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.

BlueFriends: measuring, analyzing and preventing social exclusion between elementary school students

Social exclusion is a relatively recent term, whose creation is attributed to René Lenoir(Lenoir, 1974). Its concept covers a remarkably wide range of social and economic problems, and can be triggered for various reasons: mentally and physically handicapped, abused children, delinquents, multi-problem households, asocial people, and other social “misfits” (Silver, 1995, pp. 63; Foucault, 1992). With an increasingly multi-cultural population, cultural and social inequalities rapidly ascend, bringing with them the need for educational restructuring. We are living in an evermore diverse world, and children need to be educated to be receptive to the different types of people around them, especially considering social and cultural aspects. It is with these goals that inclusive education has seen an increased trend in today’s academic environment, reminding us that even though children may be taught under the same roof, discriminatory practices might still happen. There are, however, a number of developed tools to assess the various dimensions of social networks. These are mostly based on questionnaires and interviews, which tend to be fastidious and don’t allow for longitudinal, large scale measurement. This thesis introduces BlueFriends, a Bluetooth-based measurement tool for social inclusion/exclusion on elementary school classes. The main goals behind the development of this tool were a) understanding how exclusion manifests in students’ behaviors, and b) motivating pro-social behaviors on children through the use of a persuasive technology. BlueFriends is a distributed application, comprised by an application running on several smartphones, a web-hosted database and a computer providing a visual representation of the data collected on a TV screen, attempting to influence children behaviors. The application makes use of the Bluetooth device present on each phone to continuously sample the RSSI (Received Signal Strength Indication) from other phones, storing the data locally on each phone. All of the stored data is collected, processed and then inserted into the database at the end of each day. At the beginning of each recess, children are reminded of how their behaviors affect others with the help of a visual display, which consists of interactions between dogs. This display illustrates every child’s best friends, as well as which colleagues they don’t interact with as much. Several tips encouraging social interaction and inclusiveness are displayed, inspiring children to change their behaviors towards the colleagues they spend less time with. This thesis documents the process of designing, deploying and analyzing the results of two field studies. On the first study, we assess how the current developed tools are inferior to our measuring tool by deploying a measurement only study, aimed at perceiving how much information can be obtained by the BlueFriends application and attempting to understand how exclusion manifests itself in the school environment. On the second study, we pile on the previous to try and motivate pro-social behaviors on students, with the use of visual cues and recommendations. Ultimately, we confirm that our measurement tool’s results were satisfying towards measuring and changing children’s behaviors, and conclude with our thoughts on possible future work, suggesting a number of possible extensions and improvements.

Use of lithium niobate detector for measuring X-ray intensity in mammographic range

A detector system that can measure X-ray intensity in the mammographic range of 22 to 36 kVp (equivalent photon energies ofthe beam between 11 and 15 keV) is presented. It consists of a lithium mobate detector and a high-sensitivity current-to-voltage converter.

Viscosity measuring cell using ultrasonic wave mode conversion

This work presents a cell to measure dynamic viscosity of liquids using ultrasonic wave mode conversion from longitudinal to shear wave. The strategy used to obtain the viscosity is based on the measurement of the complex reflection coefficient of shear waves at a solid-liquid interface. Viscosity measurements of automotive oils (SAE90 and SAE140) were obtained in the frequency range from 1 to 10 MHz. These results are compared with the Maxwell model with two relaxation times, showing the dependency of viscosity with frequency. Several parameters affecting viscosity measurements, including the solid material properties, liquid viscosity, and operating frequency are discussed.

PZT FOR MEASURING ENERGY FLUENCE RATE of X-RAY USED IN SUPERFICIAL CANCER THERAPY

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

An in vitro growth inhibition test for measuring the potency of Leptospira spp. Sejroe group vaccine in buffaloes

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

Validation of the Brazilian versions of two inventories for measuring oral health-related quality of life of edentulous subjects

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

Validation of ACB in vitro and in vivo as a biomagnetic method for measuring stomach contraction

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

In Vivo Models for Measuring Placental Glutatione-S-transferase (GST-P 7-7) Levels: A Suitable Biomarker for Understanding Cancer Pathogenesis

The Glutatione-S-transferases (GSTs) comprise a family of enzymes closely associated with the cell detoxification of xenobiotics. GSTs exist as homo- or heterodimers and have been grouped into at least seven distinct classes. The main function of GSTs is to catalyze the conjugation of reduced glutathione (GSH) to an electrophilic site of a broad range of potentially toxic and carcinogenic compounds, thereby making such compounds less dangerous and enabling their ready-excretion. Placental GST, known as GST-P 7-7, is the main isoform found in normal placental tissue and comprises 67% of the total GST concentration in this tissue. During development, GST-P 7-7 decreases in concentration and is absent in adult tissues. Interestingly, GST-P 7-7 expression has been detected in adult tissues after exposure to carcinogenic agents in several experimental test systems, being considered a reliable biomarker of exposure and susceptibility in early phases of carcinogenesis. In this article, we review a series of studies involving GST-P 7-7 expression as a suitable tool for understanding cancer pathogenesis, especially cancer risk.

Validity of critical frequency test for measuring table tennis aerobic endurance through specific protocol

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Measuring the spectra of high energy neutrinos with a kilometer-scale neutrino telescope

We investigate the potential of a future kilometer-scale neutrino telescope, such as the proposed IceCube detector in the South Pole, to measure and disentangle the yet unknown components of the cosmic neutrino flux, the prompt atmospheric neutrinos coming from the decay of charmed particles and the extra-galactic neutrinos in the 10 TeV to 1 EeV energy range. Assuming a power law type spectra, dphi(nu)/dE(nu)similar toalphaE(nu)(beta), we quantify the discriminating power of the IceCube detector and discuss how well we can determine magnitude (alpha) as well as slope (beta) of these two components of the high energy neutrino spectrum, taking into account the background coming from the conventional atmospheric neutrinos.

Measuring Higgs coupling to tau-leptons at future e(+)e(-) colliders

We perform a complete simulation of the process e(+)e(-) --> tau(+)tau(-)nu(ν) over bar where nu can be an electron, muon or tau neutrino, in the context of a general Higgs coupling to tau-leptons. We analyse various kinematical distributions and obtain the sensitivity regions in the parameter space that can be explored at a future e(+)e(-) collider. In particular, inclusion of W boson fusion enhances the sensitivity significantly.

Photoacoustic procedure for measuring thermal parameters of transparent solids

An application of photoacoustic technique is developed for determining the thermal diffusivity coefficient and the thermal conductivity of transparent materials. The backing material which supports the sample is made optically opaque, i.e., it entirely absorbs the incident light, and the converted heat diffuses through the sample heating the gas in contact with its opposite surface. The method is illustrated by fitting voltage amplitude and phase signals versus the chopping frequency in the photoacoustic cell, according to a theoretical model of heat diffusion. Thermal parameters obtained for three polymers compare very well with results from the literature. (C) 1995 American Institute of Physics.