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.

Regional report on measuring disability: Overview of the disability measurement procedures in Latin America and the Caribbean. Task Force on Disability Measurement Statistical Conference of the Americas (SCA)

Introduction .-- I. Inclusion of international guidelines in disability measurement processes in Latin American and Caribbean countries .-- II. State of the art in disability measurement in the region’s countries .-- III. Main difficulties facing countries in terms of collecting information .-- Conclusions.

The employment situation in Latin America and the Caribbean: Advances and challenges in measuring decent work

At 6.4%, the unemployment rate for the Latin American and Caribbean region overall was the lowest for the past few decades, down from 6.7% in 2011. This is significant, in view of the difficult employment situation prevailing in other world regions. Labour market indicators improved despite modest growth of just 3.0% in the region’s economy. Even with sharply rising labour market participation, the number of urban unemployed fell by around 400,000, on the back of relatively strong job creation. Nevertheless, around 15 million are still jobless in the region. Other highlights of 2012 labour market performance were that the gender gaps in labour market participation, unemployment and employment narrowed, albeit slightly; formal employment increased; the hourly underemployment rate declined; and average wages rose. This rendering was obviously not homogenous across the region. Labour market indicators worsened again in the Caribbean countries, for example, reflecting the sluggish performance of their economies. The sustainability of recent labour market progress is also a cause for concern. Most of the new jobs in the region were created as part of a self-perpetuating cycle in which new jobs and higher real wages (and greater access to credit) have boosted household purchasing power and so pushed up domestic demand. Much of this demand is for non-tradable goods and services (and imports), which has stimulated expansion of the tertiary sector and hence its demand for labour, and many of the new jobs have therefore arisen in these sectors of the economy. This dynamic certainly has positive implications in terms of labour and distribution, but the concern is whether it is sustainable in a context of still relatively low investment (even after some recent gains) which is, moreover, not structured in a manner conducive to diversifying production. Doubt hangs over the future growth of production capacity in the region, given the enormous challenges facing the region in terms of innovation, education quality, infrastructure and productivity. As vigorous job creation has driven progress in reducing unemployment, attention has turned once again to the characteristics of that employment. Awareness exists in the region that economic growth is essential, but not in itself sufficient to generate more and better jobs. For some time, ILO has been drawing attention to the fact that it is not enough to create any sort of employment. The concept of decent work, as proposed by ILO, emphasized the need for quality jobs which enshrine respect for fundamental rights at work. The United Nations General Assembly endorsed this notion and incorporated it into the targets set in the framework of the Millennium Development Goals. This eighth issue of the ECLAC/ILO publication “The employment situation in Latin America and the Caribbean” examines how the concept of decent work has evolved in the region, progress in measuring it and the challenges involved in building a system of decent work indicators, 14 years after the concept was first proposed. Although the concept of decent work has been accompanied since the outset by the challenge of measurement, its first objective was to generate a discussion on the best achievable labour practices in each country. Accordingly, rather than defining a universal threshold of what could be considered decent work —regarding which developed countries might have almost reached the target before starting, while poor countries could be left hopelessly behind— ILO called upon the countries to define their own criteria and measurements for promoting decent work policies. As a result, there is no shared set of variables for measuring decent work applicable to all countries. The suggestion is, instead, that countries move forward with measuring decent work on the basis of their own priorities, using the information they have available now and in the future. However, this strategy of progressing according to the data available in each country tends to complicate statistical comparison between them. So, once the countries have developed their respective systems of decent work indicators, it will be also be important to work towards harmonizing them. ECLAC and ILO are available to provide technical support to this end. With respect to 2013, there is cautious optimism regarding the performance of the region’s labour markets. If projections of a slight uptick —to 3.5%— in the region’s economic growth in 2013 are borne out, labour indicators should continue to gradually improve. This will bring new increases in real wages and a slight drop of up to 0.2 percentage points in the region’s unemployment rate, reflecting a fresh rise in the regional employment rate and slower growth in labour market participation.