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.

Consumption-wealth ratio and expected stock returns: evidence from panel data

This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Association between MUC1 gene polymorphism and expected progeny differences in Nelore cattle (Bos primigenius indicus)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Genetic trends in the expected progeny difference of the asymptotic weight of Nelore females

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

Oxytocinergic and serotonergic systems involvement in sodium intake regulation: satiety or hypertonicity markers?

Previous studies demonstrated the inhibitory participation of serotonergic ( 5-HT) and oxytocinergic (OT) neurons on sodium appetite induced by peritoneal dialysis (PD) in rats. The activity of 5-HT neurons increases after PD- induced 2% NaCl intake and decreases after sodium depletion; however, the activity of the OT neurons appears only after PD-induced 2% NaCl intake. To discriminate whether the differential activations of the 5-HT and OT neurons in this model are a consequence of the sodium satiation process or are the result of stimulation caused by the entry to the body of a hypertonic sodium solution during sodium access, we analyzed the number of Fos-5-HT- and Fos-OT-immunoreactive neurons in the dorsal raphe nucleus and the paraventricular nucleus of the hypothalamus-supraoptic nucleus, respectively, after isotonic vs. hypertonic NaCl intake induced by PD. We also studied the OT plasma levels after PD- induced isotonic or hypertonic NaCl intake. Sodium intake induced by PD significantly increased the number of Fos-5- HT cells, independently of the concentration of NaCl consumed. In contrast, the number of Fos-OT neurons increased after hypertonic NaCl intake, in both depleted and nondepleted animals. The OT plasma levels significantly increased only in the PD- induced 2% NaCl intake group in relation to others, showing a synergic effect of both factors. In summary, 5-HT neurons were activated after body sodium status was reestablished, suggesting that this system is activated under conditions of satiety. In terms of the OT system, both OT neural activity and OT plasma levels were increased by the entry of hypertonic NaCl solution during sodium consumption, suggesting that this system is involved in the processing of hyperosmotic signals.

Path analysis and expected response in indirect selection for grain yield in soybean

This study aimed to determine the best auxiliary trait for indirect selection of soybean grain yield, through path analysis and in avoidance of the adverse effects of multicollinearity and expected response. Seventy-nine F5 soybean genotypes from the cross FT-Cometa x Bossier were used. The populations were distributed on the field was the families inserted with replicated controls. Primary and secondary traits of grain yield were evaluated in four phenotypically superior plants per family. The traits number of pods, height and number of nodes were considered as the most important, showing the best combination of direct effect and genotypic correlation. The number of pods achieved the highest expected gain through the estimation method based on the selection differential. On the other hand, plant height, by the method based on selection intensity, was not a good indicator of the most productive plants.

A computer model of family building based on expected values; abstract of an article by Potter and Sakoda

Includes bibliography

A reescrita irônica de Angela Carter: O quarto do Barba-Azul

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Expected and Unexpected Consequences of the Educational Expansion in Europe and the US. Theoretical approaches and empirical findings in comparative perspective

A main mechanism behind the change in European and North American societies in the second half of the 20th century is the educational expansion, i.e. the increase in educational opportunities and the higher demand for education. Whereas other abstract social processes like modernization have been widely theorized in social science literature, the educational expansion and its consequences in particular have not been well studied. Therefore the main aim of this compilation is to deal with the question of whether the demands of the educational reforms have been fulfilled and which other consequences the educational expansion has had. This book will focus on consequences of the educational expansion for individuals and their life courses as well as for the social structure and other societal areas such as culture and politics. Aspects that will be analysed in the light of educational expansion include participation in education, educational inequalities, labour market outcomes, educational returns, and gender differences as well as crime, life expectancy, and lifestyles. Countries analysed in the book include West European countries like Germany, France, Italy and Spain, East European countries (Hungary, Poland, and the Czech Republic) as well as the US.