Ensaios em gestão de risco e regulação bancária

Esta tese é constituída por três ensaios. O primeiro ensaio analisa a informação pública disponível sobre o risco das carteiras de crédito dos bancos brasileiros, sendo dividido em dois capítulos. O primeiro analisa a limitação da informação pública disponibilizada pelos bancos e pelo Banco Central, quando comparada a informação gerencial disponível internamente pelos bancos. Concluiu-se que existe espaço para o aumento da transparência na divulgação das informações, fato que vem ocorrendo gradativamente no Brasil através de novas normas relacionadas ao Pilar 3 de Basileia II e à divulgação de informações mais detalhas pelo Bacen, como, por exemplo, aquelas do “Top50” . A segunda parte do primeiro ensaio mostra a discrepância entre o índice de inadimplência contábil (NPL) e a probabilidade de inadimplência (PD) e também discute a relação entre provisão e perda esperada. Através da utilização de matrizes de migração e de uma simulação baseada na sobreposição de safras de carteira de crédito de grandes bancos, concluiu-se que o índice de inadimplência subestima a PD e que a provisão constituída pelos bancos é menor que a perda esperada do SFN. O segundo ensaio relaciona a gestão de risco à discriminação de preço. Foi desenvolvido um modelo que consiste em um duopólio de Cournot em um mercado de crédito de varejo, em que os bancos podem realizar discriminação de terceiro grau. Neste modelo, os potenciais tomadores de crédito podem ser de dois tipos, de baixo ou de alto risco, sendo que tomadores de baixo risco possuem demanda mais elástica. Segundo o modelo, se o custo para observar o tipo do cliente for alto, a estratégia dos bancos será não discriminar (pooling equilibrium). Mas, se este custo for suficientemente baixo, será ótimo para os bancos cobrarem taxas diferentes para cada grupo. É argumentado que o Acordo de Basileia II funcionou como um choque exógeno que deslocou o equilíbrio para uma situação com maior discriminação. O terceiro ensaio é divido em dois capítulos. O primeiro discute a aplicação dos conceitos de probabilidade subjetiva e incerteza Knigthiana a modelos de VaR e a importância da avaliação do “risco de modelo”, que compreende os riscos de estimação, especificação e identificação. O ensaio propõe que a metodologia dos “quatro elementos” de risco operacional (dados internos, externos, ambiente de negócios e cenários) seja estendida à mensuração de outros riscos (risco de mercado e risco de crédito). A segunda parte deste último ensaio trata da aplicação do elemento análise de cenários para a mensuração da volatilidade condicional nas datas de divulgação econômica relevante, especificamente nos dias de reuniões do Copom.

The effect of default risk on trading book capital requirements for public equities : an irc application for the Brazilian market

Esse é um dos primeiros trabalhos a endereçar o problema de avaliar o efeito do default para fins de alocação de capital no trading book em ações listadas. E, mais especificamente, para o mercado brasileiro. Esse problema surgiu em crises mais recentes e que acabaram fazendo com que os reguladores impusessem uma alocação de capital adicional para essas operações. Por essa razão o comitê de Basiléia introduziu uma nova métrica de risco, conhecida como Incremental Risk Charge. Essa medida de risco é basicamente um VaR de um ano com um intervalo de confiança de 99.9%. O IRC visa medir o efeito do default e das migrações de rating, para instrumentos do trading book. Nessa dissertação, o IRC está focado em ações e como consequência, não leva em consideração o efeito da mudança de rating. Além disso, o modelo utilizado para avaliar o risco de crédito para os emissores de ação foi o Moody’s KMV, que é baseado no modelo de Merton. O modelo foi utilizado para calcular a PD dos casos usados como exemplo nessa dissertação. Após calcular a PD, simulei os retornos por Monte Carlo após utilizar um PCA. Essa abordagem permitiu obter os retornos correlacionados para fazer a simulação de perdas do portfolio. Nesse caso, como estamos lidando com ações, o LGD foi mantido constante e o valor utilizado foi baseado nas especificações de basiléia. Os resultados obtidos para o IRC adaptado foram comparados com um VaR de 252 dias e com um intervalo de confiança de 99.9%. Isso permitiu concluir que o IRC é uma métrica de risco relevante e da mesma escala de uma VaR de 252 dias. Adicionalmente, o IRC adaptado foi capaz de antecipar os eventos de default. Todos os resultados foram baseados em portfolios compostos por ações do índice Bovespa.

A simple approach to integrate the ecotoxicological and chemical data for the establishment of environmental risk levels

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

Avaliação de impacto ambiental e gestão dos recursos natuarias no estuário Apodi Mossoró, nordeste do Brasil

The aim of this study is to investigate the eco-environmental vulnerability, its changes, and its causes to develop a management system for application of eco-environmental vulnerability and risk assessment in the Apodi-Mossory estuary, Northeast Brazil. This analysis is focused on the interference of the landscape conditions, and its changes, due to the following factors: the oil and natural gas industry, tropical fruits industry, shrimp farms, marine salt industry, occupation of the sensitive areas; demand for land, vegetation degradation, siltation in rivers, severe flooding, sea level rise (SLR), coastal dynamics, low and flat topography, high ecological value and tourism in the region and the rapid growth of urbanization. Conventional and remote sensing data were analyzed using modeling techniques based on ArcGIS, ER-Mapper, ERDAS Imagine and ENVI software. Digital images were initially processed by Principal Component Analysis and transformation of the maximum fraction of noise, and then all bands were normalized to reduce errors caused by bands of different sizes. They were integrated in a Geographic Information System analysis to detect changes, to generate digital elevation models, geomorphic indices and other variables of the study area. A three band color combination of multispectral bands was used to monitor changes of land and vegetation cover from 1986 to 2009. This task also included the analysis of various secondary data, such as field data, socioeconomic data, environmental data and prospects growth. The main objective of this study was to improve our understanding of eco-environmental vulnerability and risk assessment; it´s causes basically show the intensity, its distribution and human-environment effect on the ecosystem, and identify the high and low sensitive areas and area of inundation due to future SLR, and the loss of land due to coastal erosion in the Apodi-Mossoró estuary in order to establish a strategy for sustainable land use. The developed model includes some basic factors such as geology, geomorphology, soils, land use / land cover, vegetation cover, slope, topography and hydrology. The numerical results indicate that 9.86% of total study area was under very high vulnerability, 29.12% high vulnerability, 52.90% moderate vulnerability and 2.23% were in the category of very low vulnerability. The analysis indicates that 216.1 km² and 362.8 km² area flooded on 1m and 10m in sea levels respectively. The sectors most affected were residential, industrial and recreational areas, agricultural land, and ecosystems of high environmental sensitivity. The results showed that changes in eco-environmental vulnerability have a significant impact on the sustainable development of the RN state, since the indicator is a function of sensitivity, exposure and status in relation to a level of damage. The model were presented as a tool to assist in indexing vulnerability in order to optimize actions and assess the implications of decisions makers and policies regarding the management of coastal and estuarine areas. In this context aspects such as population growth, degradation of vegetation, land use / land cover, amount and type of industrialization, SLR and government policies for environmental protection were considered the main factors that affect the eco-environmental changes over the last three decades in the Apodi-Mossoró estuary.

Assessment of genetic damage induced by dental bleaching agents on mouse lymphoma cells by single cell gel (comet) assay

Dental bleaching is a simple and conservative procedure for aesthetic restoration of vital discoloured teeth. However, dental bleaching agents may represent a hazard to human health, especially by causing DNA strand breaks. Genotoxicity tests form an important part of cancer research and risk assessment of potential carcinogens. In the current study, the genotoxic potential associated with exposure to dental bleaching agents was assessed by the single cell gel (comet) assay in vitro. Six commercial dental bleaching agents (Clarigel Gold - Dentsply; Whitespeed - Discus Dental; Nite White - Discus Dental; Magic Bleaching - Vigodent; Whiteness HP - FGM and Lase Peroxide - DMC) were exposed to mouse lymphoma cells in vitro. The results pointed out that all dental bleaching agents tested contributed to the DNA damage as depicted by the mean tail moment. Clear concentration-related effects were obtained for DNA damaging, being the strongest effect observed at the highest dose of the hydrogen peroxide (Whiteness HP and Lase Peroxide, at 35% concentration). on the contrary, Whitespeed (Discus Dental) induced the lowest level of DNA breakage. Taken together, these results suggest that dental bleaching agents may be a factor that increases the level of DNA damage as detected by the single cell gel (comet) assay.

Economic viability and selection of irrigation systems using simulation and stochastic dominance

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

Pancreatic β-cell defects in women at risk of type 2 diabetes

We evaluated insulin release and insulin sensitivity in women with basal and/or postprandial hyperglycemia but normal oral glucose tolerance test (OGTT) in previous pregnancy (GHG). These women were individually matched with females without previous hyperglycemia (NGT). Both groups consisted of normal glucose-tolerant women at the time of this study. They underwent OGTT (75g; n= 32 pairs) and hyperglycemic clamp experiments (10mmoll-1; n=27 pairs) with plasma glucose, insulin, and C-peptide measurements and calculation of insulinogenic index, first- and second-phase insulin release, and insulin sensitivity index (ISI). The GHG group showed higher glycosylated hemoglobin levels (6.2±0.6% versus 5.8±0.8%; P<0.05); lower insulinogenic index at 30min (134.03±62.69pmolmmol-1 versus 181.59±70.26pmolmmoll-1; P<0.05) and diminished C-peptide response in relation to glucose (4.05±0.36nmolmmol-1 versus 4.23±0.36nmolmmol-1; P<0.05) at OGTT. Both groups did not show difference in insulin secretion and ISI by hyperglycemic clamp technique. We concluded that in up to 12 years from index pregnancy, women with previous GHG, presenting normal glucose tolerance and well-matched with their controls, showed β-cell dysfunction without change in ISI. As women with previous GHG are at risk of type 2 diabetes, β-cell dysfunction may be its primary defect. © 2003 Elsevier B.V. All rights reserved.

Polymorphisms of DNA repair genes XRCC1 and XRCC3, interaction with environmental exposure and risk of chronic gastritis and grastic cancer

Aim: To evaluate the association between polymorphisms XRCC1 Arg194Trp and Arg399Gln and XRCC3 Thr241Met and the risk for chronic gastritis and gastric cancer, in a Southeastern Brazilian population. Methods: Genotyping by PCR-RFLP was carried out on 202 patients with chronic gastritis (CG) and 160 patients with gastric cancer (GC), matched to 202 (C1) and 150 (C2) controls, respectively. Results: No differences were observed among the studied groups with regard to the genotype distribution of XRCC1 codons 194 and 399 and of XRCC3 codon 241. However, the combined analyses of the three variant alleles (194Trp, 399Gln and 241Met) showed an increased risk for chronic gastritis when compared to the GC group. Moreover, an interaction between the polymorphic alleles and demographic and environmental factors was observed in the CG and GC groups. XRCC1 194Trp was associated with smoking in the CG group, while the variant alleles XRCC1 399Gln and XRCC3 241Met were related with gender, smoking, drinking and H pylori infection in the CG and GC groups. Conclusion: Our results showed no evidence of a rela-tionship between the polymorphisms XRCC1 Arg194Trp and Arg399Gln and XRCC3 Thr241Met and the risk of chronic gastritis and gastric cancer in the Brazilian population, but the combined effect of these variants may interact to increase the risk for chronic gastritis, considered a premalignant lesion. Our data also indicate a gene-environment interaction in the susceptibility to chronic gastritis and gastric cancer. © 2005 The WJG Press and Elsevier Inc. All rights reserved.

Chronological Monte Carlo-based assessment of distribution system reliability

Regulatory authorities in many countries, in order to maintain an acceptable balance between appropriate customer service qualities and costs, are introducing a performance-based regulation. These regulations impose penalties, and in some cases rewards, which introduce a component of financial risk to an electric power utility due to the uncertainty associated with preserving a specific level of system reliability. In Brazil, for instance, one of the reliability indices receiving special attention by the utilities is the Maximum Continuous Interruption Duration per customer (MCID). This paper describes a chronological Monte Carlo simulation approach to evaluate probability distributions of reliability indices, including the MCID, and the corresponding penalties. In order to get the desired efficiency, modern computational techniques are used for modeling (UML -Unified Modeling Language) as well as for programming (Object- Oriented Programming). Case studies on a simple distribution network and on real Brazilian distribution systems are presented and discussed. © Copyright KTH 2006.

Mapping hazard risk: A case study of Ubatuba, Brazil

Steep slopes in subtropical zones are always at risk from landslides. The risk greatly increases when there is rapid, unplanned urban growth. This has happened at Ubatuba on the Brazilian coast - tourism-related development has forced local people into narrow valleys with steep slopes. In this article the authors describe how the hazard risk can be mapped, helping the local authorities to control the problem.

Risk of metabolic syndrome in postmenopausal breast cancer survivors

The aim of this study was to assess the risk of metabolic syndrome (MetS) in postmenopausal breast cancer survivors as compared with postmenopausal women without breast cancer. METHODS: In this cross-sectional study, 104 postmenopausal breast cancer survivors were compared with 208 postmenopausal women (controls) attending a university hospital. Eligibility criteria included the following: amenorrhea longer than 12 months and aged 45 years or older, treated for breast cancer, and metastasis-free for at least 5 years. The control group consisted of women with amenorrhea longer than 12 months and aged 45 years or older and without breast cancer, matched by age and menopause status (in a proportion of 1:2 as sample calculation). Clinical and anthropometric data were collected. Biochemical parameters, including total cholesterol, high-density lipoprotein cholesterol, low-density lipoprotein cholesterol, triglycerides, glucose, and C-reactive protein, were measured. Women showing three or more diagnostic criteria were diagnosed as having MetS: waist circumference of 88 cm or larger, blood pressure of 130/85 mm Hg or higher, triglycerides level of 150 mg/dL or higher, high-density lipoprotein cholesterol level lower than 50 mg/dL, and glucose level of 100 mg/dL or higher. For statistical analysis, Student's t test, χ2 test, and logistic regression (odds ratio [OR]) were used. RESULTS: The mean (SD) age of breast cancer survivors was 60.6 (8.6) years, with a mean (SD) follow-up of 9.4 (4.4) years. A higher percentage of breast cancer survivors (46.2%) were obese as compared with controls (32.7%; P < 0.05), and a smaller percentage showed optimal values for low-density lipoprotein cholesterol, glucose, and C-reactive protein versus controls (P < 0.05). MetS was diagnosed in 50% of breast cancer survivors and in 37.5% of control group women (P < 0.05). Among the MetS diagnostic criteria, the most prevalent was abdominal obesity (waist circumference >88 cm), affecting 62.5% and 67.8% of the participants, respectively. In the control group, breast cancer survivors had a higher risk for MetS (OR, 1.66; 95% CI, 1.04-2.68), dysglycemia (OR, 1.05; 95% CI, 1.09-3.03), and hypertension (OR, 1.71; 95% CI, 1.02-2.89). CONCLUSIONS: Postmenopausal breast cancer survivors present a higher risk of developing MetS as compared with women without breast cancer. © 2012 by The North American Menopause Society.

Season of birth as a risk factor for multiple sclerosis in Brazil

Risk factors for development of multiple sclerosis (MS) are still a matter of debate. Latitude gradient, vitamin D deficiency and season of birth are among the most investigated environmental factors associated with the disease. Several international studies suggest that birth in spring is a substantial risk factor for MS. We investigated the season of birth as a potential risk for MS in different geographical regions of Brazil. We conducted a cross-sectional retrospective study with 2257 clinically definite MS patients enrolled in 13 Brazilian MS clinics in the south, southeast, and northeast regions of Brazil. Demographic and clinical data relating to date of birth and clinical features of the disease were collected and analysed, and subsequently compared with birth date among the general Brazilian population. The distribution of date of birth of MS patients showed an increase in spring and a decrease in autumn, with no difference being observed in the other seasons. In conclusion, season of birth is a probable risk factor for MS in most parts of Brazil. These findings may be related to the role that vitamin D plays in MS pathogenesis. © 2013 Elsevier B.V. All rights reserved.

Risk/investment-driven transmission expansion planning with multiple scenarios

This study presents a new methodology based on risk/investment to solve transmission network expansion planning (TNEP) problem with multiple future scenarios. Three mathematical models related to TNEP problems considering multiple future generation and load scenarios are also presented. These models will provide planners with a meaningful risk assessment that enable them to determine the necessary funding for transmission lines at a permissible risk level. The results using test and real systems show that the proposed method presents better solutions compared with scenario analysis method. ©The Institution of Engineering and Technology 2013.

Report of the meeting on methodologies for disaster assessment-a regional approach

.--Background.--Agenda item 1 Welcome and opening remarks.--Agenda item 2 The Vulnerability of Small Island Developing States.--Agenda item 3 Methodologies for Risk Reduction at the Community Level.--Agenda item 4 Methodologies for Disaster Impact Assessment.--Agenda item 5 Ongoing Initiatives in Disaster Risk Reduction.--Agenda item 6 Optimizing the use of existing methodologies for addressing disasters.--Agenda item 7 Innovative financing mechanisms for risk reduction.--Agenda item 8 Regional collaboration for disaster risk reduction.--Agenda item 9 Simulation exercise.--Agenda item 10 Wrap-up, reflection and charting the way forward.--The Way Forward.--Immediate Tasks.--Annex - List of Participants.