Análise empírica do value-at-risk por simulação histórica com atualização de volatilidade para fundos de ações no Brasil

Há mais de uma década, o Value-at-Risk (VaR) é utilizado por instituições financeiras e corporações não financeiras para controlar o risco de mercado de carteiras de investimentos. O fato dos métodos paramétricos assumirem a hipótese de normalidade da distribuição de retornos dos fatores de risco de mercado, leva alguns gestores de risco a utilizar métodos por simulação histórica para calcular o VaR das carteiras. A principal crítica à simulação histórica tradicional é, no entanto, dar o mesmo peso na distribuição à todos os retornos encontrados no período. Este trabalho testa o modelo de simulação histórica com atualização de volatilidade proposto por Hull e White (1998) com dados do mercado brasileiro de ações e compara seu desempenho com o modelo tradicional. Os resultados mostraram um desempenho superior do modelo de Hull e White na previsão de perdas para as carteiras e na sua velocidade de adaptação à períodos de ruptura da volatilidade do mercado.

Essays on regulation and risk

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.

Non-monotone insurence contracts and their empirical consequences

The goal of t.his paper is to show the possibility of a non-monot.one relation between coverage and risk which has been considered in the literature of insurance models since the work of Rothschild and Stiglitz (1976). We present an insurance model where the insured agents have heterogeneity in risk aversion and in lenience (a prevention cost parameter). Risk aversion is described by a continuou.'l parameter which is correlated with lenience and, for the sake of simplicity, we assume perfect correlation. In the case of positive correlation, the more risk averse agent has higher cost of prevention leading to a higher demand for coverage. Equivalently, the single crossing property (SCP) is valid and implies a positive correlation between coverage and risk in equilibrium. On the other hand, if the correlation between risk aversion and lenience is negative, not only may the sep be broken, but also the monotonicity of contracts, i.e., the prediction that high (Iow) risk averse types choose full (partial) insurance. In both cases riskiness is monotonic in risk aversion, but in the last case t,here are some coverage leveIs associated with two different risks (low and high), which implies that the ex-ante (with respect to the risk aversion distribution) correlation bet,ween coverage and riskiness may have every sign (even though the ex-post correlation is always positive). Moreover, using another instrument (a proxy for riskiness), we give a testable implication to disentangle single crossing and non single crossing under an ex-post zero correlation result: the monotonicity of coverage as a function of riskiness. Since by controlling for risk aversion (no asymmetric informat, ion), coverage is a monotone function of riskiness, this also gives a test for asymmetric information. Finally, we relate this theoretical results to empirica! tests in the recent literature, specially the Dionne, Gouriéroux and Vanasse (2001) work. In particular, they found an empirical evidence that seems to be compatible with asymmetric information and non single crossing in our framework. More generally, we build a hidden information model showing how omitted variabIes (asymmetric information) can bias the sign of the correlation of equilibrium variabIes conditioning on ali observabIe variabIes. We show that this may be t,he case when the omitted variabIes have a non-monotonic reIation with t,he observable ones. Moreover, because this non-monotonic reIat,ion is deepIy reIated with the failure of the SCP in one-dimensional screening problems, the existing lit.erature on asymmetric information does not capture t,his feature. Hence, our main result is to point Out the importance of t,he SCP in testing predictions of the hidden information models.

The risk of falling into the acceleration trap during a privatization process: a case study of a European telecommunication company

A privatização de uma empresa é uma mudança empresarial disruptiva que geralmente coincide com o fim de uma posição de monopólio e da subsequente entrada num ambiente competitivo. Os desafios que a privatização coloca são tão árduos que eles levam muitas vezes a liderança (leadership) para executar planos ambiciosos de mudança empresarial. No entanto, a literatura mostra que muitos deles falharam. Na verdade, esses planos preveem mudanças bruscas e importantes que tendem a empurrar a empresa privatizada na armadilha de aceleração (acceleration trap). Um tipo de “burnout organizacional” (organizational burnout) onde a exaustão e a resignação da força de trabalho afetam drasticamente o desempenho da empresa. A tese, portanto, focalizou em estudar a ligação entre um processo de privatização e o risco de cair na armadilha de aceleração. Uma investigação preliminar sobre a literatura das mudanças empresariais permitiu a concepção de um quadro preliminar teórico que sugere a existência de dois moderadores (moderators) deste relacionamento entre um processo de privatização e a armadilha de aceleração: um “choque cultural” (cultural clash) e um “fraco clima de liderança transformacional” (weak transformational leadership). Em seguida, um estudo de caso - baseado numa empresa de telecomunicações europeia e conduzido através de uma abordagem metodológico não puramente indutivo (non-purely inductive approach) - confirma, mas também aprofunda a compreensão da ação desses dois moderadores. A respeito do moderador “choque cultural” (cultural clash moderator), a análise de dados do estudo de caso da empresa de telecomunicações europeia mostra a importância exercitado tanto por um “choque de identidade corporativa” (corporate identity conflict) como por um “conflito de identidade gerencial” (management identity conflict). Quanto ao moderador “fraco liderança transformacional”, a análise dos dados destaca o papel da “falta de confiança na nova gerência” (lack of trust in the new management), mas também de “sentido do trabalho” (lack of job sense), principalmente através da perda de “orgulho no trabalho” (loss of proudness). Finalmente, a análise dos dados salienta que a “não aceitação do novo sistema de incentivos” (non-acceptance of the new incentive system) afeta significativamente a relação entre a privatização e a armadilha de aceleração, contribuindo tanto para um “choque cultural” como para um “fraco clima de liderança transformacional”.

Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Limited liability and non-responsiveness in moral hazard and adverse selection problems

This work analyses the optimal menu of contracts offered by a risk neutral principal to a risk averse agent under moral hazard, adverse selection and limited liability. There are two output levels, whose probability of occurrence are given by agent’s private information choice of effort. The agent’s cost of effort is also private information. First, we show that without assumptions on the cost function, it is not possible to guarantee that the optimal contract menu is simple, when the agent is strictly risk averse. Then, we provide sufficient conditions over the cost function under which it is optimal to offer a single contract, independently of agent’s risk aversion. Our full-pooling cases are caused by non-responsiveness, which is induced by the high cost of enforcing higher effort levels. Also, we show that limited liability generates non-responsiveness.

Mortality Risk in Insects

Understanding how and why insect numbers fluctuate through time and space has been a central theme in ecological research for more than a century. Life tables have been used to understand temporal and spatial patterns in insect numbers. In this study, we estimated cause-of-death probabilities for phytophagous insects using multiple decrement life tables and the irreplaceable mortality analytic technique. Multiple decrement life tables were created from 73 insect life tables published from 1954 to 2004. Irreplaceable mortality (the portion of mortality that cannot be replaced by another cause) from pathogens, predators, and parasitoids was 8.6 +/- 7.2, 7.8 +/- 4.9, and 6.2 +/- 1.6%, respectively. In contrast, the mean irreplaceable mortality from all non-natural enemy mortality factors (mortality from factors other than natural enemies) was 35.1 +/- 4.4%. Irreplaceable mortality from natural enemies was significantly lower compared with non-natural enemy factors. Our results may partially explain cases of unsuccessful efficacy in classical biological control, after successful establishment, by showing low irreplaceable mortality for natural enemies, including 5.2 +/- 1.6% for introduced natural enemies. We suggest that the environment (i.e., the degree of environmental stability) influences the magnitude of the irreplaceable mortality from natural enemies. Our results lead to several testable hypotheses and emphasize that it is not possible to estimate the effect of any mortality factor without considering its interaction with competing mortality factors, which has far-reaching consequences for population biology and applied ecology.

Cardiovascular fitness and cardiovascular risk factors among obese men and women aged 58 years and older, in Portugal

Background: A better physical fitness may have survival advantages in adults. Aim: To analyze the relationship between cardiorespiratory fitness and cardiovascular risk factors among obese subjects aged 58 years and older. Material and Methods: Cardiorespiratory fitness using the six-minute walk test, body composition by dual-energy x-ray absorptiometry and blood pressure were measured in a non-representative sample of 76 obese Portuguese subjects aged 58 to 87 years (55 women). Participants were stratified in tertiles of walking capacity according to the six-minute walk test. Results: Six minutes walk test results were negatively correlated with percentage body fat (r = -0.28; p = 0.012) and systolic blood pressure (r = -0.23; p = 0.045). Participants located in the lowest tertile for the six minutes walk test had an odds ratio of 4.34 (95% confidence intervals: 1.02-18.43) for elevated blood pressure. Conclusions: A lower six minutes walk test result is associated with a higher risk for high blood pressure. (Rev Med Chile 2012; 140: 1164-1169).

Influence of a probiotic soy product on fecal microbiota and its association with cardiovascular risk factors in an animal model

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

Prevalence and virulence properties of Vibrio cholerae non-O1, Aeromonas spp. and Plesiomonas shigelloides isolated from Cambe Stream (State of Parana, Brazil)

The incidence of Vibrio cholerae, Aeromonas spp, and Plesiomonas shigelloides was determined in Rater samples from Cambe Stream. The samples were collected from seven different sites. The serogroups, virulence markers and drug resistance profiles were also evaluated. Twelve. Aer. hydrophila, 12 Aer. caviae, eight Aer. sobria, seven Ple. shigelloides and two V. cholerae non-O1 were isolated. They belonged to different serogroups and all produced haemolysis in different assays. Five of the Aeromonas strains and one of V, cholerae non-O1 were positive for enterotoxin activity. Haemagglutination and its inhibition, using erythrocytes of different origins, was variable for Aeromonas spp and V. cholerae, while none of the Plt. shigelloides haemagglutinated in association with any type of erythrocyte. All isolates exhibited multiple drug resistance. These results indicate that the occurrence of V. cholerae non-O1, Aeromonas spp, and Ple. shigelloides, in water used for vegetable irrigation, human recreation and animal consumption, among others, represents a potential risk for humans.

Primary non-gestational choriocarcinoma of the uterine cervix: A case report

Background. Primary non-gestational choriocarcinoma of the female genital tract has been described in the ovaries and is very unusual in other genital sites.Case. Primary non-gestational uterine cervical choriocarcinoma was diagnosed in a patient, 32, single, without previous sexual contact nor antecedent pregnancy, admitted to the hospital with irregular vaginal hemorrhaging. Pelvic examination realized under anesthetic revealed a tumor mass occupying the uterine cervix. Metastases investigation was realized and the patient was accepted as FIGO IV: risk factor of 13. She was submitted to intensive chemotherapy and hysterectomy, showing general recovery, but died from drug-resistant disease 12 months later. Histological, immunohistochemical, and molecular genetics studies confirmed non-gestational choriocarcinoma.Conclusion. Primary non-gestational uterine cervical choriocarcinoma may arise from germ cell tumor or epithelial tissue. (c) 2005 Elsevier B.V. All rights reserved.

Geographic and Educational Factors and Risk of the First Peritonitis Episode in Brazilian Peritoneal Dialysis Study (BRAZPD) Patients

Background and objectives Peritonitis remains as the most frequent cause of peritoneal dialysis (PD) failure, impairing patient's outcome. No large multicenter study has addressed socioeconomic, educational, and geographic issues as peritonitis risk factors in countries with a large geographic area and diverse socioeconomic conditions, such as Brazil.Design, setting, participants, & measurements Incident PD patients recruited from 114 dialysis centers and reporting to BRAZPD, a multicenter observational study, from December 2004 through October 2007 were included. Clinical, dialysis-related, demographic, and socioeconomic variables were analyzed. Patients were followed up until their first peritonitis. Cox proportional model was used to determine independent factors associated with peritonitis.Results In a cumulative follow-up of 2032 patients during 22.026 patient-months, 474 (23.3%) presented a first peritonitis episode. In contrast to earlier findings, PD modality, previous hemodialysis, diabetes, gender, age, and family income were not risk predictors. Factors independently associated with increased hazard risk were lower educational level, non-white race, region where patients live, shorter distance from dialysis center, and lower number of patients per center.Conclusions Educational level and geographic factors as well as race and center size are associated with risk for the first peritonitis, independent of socioeconomic status, PD modality, and comorbidities. Clin J Am Soc Nephrol 6: 1944-1951, 2011. doi: 10.2215/CJN.11431210

Risk factors for Hospital-Acquired Pneumonia in nonventilated adults

Although most recent publications focus on Ventilator-associated Pneumonia, Non-Ventilator-associated Hospital-acquired pneumonia (NVHAP) is still worrisome. We studied risk factors for NVHAP among patients admitted to a small teaching hospital. Sixty-six NVHAP case patients and 66 controls admitted to the hospital from November 2005 through November 2006 were enrolled in a case-control study. Variables under investigation included: demographic characteristics, comorbidities, procedures, invasive devices and use of medications (Sedatives, Antacids, Steroids and Antimicrobials). Univariate and multivariable analysis (hierarchical models of logistic regression) were performed. The incidence of NVHAP in our hospital was 0.68% (1.02 per 1,000 patients-day). Results from multivariable analysis identified risk factors for NVHAP: age (Odds Ratio[OR]=1.03, 95% Confidence Interval[CI]=1.01-1.05, p=0.002), use of Antacids (OR=5.29, 95%CI=1.89-4.79, p=0.001) and Central Nervous System disease (OR=3.13, 95%CI=1.24-7.93, p=0.02). Although our findings are coherent with previous reports, the association of Antacids with NVHAP recalls a controversial issue in the physiopathology of Hospital-Acquired Pneumonia, with possible implications for preventive strategies.

Mild gestational hyperglycaemia as a risk factor for metabolic syndrome in pregnancy and adverse perinatal outcomes

Objective The aims of this study were to evaluate the prevalence of metabolic syndrome (MS) in a cohort of pregnant women with a wide range of glucose tolerance, pre-pregnancy risk factors for MS during pregnancy and the effects of MS in the occurrence of adverse perinatal outcomes.Research Design and Methods One hundred and thirty six women with positive screening for gestational diabetes (GDM) were classified by two diagnostic methods: glycaemic profile and 100 g oral glucose tolerance test (OGTT) as normoglycaemic, mild gestational hyperglycaemic, GDM, and overt GDM. Markers of insulin resistance were measured between 24-28 and 36th week of gestation, and 6 weeks after delivery.Results The prevalence of MS was 0; 20.0; 23.5 and 36.4% in normoglycaemic, mild hyperglycaemic, GDM and overt GDM groups, respectively. Previous history of GDM with or without insulin use, body mass index (BMI) >= 25, hypertension, family history of diabetes in first-degree relatives, non-Caucasian ethnicity, history of prematurity and polyhydramnios were statistically significant pre-pregnancy predictors for MS in the index pregnancy, that by its turn increased the occurrence of adverse perinatal outcomes (p = 0.01).Conclusions The prevalence of MS increases with the worsening of glucose tolerance and is an independent predictor of adverse perinatal outcomes; impaired glycaemic profile identifies pregnancies with important metabolic abnormalities that are linked to the occurrence of adverse perinatal outcomes even in the presence of a normal OGTT, in patients that are not currently classified as having GDM. Copyright (C) 2008 John Wiley & Sons, Ltd.

Genotyping of AR and PSA polymorphisms in a patient with Klinefelter syndrome, non-Hodgkin lymphoma, and adenocarcinoma of the prostate

It has been hypothesized that the AR (androgen receptor) gene binds the two PSA (prostate-specific antigen) alleles with differing affinities and may differentially influence prostate cancer risk. In this article, we report a case of adenocarcinoma of the prostate in a 56-year-old man with Klinefelter syndrome (47,XXY) and non-Hodgkin lymphoma, as well as the AR and PSA genotype. AR and PSA gene polymorphisms were analyzed by polymerase chain reaction-based methods using DNA from peripheral white blood cells and the prostate cancer. We determined the methylation status of the AR gene on the X chromosome. The patient presents with the AG genotype for the ARE-I (androgen response element) region of the PSA gene. We detect the presence of two short AR alleles with 19 and 11CAG repeats each. Unmethylated alleles were demonstrated for both. The shorter allele was inactive in more than 60% of total DNA in both control blood and prostate cancer cells. The presence of short AR alleles and the G allele of the PSA gene may contribute to the development of prostate cancer in a 47,XXY patient. (C) 2004 Elsevier B.V. All rights reserved.