Implementación de cópulas para la estimación del valor en riesgo

La dependencia entre las series financieras, es un parámetro fundamental para la estimación de modelos de Riesgo. El Valor en Riesgo (VaR) es una de las medidas más importantes utilizadas para la administración y gestión de Riesgos Financieros, en la actualidad existen diferentes métodos para su estimación, como el método por simulación histórica, el cual no asume ninguna distribución sobre los retornos de los factores de riesgo o activos, o los métodos paramétricos que asumen normalidad sobre las distribuciones. En este documento se introduce la teoría de cópulas, como medida de dependencia entre las series, se estima un modelo ARMA-GARCH-Cópula para el cálculo del Valor en Riesgo de un portafolio compuesto por dos series financiera, la tasa de cambio Dólar-Peso y Euro-Peso. Los resultados obtenidos muestran que la estimación del VaR por medio de copulas es más preciso en relación a los métodos tradicionales.

Dynamic conditional correlation in Latin-American asset markets

In this paper we reviewed the models of volatility for a group of five Latin American countries, mainly motivated by the recent periods of financial turbulence. Our results based on high frequency data suggest that Dynamic multivariate models are more powerful to study the volatilities of asset returns than Constant Conditional Correlation models. For the group of countries included, we identified that domestic volatilities of asset markets have been increasing; but the co-volatility of the region is still moderate.

Inequalities in dental services utilization among Brazilian low-income children: the role of individual determinants

Objectives: To assess the role of the individual determinants on the inequalities of dental services utilization among low-income children living in the working area of Brazilian`s federal Primary Health Care program, which is called Family Health Program (FHP), in a big city in Southern Brazil. Methods: A cross-sectional population-based study was performed. The sample included 350 children, ages 0 to 14 years, whose parents answered a questionnaire about their socioeconomic conditions, perceived needs, oral hygiene habits, and access to dental services. The data analysis was performed according to a conceptual framework based on Andersen`s behavioral model of health services use. Multivariate models of logistic regression analysis instructed the hypothesis on covariates for never having had a dental visit. Results: Thirty one percent of the surveyed children had never had a dental visit. In the bivariate analysis, higher proportion of children who had never had a dental visit was found among the very young, those with inadequate oral hygiene habits, those without perceived need of dental care, and those whose family homes were under absent ownership. The mechanisms of social support showed to be important enabling factors: children attending schools/kindergartens and being regularly monitored by the FHP teams had higher odds of having gone to the dentist, even after adjusting for socioeconomic, demographic, and need variables. Conclusions: The conceptual framework has confirmed the presence of social and psychosocial inequalities on the utilization pattern of dental services for low-income children. The individual determinants seem to be important predictors of access.

Pubertal stage and deliberate self-harm in adolescents

Objective: To ascertain the association between pubertal stage and deliberate self-harm.

Method: Cross-sectional survey of 12- to 15-year-olds in 300 secondary schools in the U.S. state of Washington in February-April 2002 and the Australian state of Victoria in June-August 2002. A total of 3,332 students in grades 7 and 9 provided complete data on episodes of deliberate self-harm in the previous 12 months and pubertal stage. Pubertal stage was assessed with the Pubertal Development Scale.

Results: The prevalence of deliberate self-harm was 3.7% with a more than twofold higher rate in females. Late puberty was associated with a more than fourfold higher rate of self-harm (odds ratio 4.6, 95% confidence interval 1.5-14) after adjustment for age and school grade level. In contrast age had a protective association (odds ratio 0.7, confidence interval 0.4-1.0). The sharpest rises in prevalence across puberty were for self-laceration and self-poisoning in females. Higher rates of depressive symptoms, frequent alcohol use, and initiation of sexual activity largely accounted for the association between self-harm and pubertal stage in multivariate models.

Conclusions: Puberty is associated with changes in the form and frequency of self-harm. For adolescents with a gap between puberty and brain development, risk factors such as early sexual activity and substance abuse may be particularly potent.

Regional faunal decline – reptile occurrence in fragmented rural landscapes of south-eastern Australia

Many species of reptiles are sedentary and depend on ground-layer habitats, suggesting that they may be particularly vulnerable to landscape changes that result in isolation or degradation of native vegetation. We investigated patterns of reptile distribution and abundance in remnant woodland across the Victorian Riverina, south-eastern Australia, a bioregion highly modified (>90%) by clearing for agriculture. Reptiles were intensively surveyed by pitfall trapping and censuses at 60 sites, stratified to sample small (<30 ha) and large (>30 ha) remnants, and linear strips of roadside and streamside vegetation, across the regional environmental gradient. The recorded assemblage of 21 species was characterised by low abundance and patchy distribution of species. Reptiles were not recorded by either survey technique at 22% of sites and at a further 10% only a single individual was detected. More than half (53%) of all records were of two widespread, generalist skink species. Multivariate models showed that the distribution of reptiles is influenced by factors operating at several levels. The environmental gradient exerts a strong influence, with increasing species richness and numbers of individuals from east (moister, higher elevation) to west (drier, lower elevation). Differences existed between types of remnants, with roadside vegetation standing out as important; this probably reflects greater structural heterogeneity of ground and shrub strata than in remnants subject to grazing by stock. Although comparative historical data are lacking, we argue that there has been a region-wide decline in the status of reptiles in the Victorian Riverina involving: (1) overall population decline commensurate with loss of >90% of native vegetation; (2) disproportionate decline of grassy dry woodlands and their fauna (cf. floodplains); and (3) changes to populations and assemblages in surviving remnants due to effects of land-use on reptile habitats. Many species now occur as disjunct populations, vulnerable to changing land-use. The status of reptiles in rural Australia warrants greater attention than has been given to date. Effective conservation of this component of the biota requires better understanding of the population dynamics, habitat use and dispersal capacity of species; and a commitment to landscape restoration coupled with effective ecological monitoring.

Accounting for the multidimensional nature of the relationship between adult obesity and socio-economic status : the French second National Individual Survey on Food Consumption (INCA 2) dietary survey (2006–07)

The objective was to study the multidimensional nature of the relationship between adult obesity (OB) and socio-economic status (SES),
using comprehensive indices of SES taken separately or synthesised in an overall index. A nationally representative sample of adults aged
18–79 years was taken from the French second National Individual Survey on Food Consumption (INCA 2) dietary survey (2006–07).
Weight and height were measured and OB defined as BMI $ 30 kg/m². SES variables were reported in questionnaires and included
occupation, education and characteristics of household wealth. Composite indices of SES (household wealth and overall SES indices)
were computed by correspondence analysis, and relationships with OB were investigated with logistic regression analysis. In total, 11·8
(95% CI 10·1, 13·4) % of French adults were obese, without significant difference by sex. While no significant relationship was observed
in men, all SES indicators were inversely correlated to OB in women. Both education and the household wealth index were retained in the
stepwise multivariate model, confirming that different socio-economic variables are not necessarily proxies of each other regarding the OB
issue. On the other hand, ‘controlling for SES’ while including several measures of SES in multivariate models may lead to collinearity, and
thus over-adjustment. A more integrative approach may be to derive a synthetic index by including the SES factors available in a given
study. Beyond this methodological perspective, understanding how OB is related to the different dimensions of SES should help to
target the more vulnerable groups and increase the effectiveness of prevention.

Psychosocial and other working conditions in relation to body mass index in a representative sample of Australian workers

Background The aim of the study was to examine the relationship between psychosocial and other working conditions and body-mass index (BMI) in a working population. This study contributes to the approximately dozen investigations of job stress, which have demonstrated mixed positive and negative results in relation to obesity, overweight and BMI. Methods A cross-sectional population-based survey was conducted among working Australians in the state of Victoria. Participants were contacted by telephone from a random sample of phone book listings. Information on body mass index was self-reported as were psychosocial work conditions assessed using the demand/control and effort/reward imbalance models. Other working conditions measured included working hours, shift work, and physical demand. Separate linear regression analyses were undertaken for males and females, with adjustment for potential confounders. Results A total of 1101 interviews (526 men and 575 women) were completed. Multivariate models (adjusted for socio-demographics) demonstrated no associations between job strain, as measured using the demand/control model, or ERI using the effort/reward imbalance model (after further adjustment for over commitment) and BMI among men and women. Multivariate models demonstrated a negative association between low reward and BMI among women. Among men, multivariate models demonstrated positive associations between high effort, high psychological demand, long working hours and BMI and a negative association between high physical demand and BMI. After controlling for the effort/reward imbalance or the demand/control model, the association between physical demand and working longer hours and BMI remained. Conclusion Among men and women the were differing patterns of both exposures to psychosocial working conditions and associations with BMI. Among men, working long hours was positively associated with higher BMI and this association was partly independent of job stress. Among men physical demand was negatively associated with BMI and this association was independent of job stress.

An analysis of sectoral equity and CDS spreads

In this paper, we find that CDS return shocks are important in explaining the forecast error variance of sectoral equity returns for the USA. The CDS return shocks have different effects on equity returns and return volatility in the pre-crisis and crisis periods. It is the post-Lehman crisis period in which the effects of CDS return shocks are the most dominant. Finally, we construct a spillover index and find that it is time-varying and explains a larger share of total forecast error variance of sectoral equity and CDS returns for some sectors than for others.

Cópulas: uma alternativa para a estimação de modelos de risco multivariados

Dentre os principais desafios enfrentados no cálculo de medidas de risco de portfólios está em como agregar riscos. Esta agregação deve ser feita de tal sorte que possa de alguma forma identificar o efeito da diversificação do risco existente em uma operação ou em um portfólio. Desta forma, muito tem se feito para identificar a melhor forma para se chegar a esta definição, alguns modelos como o Valor em Risco (VaR) paramétrico assumem que a distribuição marginal de cada variável integrante do portfólio seguem a mesma distribuição , sendo esta uma distribuição normal, se preocupando apenas em modelar corretamente a volatilidade e a matriz de correlação. Modelos como o VaR histórico assume a distribuição real da variável e não se preocupam com o formato da distribuição resultante multivariada. Assim sendo, a teoria de Cópulas mostra-se um grande alternativa, à medida que esta teoria permite a criação de distribuições multivariadas sem a necessidade de se supor qualquer tipo de restrição às distribuições marginais e muito menos as multivariadas. Neste trabalho iremos abordar a utilização desta metodologia em confronto com as demais metodologias de cálculo de Risco, a saber: VaR multivariados paramétricos - VEC, Diagonal,BEKK, EWMA, CCC e DCC- e VaR histórico para um portfólio resultante de posições idênticas em quatro fatores de risco – Pre252, Cupo252, Índice Bovespa e Índice Dow Jones

Contágio financeiro global : evidências de países do G20

O presente estudo investiga a existência de contágio financeiro entre os países do G20, com base em uma análise sobre os retornos dos principais índices de ações, abrangendo o período de 2000 a 2012. A abordagem utilizada consiste na utilização de modelos multivariados de volatilidade da família DCC-GARCH, na versão proposta por Engle e Sheppard (2001). Com base nos testes efetuados, conclui-se que houve mudanças estruturais nas séries analisadas em praticamente todos os 14 países analisados, sendo que os resultados obtidos demonstram evidências favoráveis para a hipótese de contágio financeiro entre países do G20. Verificou-se também que dentre as diversas crises financeiras ocorridas durante o período analisado, a Crise do Subprime destaca-se das demais crises, devido a sua magnitude e velocidade com que se propagou, afetando tanto países desenvolvidos como países emergentes.

Indústria de máquinas agrícolas no Brasil: um modelo para estimação da demanda de tratores para o triênio 2016 – 2018

O objetivo desta dissertação foi estimar a demanda de tratores agrícolas para o mercado brasileiro no triênio 2016-2018, utilizando-se para isto de técnicas de econometria de séries temporais, neste caso, modelos univariados da classe ARIMA e SARIMA e ou multivariados SARIMAX. Justifica-se esta pesquisa quando se observa a indústria de máquinas agrícolas no Brasil, dados os ciclos econômicos e outros fatores exógenos aos fundamentos econômicos da demanda, onde esta enfrenta muitos desafios. Dentre estes, a estimação de demanda se destaca, pois exerce forte impacto, por exemplo, no planejamento e custo de produção de curto e médio prazo, níveis de inventários, na relação com fornecedores de materiais e de mão de obra local, e por consequência na geração de valor para o acionista. Durante a fase de revisão bibliográfica foram encontrados vários trabalhos científicos que abordam o agronegócio e suas diversas áreas de atuação, porém, não foram encontrados trabalhos científicos publicados no Brasil que abordassem a previsão da demanda de tratores agrícolas no Brasil, o que serviu de motivação para agregar conhecimento à academia e valor ao mercado através deste. Concluiu-se, após testes realizados com diversos modelos que estão dispostos no texto e apêndices, que o modelo univariado SARIMA (15,1,1) (1,1,1) cumpriu as premissas estabelecidas nos objetivos específicos para escolha do modelo que melhor se ajusta aos dados, e foi escolhido então, como o modelo para estimação da demanda de tratores agrícolas no Brasil. Os resultados desta pesquisa apontam para uma demanda de tratores agrícolas no Brasil oscilando entre 46.000 e 49.000 unidades ano entre os anos de 2016 e 2018.

Factors predictive of inappropriateness in requests for parenteral antimicrobials for therapeutic purposes: A study in a small teaching hospital in Brazil

Background: The identification of patterns of inappropriate antimicrobial prescriptions in hospitals contributes to the improvement of antimicrobial stewardship programs (ASP). Methods: We conducted a cross-sectional study to identify predictors of inappropriateness in requests for parenteral antimicrobials (RPAs) in a teaching hospital with 285 beds. We reviewed 25% of RPAs for therapeutic purposes from y 2005. Appropriateness was evaluated according to current guidelines for antimicrobial therapy. We assessed predictors of inappropriateness through univariate and multivariate models. RPAs classified as 'appropriate' or 'probably appropriate' were selected as controls. Case groups comprised inappropriate RPAs, either in general or for specific errors. Results: Nine hundred and sixty-three RPAs were evaluated, 34.6% of which were considered inappropriate. In the multivariate analysis, general predictors of inappropriateness were: prescription on week-ends/holidays (odds ratio (OR) 1.67, 95% confidence interval (CI) 1.20-2.28, p = 0.002), patient in the intensive care unit (OR 1.57, 95% CI 1.11-2.23, p = 0.01), peritoneal infection (OR 2.15, 95% CI 1.27-3.65, p = 0.004), urinary tract infection (OR 1.89, 95% CI 1.25 -2.87, p = 0.01), combination therapy with 2 or more antimicrobials (OR 1.72, 95% CI 1.15-2.57, p = 0.008) and prescriptions including penicillins (OR 2.12, 95% CI 1.39-3.25, p = 0.001) or 1(st) generation cephalosporins (OR 1.74, 95% CI 1.01-3.00, p = 0.048). Previous consultation with an infectious diseases (ID) specialist had a protective effect against inappropriate prescription (OR 0.34, 95% CI 0.24-0.50, p < 0.001). Factors independently associated with specific prescription errors varied. However, consultation with an ID specialist was protective against both unnecessary antimicrobial use (OR 0.04, 95% CI 0.01-0.26, p = 0.001) and requests for agents with an insufficient antimicrobial spectrum (OR 0.14, 95% CI 0.03-0.30, p = 0.01). Conclusions: Our results demonstrate the importance of previous consultation with an ID specialist in assuring the quality of prescriptions. Also, they highlight prescription patterns that should be approached by ASP policies.

Temporomandibular Disorders Are Differentially Associated With Headache Diagnoses A Controlled Study

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

Prevalência de dislipidemia em indivíduos fisicamente ativos durante a infância, adolescência e idade adulta

FUNDAMENTO: A prevalência de dislipidemias vem aumentando em diversas partes do Brasil, porém não é claro ainda quanto de exercício físico é necessário para se obter efeitos benéficos sobre os níveis de lipoproteínas plasmáticas. OBJETIVO: O estudo analisou, em oito cidades do Estado de São Paulo, a associação entre a prática continuada de exercícios físicos ao longo da vida e a ocorrência de dislipidemia na idade adulta. MÉTODOS: Estudo transversal envolvendo 2.720 adultos, de ambos os sexos, residentes em oito cidades do Estado de São Paulo. Por meio de entrevista domiciliar, a presença de dislipidemias foi autorreferida e a prática de exercícios físicos foi analisada na infância (7-10 anos), na adolescência (11-17 anos) e na idade adulta (atividades de lazer). No tratamento estatístico, modelos multivariados foram criados com a regressão logística binária. RESULTADOS: A prevalência de dislipidemia foi de 12,2% (IC95%= 11,1%-13,5%) e não houve diferença entre as cidades (p = 0,443). Mulheres (p = 0,001) e obesos (p = 0,001) apresentaram maior taxa de dislipidemia. Exercício físico atual não se associou com a presença de dislipidemia ([> 180 minutos por semana] p = 0,165), porém, a prática de exercício físico, tanto na infância (p = 0,001) como na adolescência (p = 0,001), foi associada com menor ocorrência da doença. Adultos fisicamente ativos em todos os três momentos da vida apresentaram 65% menos chances de reportar dislipidemia (RC = 0,35 [0,15-0,78]). CONCLUSÃO: A prática continuada de exercícios físicos ao longo da vida foi associada com menor ocorrência de dislipidemia entre adultos do Estado de São Paulo.

Evolução e determinantes de incremento de peso (por altura e idade) em crianças de dois a 72 meses em Sorocaba, São Paulo: evidências a partir de estudo quase-experimental seriado.

OBJETIVOS: recupera-se síntese dos principais aspectos das publicações referentes a projeto conduzido pela equipe, na década passada, com o objetivo de subsidiar a avaliação de política pública setorial de suplementação alimentar na infância. MÉTODOS: acompanharam-se trimestralmente, durante um ano, indicadores de crescimento e desenvolvimento em populações periféricas de dois a 72 meses de idade, em Sorocaba, São Paulo. Após realização do censo infantil de duas regiões da cidade, as crianças freqüentes a creches (em número de 164) foram comparadas às demais (280). O impacto nutricional foi quantificado através de análises univariadas (testes inferenciais Kappa e de Goodman) e multivariadas. Vieses e confundimento foram averiguados e controlados. RESULTADOS: observou-se, entre muitas outras informações obtidas, que o grupo assistido apresentou: 1) idade média superior; 2) menor taxa de aleitamento natural; 3) menores valores de peso/altura à admissão, com maiores ganhos durante a evolução; 4) essa melhora aumentou com a duração da exposição e foi maior entre os mais velhos. CONCLUSÕES: avalia-se que assistir apropriadamente pré-escolares constitui hoje, em nosso meio, relevante imperativo de ordem social.