Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Legal enforcement, collateral and heterogeneity of project financing contracts

This paper employs mechanism design to study the effects of imperfect legal enforcement on optimal scale of projects, borrowing interest rates and the probability of default. The analysis departs from an environment that combines asymmetric information about cash flows and limited commitment by borrowers. Incentive for repayment comes from the possibility of liquidation of projects by a court, but courts are costly and may fail to liquidate. The value of liquidated assets can be used as collateral: it is transferred to the lender when courts liquidate. Examples reveal that costly use of courts may be optimal, which contrasts with results from most limited commitment models, where punishments are just threats, never applied in optimal arrangements. I show that when voluntary liquidation is allowed, both asymmetric information and uncertainty about courts are necessary conditions for legal punishments ever to be applied. Numerical solutions for several parametric specifications are presented, allowing for heterogeneity on initial wealth and variability of project returns. In all such solutions, wealthier individuals borrow with lower interest rates and run higher scale enterprises, which is consistent with stylized facts. The reliability of courts has a consistently positive effect on the scale of projects. However its effect on interest rates is subtler and depends essentially on the degree of curvature of the production function. Numerical results also show that the possibility of collateral seizing allows comovements of the interest rates and the probability of repayment.

Exclusivity contracts and competition : the case of the Brazilian fuels market

Exclusivity contracts can help stations by providing brand-value that allows them to obtain higher profits, relative to unbranded retailers. However, branded retailers may have a stronger negative effect over its competitors’ profits. It is not clear which one of these two effects dominates (brand-value vs competition effect). Therefore, the impact of exclusivity over the number of participants in the downstream market is not determined. In this paper, I empirically study the effects of exclusivity agreements on competition in the Brazilian gasoline sector. In order to do so, I estimate an entry model of endogenous product-type choices using data of retailers’ locations and contract choices along with data from the 2010 Brazilian Census. I use my estimates to simulate entry decisions under two counterfactual scenarios: i) mandatory exclusivity and ii) no exclusivity.

Evaluation of anti-inflammatory activity of derivatives from aerial parts of Baccharis uncinella

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

Investigation of the two-photon absorption cross-section in perylene tetracarboxylic derivatives: Nonlinear spectra and molecular structure

We investigated the 2PA absorption spectrum of a family of perylene tetracarboxylic derivatives ( PTCDs): bis( benzimidazo) perylene ( AzoPTCD), bis( benzimidazo) thioperylene ( Monothio BZP), n-pentylimidobenzimidazoperylene ( PazoPTCD), and bis( n-butylimido) perylene ( BuPTCD). These compounds present extremely high two-photon absorption, which makes them attractive for applications in photonics devices. The two-photon absorption cross-section spectra of perylene derivatives obtained via Z-scan technique were fitted by means of a sum-over-states ( SOS) model, which described with accuracy the different regions of the 2PA cross-section spectra. Frontier molecular orbital calculations show that all molecules present similar features, indicating that nonlinear optical properties in PTCDs are mainly determined by the central portion of the molecule, with minimal effect from the lateral side groups. In general, our results pointed out that the differences in the 2PA cross-sections among the compounds are mainly due to the nonlinearity resonance enhancement.

Two-photon absorption in perylene derivatives

This work reports on the two-photon absorption (2PA) cross-section for bis (n-butylimido) perylene (BuPTCD), bis (benzimidazo) perylene (AzoPTCD), bis (benzimidazo) thioperylene (Monothio BZP), bis (phenethylimido) perylene (PhPTCD), bis (benzylimido) perylene (BePTCD) and n-pentylimido-benzimidazo perylene (PAzoPTCD) solutions measured using the Z-scan technique with femtosecond laser pulses at 775 nm. All perylene derivatives studied present large 2PA cross-sections, only comparable to the best ones reported in the literature. The experimental 2PA cross-sections obtained for each PTCD compound are in good agreement with a simplified sum-over-state calculation. The results of the present work indicates perylene derivatives as promising materials for two-photon applications. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Perylene derivatives with large two-photon-absorption cross-sections for application in optical limiting and upconversion lasing

Perylene tetracarboxylic derivatives (PTCDs) display exceptionally high two-photon absorption (2PA) cross-sections (6, see Figure). In addition, the 2PA saturation behavior and strong two-photon-pumped fluorescence suggest that PTCD compounds may be attractive candidates for applications in optical limiting and two-photon-pumped upconversion lasing.

Topliss method in the optimization of salicylic acid derivatives as potential antimycobacterial agents

The Topliss method was used to guide a synthetic path in support of drug discovery efforts toward the identification of potent antimycobacterial agents. Salicylic acid and its derivatives, p-chloro, p-methoxy, and m-chlorosalicylic acid, exemplify a series of synthetic compounds whose minimum inhibitory concentrations for a strain of Mycobacterium were determined and compared to those of the reference drug, p-aminosalicylic acid. Several physicochemical descriptors (including Hammett's sigma constant, ionization constant, dipole moment, Hansch constant, calculated partition coefficient, Sterimol-L and -B-4 and molecular volume) were considered to elucidate structure-activity relationships. Molecular electrostatic potential and molecular dipole moment maps were also calculated using the AM1 semi-empirical method. Among the new derivatives, m-chlorosalicylic acid showed the lowest minimum inhibitory concentration. The overall results suggest that both physicochemical properties and electronic features may influence the biological activity of this series of antimycobacterial agents and thus should be considered in designing new p-aminosalicylic acid analogs.

Synthesis and in vitro anti Mycobacterium tuberculosis activity of a series of phthalimide derivatives

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

Searching for gallium bioactive compounds: Gallium(III) complexes of tridentate salicylaldehyde semicarbazone derivatives

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

Synthesis and Anti-Mycobacterium tuberculosis Evaluation of Aza-Stilbene Derivatives

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

TNF-alpha, H2O2 and NO response of peritoneal macrophages to Yersinia enterocolitica O : 3 derivatives

In this study, the effect of Yersinia derivatives on nitric oxide (NO), hydrogen peroxide (H2O2) and tumor necrosis factor-alpha (TNF-alpha) production by murine peritoneal macrophages was investigated. Addition of lipopolysaccharide (LPS) to the macrophage culture resulted in NO production that was dose dependent. on the other hand, bacterial cellular extract (CE) and Yersinia outer proteins (Yops) had no effect on NO production. The possible inhibitory effect of Yops on macrophage cultures stimulated with LPS was investigated. Yops partially inhibited NO production (67.4%) when compared with aminoguanidine. The effects of Yersinia derivatives on H2O2 production by macrophages were similar to those on NO production. LPS was the only derivative that stimulated H2O2 release in a dose-dependent manner. All Yersinia derivatives provoked the production of TNF-alpha, but LPS had the strongest effect, as observed for NO production. CE and Yops stimulated TNF-alpha production to a lesser extent than LPS. The results indicate the possibility that in vivo Yops may aid the evasion of the bacteria from the host defense mechanism by impairing the secretion of NO by macrophages. (C) 2003 Elsevier SAS. All rights reserved.

Mutagenicity of paepalantine dimer and glycoside derivatives from Paepalanthus bromelioides

The first isocoumarin isolated from the methylene chloride extract of Paepalanthus bromelioides, named paepalantine (isocoumarin 1), was found to have antimicrobial activity; but, it is mutagenic clastogenic and cytotoxic. Two other isocoumarins, paepalantine-9-O-beta-D-glucopyranoside (isocoumarin 2) and paepalantine-9-O-beta-D-allopyranosyl(1-->6) glucopyranoside (isocoumarin 3) were isolated from the ethanolic extract. A fourth new isocoumarin, also isolated from the methylene chloride extract of the capitula of P. bromelioides, was characterized as an 8-8' dimer of paepalantine and denominated isocoumarin 4. The abilities of isocoumarins 2, 3 and 4 to induce mutations in Salmonella typhimurium strains TA97a, TA98, TA100 and TA102 were investigated. Mutagenic activity was observed in strain TA97a treated with isocoumarin 2 in the presence of S9 mixture. The substitution of H at position 9 by glucose or glucose-allose caused reductions in the mutagenic activities of paepalantine, indicating this to be an important site for these properties. (C) 2003 Elsevier Ltd. All rights reserved.

Design, Synthesis, and Pharmacological Evaluation of Novel Hybrid Compounds to Treat Sickle Cell Disease Symptoms. Part II: Furoxan Derivatives

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