged and partially engorged female R. microplus specimens measuring 4.5-8.0 mm were counted during the 5 weeks before calving, calving week and 5 weeks after calving. The peripartum had a significant effect [calving (p < 0.05; prevalence ratio (PR)= 3.12) and post calving (p < 0.05; PR = 2.02)] on R. microplus infestation. Although the average tick count was higher during the rainy season than during the dry season, there was no significant difference (p = 0.055; PR = 0.63). The average R. microplus count was significantly higher (p < 0.05; PR = 2.10) in Bos taurus animals, followed by F1 (p < 0.05; PR = 1.64) and Girolando (p < 0.05; PR = 1.39). The average R. microplus count was significantly higher (p < 0.05; PR = 0.97) in first-lactation animals, followed by those at the second, third and, fourth or subsequent lactation. Milk production showed a negative correlation with R. microplus count, such that high-production animals were significantly (p = 0.003; PR = 2.04) more vulnerable to infestation than were low-production animals. First-lactation and high-production B. taurus animals had greatest vulnerability to R. microplus infestation over the peripartum period, and constituted the at-risk group in the dairy herd.u

Molecular characterization of fire ants, Solenopsis spp., from Brazil based on analysis of mtDNA gene cytochrome oxidase I

Species from the Solenopsis saevissima (Smith) (Hymenoptera: Formicidae) species group are native to South America and have a cosmopolitan distribution because they have been accidentally introduced in many countries around the world. In Brazil, they have a wide distribution, including urban areas. The present study was conducted to investigate the characterization of Solenopsis genus populations associated with urban/human interference sites in Brazil by analyzing the mitochondrial gene cytochrome oxidase I and estimating the degree of relatedness of these populations to make inferences about their phylogeny and also observe the patterns of mitochondrial haplotype (mitotype) distribution across their range. The results revealed complete geographical coherence and polyphyly for the Solenopsis invicta Buren and Solenopsis saevissima species groups, which confirms the diversity of the genera. It also suggests the possibility that reproductively-isolated populations occur, resulting in the evolutionary process of speciation. No predominant haplotype was found in the populations analyzed, but some were more prevalent.