Risk parity: True versus naive approach

This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.

Methicillin-resistant Staphylococcus aureus bloodstream infection: risk factors and clinical outcome in non-intensive-care units

INTRODUCTION: Methicillin-resistant Staphylococcus aureus (MRSA) is spread out in hospitals across different regions of the world and is regarded as the major agent of nosocomial infections, causing infections such as skin and soft tissue pneumonia and sepsis. The aim of this study was to identify risk factors for methicillin-resistance in Staphylococcus aureus bloodstream infection (BSI) and the predictive factors for death. METHODS: A retrospective cohort of fifty-one patients presenting bacteraemia due to S. aureus between September 2006 and September 2008 was analysed. Staphylococcu aureus samples were obtained from blood cultures performed by clinical hospital microbiology laboratory from the Uberlândia Federal University. Methicillinresistance was determined by growth on oxacillin screen agar and antimicrobial susceptibility by means of the disk diffusion method. RESULTS: We found similar numbers of MRSA (56.8%) and methicillin-susceptible Staphylococcus aureus (MSSA) (43.2%) infections, and the overall hospital mortality ratio was 47%, predominantly in MRSA group (70.8% vs. 29.2%) (p=0.05). Age (p=0.02) was significantly higher in MRSA patients as also was the use of central venous catheter (p=0.02). The use of two or more antimicrobial agents (p=0.03) and the length of hospital stay prior to bacteraemia superior to seven days (p=0.006) were associated with mortality. High odds ratio value was observed in cardiopathy as comorbidity. CONCLUSIONS: Despite several risk factors associated with MRSA and MSSA infection, the use of two or more antimicrobial agents was the unique independent variable associated with mortality.

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

Intervenção da fisiopetarpia em indivíduos com osteoartrose do joelho: características da prática clínica e resultados obtidos em contexto de prática convencionada

RESUMO: Introdução: A osteoartrose do joelho em particular constitui uma das maiores causas de incapacidades no dia-a-dia, morbilidade e aumento dos custos de saúde na população, na medida em que é uma condição que quando sintomática progride para um padrão que incluí dor articular, perda de força, incapacidade para a marcha e redução da aptidão física. A sua prevalência aumenta com a idade, 7% entre pessoas dos 65-70 anos, e 11,2% para aqueles com 80 anos ou mais, pouco variando entre os estudos existentes. Um recente estudo da Organização Mundial da Saúde (OMS) refere que a osteoartrose é a quarta causa mais importante de incapacidade entre as mulheres e a oitava entre os homens. Objetivo do estudo: Descrever a intervenção da fisioterapia em contexto de prática clínica convencionada e os resultados obtidos em indivíduos com OA, ao nível da intensidade da dor, capacidade funcional e perceção global de melhoria. Desenho Metodológico: Trata-se de um Estudo de coorte prospetivo onde foram incluídos indivíduos de ambos os géneros, entre os 60 e os 80 anos, com osteoartrose do joelho referenciada clinicamente. Após o consentimento informado, os pacientes foram, avaliados em quatro momentos: num primeiro momento (T0), antes de iniciarem o tratamento; (T1) após 4 semanas do início do tratamento; (T2) coincidente com o final do tratamento; e (T3) 3 meses após o início do tratamento. Foi utilizado um Questionário de Caracterização Sócio-Demográfica e Clínica, a Escala numérica da dor – END, o questionário KOOS (Knee Injury and Osteoarthritis Outcome Score) e a versão portuguesa da Patient Global Impression Change (PGIC-PT). A base de seleção dos indivíduos foi realizada numa clínica convencionada do Algarve. Resultados: Foi observado um aumento significativo em todos os outcomes avaliados pelo KOOS, END e PGIC num período até 3 meses após a intervenção. Na avaliação da END em T3 o valor da média foi de 1,63(±0,71). Para o KOOS nas subescalas Sintomas foi de 87,60(±5,86), Dor 85,71(±3,99), AVD 78,23(±3,48), ADL 67,71(±7,16), QV 80,71(±9,14), para a PGIC-AVD 5,29(±0,57), PGIC-DOR 5,97(±0,61). Os resultados obtidos pelo teste de Friedman, revelaram um valor de p<0,005. Assim, a melhoria da incapacidade funcional reportada pelos participantes neste grupo é estatisticamente diferente, e de forma significativa nos diferentes momentos de recolha de dados, durante e após o tratamento (X2 (3)=208,862, p<0,005)/ (X2(3)=205,041, p<0,005). Por fim os valores do somatório dos participantes, que estão inseridos em no grupo dos “Bons Resultados”( ≥5) foi de 27,14% em T0 passando para 100,00% em T3, enquanto que o grupo dos “Maus Resultados”(<5) foi de 72,86% em T0 e 100% em T3. Conclusão: Os resultados do presente estudo sugerem que a intervenção da Fisioterapia efetuadas em clínicas convencionadas nos casos da Osteoartrose do joelho são efetivas na redução significativa dos níveis de dor e incapacidade funcional e na Perceção global de melhoria em pacientes com Osteoartrose do joelho. ---------- ABSTRACT: Introduction: Osteoarthritis of the knee in particular is a major cause of disabilities in their day-to-day morbidity and increased healthcare costs in the population, in that it is a disease that when symptomatic progresses to a pattern that included joint pain, strength loss, inability to walk and reduction of physical fitness. It is referred as a risk factor for falls and fractures. Its prevalence increases with age, 7% of people between 65-70 years, and 11.2% for those aged 80 or more, ranging from some existing studies. A recent study by the World Health Organization (WHO) reports that osteoarthritis is the fourth leading cause of disability among women and eighth among men. Objective: To describe the characteristics and the outcomes of the physiotherapy practice in patients with knee osteoarthritis. Methodology: A prospective cohort study, with 70 individuals, aged between 60 and 80 years with the diagnosis of knee osteoarthritis and referred to physiotherapy treatment, was carried out. After informed consent, patients were evaluated in four different moments: at baseline (T0), before starting treatment; 4 weeks after starting their treatment (T1); 8 weeks after starting their treatment (T2); and in a 3 months follow-up (T3). Patients were assessed for their socio-demographic and clinical characteristics, pain intensity (using the numeric pain rating scale- NRS), disability (using the Knee Injury and Osteoarthritis Outcome Score), and for their global impression of change (using the Portuguese version of the Patient Glogal Impression of Change scale). Results: The findings of this study indicate a significant increase in all outcomes assessed (pain, disability and global impression of change), during and after the physiotherapy treatment. At T3, the average value for the NRS was 1.63 (± 0.71). For KOOS in the symptoms subscales was 87.60 (± 5.86), pain 85.71 (± 3.99), ADL 78.23 (± 3.48), ADL 67.71 (± 7.16), QV 80.71 (± 9.14) for the PGIC-AVD 5.29 (± 0.57), PGIC-PAIN 5.97 (± 0.61). The results obtained though the Friedman test revealed a p-value <0.005. Thus, the improvement of functional capacity reported by participants in the group was statistically different at the different moments of data collection, during and after treatment (X 2 (3) = 208.862, p <0.005) / (X 2 (3) = 205.041, p <0.005). Conclusion: The results of this study show that the physiotherapy treatments made on agreed clinics in cases of osteoarthritis of the knee, are effective in significant reduction in the levels of pain and disability and in perception of overall improvement perception in patients with osteoarthritis of the Knee.

HAART: a risk factor for development of porphyria cutanea tarda?

Porphyria cutanea tarda (PCT) is caused by inherited or acquired partial deficiency of the uroporphyrinogen-decarboxylase (Uro-D) enzyme activity. It is the most common form of porphyria. The main triggering factors to the development of porphyria cutanea tarda are alcohol, hepatitis C virus and human immunodeficiency virus. There are several reports of PCT associated with drugs, among them, antiretroviral therapy. We describe three HIV-positive patients, which showed photosensitivity as well as the emergence of tense blisters on sun-exposed areas during the use of highly active antiretroviral therapy (HAART) and discuss the possibility of PCT after the use of these drugs by those patients.

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Systemic risk for financial institutions in UK

Marginal Expected Shortfall (MES) is an approach used to measure the systemic risk financial institutions face. It estimates how significantly systemic events (poor market performance, out of 1.6 times Standard Deviation borders) are expected to affect market capitalization of a particular firm. The concept was developed in the late 2000s and is widely used for cross-country comparisons of financial firms. For the purposes of generalization of this technique it is often used with market data containing non-domestic currencies for some financial firms. That may lead to results having currency noise in them as it is shown for 77 UK financial firms in our analysis between 2001 and 2014.

Prevalence and risk factors for Toxoplasma gondii infection among pregnant and postpartum women attended at public healthcare facilities in the City of Niterói, State of Rio de Janeiro, Brazil

IntroductionTo determine the prevalence of immunoglobulin G (IgG) and immunoglobulin M (IgM) anti-Toxoplasma gondii antibodies among pregnant and postpartum women attended within the public healthcare system in Niterói, State of Rio de Janeiro, and to detect possible exposure factors associated with T. gondii infection in this population.MethodsIgM and IgG anti-T. gondii antibodies were investigated in 276 pregnant and 124 postpartum women by using the indirect immunofluorescence (IFAT) and immunoenzymatic assay (ELISA) techniques. The participants were selected by convenience sampling. All these 400 patients filled out a free and informed consent statement, answered an epidemiological questionnaire and were informed about the disease.ResultsAmong the 400 samples analyzed, 234 (58.5%) were reactive to IgG anti-T. gondii antibodies, according to the IFAT and/or ELISA assay. One pregnant woman was found to be reactive to IgM anti-T. gondii antibodies, with an intermediate IgG avidity test. Risk factor analysis showed that seropositivity was significantly associated (p<0.05) with age, contact with cats and presence of rodents at home. Through a logistic regression model, these associations were confirmed for age and contact with cats, while education at least of the high school level was found to be a protective factor.ConclusionsThe prevalence rate of IgG anti-T. gondii antibodies in the City of Niterói was high and the risk factors for infection detected after multivariate analysis were: age over 30 years, contact with cats and education levels lower than university graduate level.

Spatial distribution of leprosy in areas of risk in Vitoria, State of Espirito Santo, Brazil, 2005 to 2009

Introduction Leprosy remains a relevant public health issue in Brazil. The objective of this study was to analyze the spatial distribution of new cases of leprosy and to detect areas with higher risks of disease in the City of Vitória. Methods The study was ecologically based on the spatial distribution of leprosy in the City of Vitória, State of Espírito Santo between 2005 and 2009. The data sources used came from the available records of the State Health Secretary of Espírito Santo. A global and local empirical Bayesian method was used in the spatial analysis to produce a leprosy risk estimation, and the fluctuation effect was smoothed from the detection coefficients. Results The study used thematic maps to illustrate that leprosy is distributed heterogeneously between the neighborhoods and that it is possible to identify areas with high risk of disease. The Pearson correlation coefficient of 0.926 (p = 0.001) for the Local Method indicated highly correlated coefficients. The Moran index was calculated to evaluate correlations between the incidences of adjoining districts. Conclusions We identified the spatial contexts in which there were the highest incidence rates of leprosy in Vitória during the studied period. The results contribute to the knowledge of the spatial distribution of leprosy in the City of Vitória, which can help establish more cost-effective control strategies because they indicate specific regions and priority planning activities that can interfere with the transmission chain.

Enterprise risk management adoption: An empirical investigation of its effects on firm performance

Enterprise Risk Management (ERM) is gaining relevance among financial and non-financial companies but its benefits still are uncertain. This paper aims at investigating the relationship between ERM adoption and firm performance based on a sample of 1130 non-financial companies belonging to the STOXX® index. A content analysis of individual accounts is performed to distinguish adopters, and a regression analysis explores the effect of ERM adoption on firm performance, proxied by Tobin’s Q. The findings suggest that there is a statistical significant positive effect of ERM adoption on firm performance, meaning that firms are benefiting from the implementation of this process.

Social impact bond feasibility study: Children and youth at risk: the Projecto Família program

Social impact bonds are an increasingly popular method of unlocking typical social investment barriers and fuelling social innovation. This feasibility study aims to understand whether a social impact bond is a suitable tool for decreasing unnecessary foster care placements in Portugal, which have been proven to cause significant social and financial damage to societies. This research question is answered through a financial model which combines the costs of this social problem with Projecto Família’s intervention model, a leading intensive family preservation service. Main findings suggest using SIB funding for a 5-year project with the goal of generating the proper impact measurement metrics lacking in the field.

Risk factors associated with hantavirosis fatality: a regional analysis from a case-control study in Brazil

Introduction: In Brazil, hantavirus cardiopulmonary syndrome (HCPS) has a high lethality rate that varies by region. This study aimed to identify the risk factors associated with fatal hantavirosis. Methods: This study was a case-control study that included all laboratory confirmed cases of hantavirosis. The cases were stratified by the different Brazilian regions using data from the Notifiable Diseases Information System. “Cases” were patients who progressed to death, whereas “controls” were patients who were cured. The odds ratio (OR) and the adjusted OR were calculated. Results: Overall, 158 cases and 281 controls were included in this study. In the Midwest region, the cases were 60% less likely to present with flank pain, and the time between the beginning of symptoms and death was shorter than the time between the beginning of symptoms and a cure. In the Southeast region, the cases were 60% less likely to present with thrombocytopenia or reside in rural areas compared to those who progressed to a cure. Additionally, the cases sought medical assistance, notification and investigation more quickly than the controls. In the Southern region, the cases that died were 70% less likely to be male compared to the controls. Conclusions: HCPS manifests with nonspecific symptoms, and there are few published studies related to the condition, so determining a patient's therapeutic strategy is difficult. This study presents findings from different Brazilian regions and highlights the need for further investigations to improve comprehension about regional risk factors associated with hantavirosis and to reduce morbimortality.