An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

Desempenho do value-at-risk nos países emergentes e desenvolvidos

O estudo teve como objetivo avaliar a capacidade preditiva dos modelos de estimação do risco de mercado em momentos de crises financeiras. Para isso, foram testados modelos de estimação do Value-at-Risk (VaR) aplicados aos retornos diários de carteiras compostas por índices de ações de países desenvolvidos e emergentes. Foram testados o modelo VaR de Simulação Histórica, modelos ARCH multivariados (Bekk, Vech e CCC), Redes Neurais Artificiais e funções Cópulas. A amostra de dados refere-se aos períodos de duas crises financeiras internacionais, Crise Asiática, de 1997, e Crise do Sub Prime dos EUA, de 2008. Os resultados apontaram que os modelos ARCH multivariados (Vech e Bekk) e Cópula - Clayton tiveram desempenho semelhantes, com bons ajustes em 100% dos testes. Diferentemente do que era esperado, não foi possível perceber diferenças significativas entre os ajustes para países desenvolvidos e emergentes e os momentos de crise e normal.

Gestão do risco da imagem institucional

Este ensaio analisa alguns aspectos que motivam organizações habituadas com abordagens preventivas de gestão de risco a não adotarem, de forma sistemática, medidas para gerenciar riscos com a imagem institucional. As principais contribuições deste trabalho são dirigidas ao esclarecimento de uma antiga questão que confronta profissionais de comunicação corporativa e executivos responsáveis pela liberação de recursos em torno dos argumentos de investimento versus custos com a comunicação. Além desta, revela-se a necessidade do desenvolvimento de uma metodologia capaz de sistematizar a gestão do risco da imagem, acompanhada de uma série de mudanças de paradigmas adotados nas atuais práticas de comunicação nas organizações, em destaque a mudança de uma posição reativa ao evento que atinge a imagem, para uma atuação preventiva fundamentada em discursos positivos que fortalecem a credibilidade e prestígio da imagem institucional.

Aspectos do gerenciamento de riscos de tecnologia da informação nas empresas: um estudo de caso múltiplos

The information technology - IT- benefits have been more perceived during the last decades. Both IT and business managers are dealing with subjects like governance, IT-Business alignment, information security and others on their top priorities. Talking about governance, specifically, managers are facing it with a technical approach, that gives emphasis on protection against invasions, antivirus systems, access controls and others technical issues. The IT risk management, commonly, is faced under this approach, that means, has its importance reduced and delegated to IT Departments. On the last two decades, a new IT risk management perspective raised, bringing an holistic view of IT risk to the organization. According to this new perspective, the strategies formulation process should take into account the IT risks. With the growing of IT dependence on most of organizations, the necessity of a better comprehension about the subject becomes more clear. This work shows a study in three public organizations of the Pernambuco State that investigates how those organizations manage their IT risks. Structured interviews were made with IT managers, and later, analyzed and compared with conceptual categories found in the literature. The results shows that the IT risks culture and IT governance are weakly understood and implemented on those organizations, where there are not such an IT risk methodology formally defined, neither executed. In addition, most of practices suggested in the literature were found, even without an alignment with an IT risks management process

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Eutrofização e qualidade da água na piscicultura: consequências e recomendações

The eutrophication (cultural or anthropogenic) is induced by man and can have different origins, such as domestic sewage, industrial and agricultural activities, including the effluent still breeding systems of aquatic organisms. The expansion of aquaculture, with production of biomass and increase of nutrients in water may cause acceleration of productivity of algae, changing the ecology of aquatic systems. In addition, these waste water may present a risk to health through the transfer of pathogens from manure, plant residues, composted material, among others that are major sources of organic waste in some farming systems. Depending on the trophic level of fish ponds, which are dynamic environments, different planktonic species with short reproductive cycle and adapted to the changes contained in these systems can appear in high abundance. Water quality in the systems for raising fish is related to several factors, such as water source, management (liming, fertilizing, cleaning), cultivated species and quantity and composition of exogenous food. In order to minimize environmental impacts, there are techniques to improve the quality of water in fish farming systems and thus satisfactory answers can be obtained through the application of management practices. This paper aims to review the subject that deals with changes in water quality resulting from the activity of freshwater fish culture in Brazil. Search also recommend techniques of good management practices to minimize the impact generated by the activity.

Prevalência e fatores de risco de leptospirose bovina no Estado do Maranhão

Foram investigados a prevalência e os fatores de risco da leptospirose bovina no Estado do Maranhão. O Estado foi dividido em quatro circuitos amostrais com base em parâmetros de produção distintos que variam conforme os diferentes sistemas de produção, as práticas de manejo, a finalidade de exploração, o tamanho médio dos rebanhos e os sistemas de comercialização. Objetivou-se estudar as características epidemiológicas da leptospirose bovina no Estado do Maranhão, de modo a determinar a prevalência em bovinos e em rebanhos, detectar as sorovariedades de Leptospira spp. presentes, identificar os fatores de risco eventualmente associados à leptospirose em bovinos e diferenciar os circuitos pecuários entre si no que se refere à prevalência de leptospirose. A pesquisa foi realizada em 136 propriedades rurais pertencentes ao circuito I, no qual 841 fêmeas bovinas com idade igual ou superior a 24 meses foram analisadas; 238 do circuito II, com 2.582 fêmeas analisadas; 122 do circuito III, com 869 fêmeas analisadas; e 77 do circuito IV, com 540 fêmeas analisadas; no total, 573 propriedades e 4.832 fêmeas foram estudadas. A presença de anticorpos contra Leptospira spp. foi verificada pela técnica de soroaglutinação microscópica (SAM). Das 4.832 fêmeas bovinas analisadas, 1.904 (35,94%; IC 95% = 33,01% - 38,98%) foram reagentes. Das 573 propriedades analisadas, 380 (64,81%; IC 95% = 61,10% - 68,35%) foram consideradas positivas. As sorovariedades Hardjo e Wolffi foram as mais frequentes em todo o Estado. O circuito III foi o que apresentou menor prevalência de leptospirose em todas as comparações. As variáveis identificadas como fatores de risco de leptospirose foram: presença de equinos (p = 0,000), presença de capivaras (p = 0,034) e rebanhos bovinos com 32 ou mais fêmeas adultas (p = 0,002).

Abordaje práctico sobre cómo mejorar el bienestar en los bovinos

Current challenges of humanity require a new paradigm for animal production, and invest time and attention to the development of new production techniques that take into account the principles of sustainability and animal welfare science. To do this, we must be committed to promoting animal welfare and health, ensure environmental sustainability, consumer satisfaction and profitability for producers. To change our relationship with animals there is no need for changes in market conditions or large investments, it is enough to know better the needs of the animals we raise, the management system adapted to its characteristics. Even in the most favorable management conditions, on farms that have technological resources and trained personnel, there is much to change, especially in the daily management of the animals. Some of the risks more evident in the traditional systems of beef production are: problems during parturition, morbidity and mortality of calves, lack of shade in the pastures, improper handling of animals, risk of injury, inadequate infrastructure, poor management practices during routine processing (marking, castration, vaccination, dehorning), poor welfare during loading, transport, unloading and slaughter. To remedy this, you can adopt good management practices, which have been shown to reduce risk and improve the welfare of cattle in different stages of the production chain. The objective of this review is to show some of the risks that reduce the welfare of cattle and examples of how the adoption of best management practices impact on improving the productivity of these production systems. Finally, some indicators for assessing welfare in production systems are shown.

Gestão da segurança e saúde no trabalho em empresas produtoras de baterias automotivas: um estudo para identificar boas práticas

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

Environmental management in ethanol and sugarcane plants in Brazil

There has been much discussion on the importance of Brazilian ethanol in promoting a more sustainable society. However, there is a lack of analysis of whether sugarcane plants/factories that produce this ethanol are environmentally suitable. Thus, the objective of this study was to analyse stages of environmental management at four Brazilian ethanol-producing plants, examining the management practices adopted and the factors behind this adoption. The results indicate that (1) only one of the four plants is in the environmentally proactive stage; (2) all plants are adopting operational and organisational environmental management practices; (3) all plants have problems in communicating environmental management practices; and (4) the plant with the most advanced environmental management makes intense use of communication practices and is strongly oriented towards a more environmentally aware international market. This paper is an attempt to explain the complex relationship between the evolution of environmental management, environmental practices and motivation using a framework. The implications for society, plant directors and scholars are described, as well as the study's limitations.

Relationship between green management and environmental training in companies located in Brazil: A theoretical framework and case studies

The main objective of this study is to understand the relationship between green management and environmental training in Brazilian companies, underscoring how this relationship takes place and its most important factors. For such, 9 case studies were conducted at large ISO 14001 certified companies, leaders in their market segments. Several interviews were conducted for each case, documents were collected and visits were made for direct observation. The main contributions and results of this study were: (a) a proposal for a theoretical framework relating the evolutionary stages of green management and the characteristics of environmental training; (b) it was ascertained, as per the proposed theoretical framework, that organizational culture and teamwork, top management support and more technical green management practices are the factors that seem to connect and convert environmental training into more proactive green management, especially for companies in the proactive green management stage; (c) the identification of the co-evolution between the companies' stage of green management and their environmental training level, which is the identified relationship mechanism between environmental training and green management. In other words, the higher the level of adoption of activities recommended for green management, the more evolved the green management practiced at the companies tends to be; and (d) identification that the proposed theoretical framework tends to be useful, mainly because it can explain the relationship between green management and environmental training at the company in the proactive stage. (C) 2012 Elsevier B.V. All rights reserved.

Soil management and nitrogen fertilization for sprinkler-irrigated upland rice cultivars

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

Da vigilância para prevenção de acidentes de trabalho: contribuição da ergonomia da atividade

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

Prevalence of Toxoplasma gondii antibodies in ostriches (Struthio camelus) from commercial breeding facilities in the state of São Paulo, Brazil.

Toxoplasmosis is widespread zoonosis caused by Toxoplasma gondii,a protozoan that may infect mammals and birds. The aim of the present study was to assess the prevalence of T. gondii in ostriches (Struthio camelus) from commercial breeding facilities in the state of São Paulo, Brazil, in a way to increase the knowledge on the behavior and importance of the parasite in this animal species. A total of 195 serum samples were collected from ostriches from Sorocaba, Campinas, São Carlos, Aracatuba, São Paulo, Vale do Ribeira, Botucatu and sao Jose do Rio Preto, in the state of São Paulo. These samples were analyzed by means of the Modified Agglutination Test (MAT) in order to investigate the occurrence of Toxoplasmagondii antibodies. The test showed that 14.36% of the animals were seropositive to Toxoplasmagondii. Minimum titer was considered to be equal or greater than 1:16, and the greatest dilution observed was 1:16,384. No statistically significant differences were found between males and females. Seronegative animals occurred in only two regions (São Paulo and Sao Jose do Rio Preto). These results point out the importance of further studies on this infection in ostriches, and on management practices that may minimize the risk of toxoplasmosis transmission in these birds which would, in their turn, decrease the risk for the final consumer.

PCR associated with agar gel immunodiffusion assay improve caprine arthritis-encephalitis (CAEV) control

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