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.

Knowledge disclosure as a weapon in technological change battles: straight shot or backfire?

This work aims at evaluating how effective is knowledge disclosure in attenuating institutional negative reactions caused by uncertainties brought by firms’ new strategies that respond to novel technologies. The empirical setting is from an era of technological ferment, the period of the introduction of the voice over internet protocol (VoIP) in the USA in the early 2000’s. This technology led to the convergence of the wireline telecommu- nications and cable television industries. The Institutional Brokers’ Estimate System (also known as the I/B/E/S system) was used to capture reactions of securities analysts, a revealed important source of institutional pressure on firms’ strategies. For assessing knowledge disclosure, a coding technique and a established content analysis framework were used to quantitatively measure the non-numerical and unstructured data of transcripts of business events occurred at that time. Eventually, several binary response models were tested in order to assess the effect of knowledge disclosure on the probability of institutional positive reactions. The findings are that the odds of favorable institutional reactions increase when a specific kind of knowledge is disclosed. It can be concluded that knowledge disclosure can be considered as a weapon in technological changes situations, attenuating adverse institutional reactions to the companies’ strategies in environments of technological changes.

The importance of firms' strategic resources and capabilities in crisis situations

The general idea of this research is to analyze overall firm performance before and after the global financial crisis of 2008. The main question is: What kind of strategies did companies adopt that led to positive business performance after the crisis? Are there any particular competitive advantages that bring better performance in the case of an economic downturn? This research focuses on competitive advantage gained by resource-based view attributes of a product (quality, durability and prestige) and dynamic capabilities (strategic flexibility in product development and technological innovation ability). The economic crisis setting provides a proper background to analyze the competitive advantage strategies in a dynamic, low-probability environment to determine which are most worth adopting in the business world. I employ an OLS regression analysis in order to measure the business performance of 136 Brazilian firms across four years – 2002, 2005, 2008 and 2012. The findings indicate that even though all of the strategic resources and capabilities positively influence firm performance in expansionary periods, only the superior product characteristics are pertinent in surviving an economic downturn.

International entry modes in Brazil and the CAGE distances effects

The international entry mode choices have a relevant importance for the impact they have on successful internationalization strategies. Many theories have been developed to describe which entry mode may be better than another according to the particular situation. The CAGE Distances Framework developed by Ghemawat to identify which dimensions companies should look when develop an internationalization strategy, may be useful to identify also how those dimensions impact on the international entry mode decision. The aim of this thesis is to study which kind of relationship exists between Cultural, Administrative, Geographic and Economic Distances and international entry mode choice. It analyzes a sample of companies that have been entered in Brazil through a logistic regression. According to this analysis, a negative and significant relation between Cultural Distance and need of control exists, a positive one exists between Administrative and Geographic, while no significant relationship has been found with the Economic dimension. Those findings are conceivably explainable through the theories found by scholars, but a deeper analysis that may take into account the specificity of every country is highly recommended, like the one developed with Brazil in this thesis.

Applying supply chain management models in the banking industry: a brazilian case analysis

The study presents the results and recommendations deriving from the application of two supply chain management analysis models as proposed by the Supply Chain Council (SCOR, version 10.0) and by Lambert (1997, Framework for Supply Chain Management) on the logistics of cash transfers in Brazil. Cash transfers consist of the transportation of notes to and from each node of the complex network formed by the bank branches, ATMs, armored transportation providers, the government custodian, Brazilian Central Bank and financial institutions. Although the logistic to sustain these operations is so wide-ranged (country-size), complex and subject to a lot of financial regulations and security procedures, it has been detected that it was probably not fully integrated. Through the use of a primary and a secondary data research and analysis, using the above mentioned models, the study ends up with propositions to strongly improve the operations efficiency

Windows of opportunities and knowledge networks: implications for the catch-up in developing countries

This document represents a doctoral thesis held under the Brazilian School of Public and Business Administration of Getulio Vargas Foundation (EBAPE/FGV), developed through the elaboration of three articles. The research that resulted in the articles is within the scope of the project entitled “Windows of opportunities and knowledge networks: implications for catch-up in developing countries”, funded by Support Programme for Research and Academic Production of Faculty (ProPesquisa) of Brazilian School of Public and Business Administration (EBAPE) of Getulio Vargas Foundation.

Contested dominance modifies the anovulatory consequences of social subordination in female marmosets

Dominance status among female marmosets is reflected in agonistic behavior and ovarian function. Socially dominant females receive submissive behavior from subordinates, while exhibiting normal ovulatory function. Subordinate females, however, receive agonistic behavior from dominants, while exhibiting reduced or absent ovulatory function. Such disparity in female fertility is not absolute, and groups with two breeding females have been described. The data reported here were obtained from 8 female-female pairs of captive female marmosets, each housed with a single unrelated male. Pairs were classified into two groups: “uncontested” dominance (UD) and “contested” dominance (CD), with 4 pairs each. Dominant females in UD pairs showed significantly higher frequencies (4.1) of agonism (piloerection, attack and chasing) than their subordinates (0.36), and agonistic behaviors were overall more frequently displayed by CD than by UD pairs. Subordinates in CD pairs exhibited more agonistic behavior (2.9) than subordinates in UD pairs (0.36), which displayed significantly more submissive (6.97) behaviors than their dominants (0.35). The data suggest that there is more than one kind of dominance relationship between female common marmosets. Assessment of progesterone levels showed that while subordinates in UD pairs appeared to be anovulatory, the degree of ovulatory disruption in subordinates of CD pairs was more varied and less complete. We suggest that such variation in female-female social dominance relationships and the associated variation in the degree and reliability of fertility suppression may explain variations of the reproductive condition of free-living groups of common marmosets

Similarity between the in vitro activity and toxicity of two different fungizone™ / lipofundin™ admixtures

Amphotericin B (AmB), an antifungal agent that presents a broad spectrum of activity, remains the gold standard in the antifungal therapy. However, sometimes the high level of toxicity forbids its clinical use. The aim of this work was to evaluate and compare the efficacy and toxicity in vitro of Fungizon™ (AmB-D) and two new different AmB formulations. Methods: three products were studied: Fungizon™, and two Fungizon™ /Lipofundin™ admixtures, which were diluted through two methods: in the first one, Fungizon™ was previously diluted with water for injection and then, in Lipofundin™ (AmB-DAL); the second method consisted of a primary dilution of AmB-D as a powder in the referred emulsion (AmB-DL). For the in vitro assay, two cell models were used: Red Blood Cells (RBC) from human donors and Candida tropicallis (Ct). The in vitro evaluation (K+ leakage, hemoglobin leakage and cell survival rate-CSR) was performed at four AmB concentrations (from 50 to 0.05mg.L-1). Results: The results showed that the action of AmB was not only concentration dependent, but also cellular type and vehicle kind dependent. At AmB concentrations of 50 mg.L-1, although the hemoglobin leakage for AmB-D was almost complete (99.51), for AmB-DAL and AmB-DL this value tended to zero. The p = 0.000 showed that AmB-D was significantly more hemolytic. Conclusion: The Fungizon™- Lipofundin™ admixtures seem to be the more valuable AmB carrier systems due to their best therapeutic index presented

Kinetics and Adsorption Isotherms of Bisphenol A, Estrone, 17 beta-Estradiol, and 17 alpha-Ethinylestradiol in Tropical Sediment Samples

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

A Learning Function for Parameter Reduction in Spiking Neural Networks with Radial Basis Function

Spiking neural networks - networks that encode information in the timing of spikes - are arising as a new approach in the artificial neural networks paradigm, emergent from cognitive science. One of these new models is the pulsed neural network with radial basis function, a network able to store information in the axonal propagation delay of neurons. Learning algorithms have been proposed to this model looking for mapping input pulses into output pulses. Recently, a new method was proposed to encode constant data into a temporal sequence of spikes, stimulating deeper studies in order to establish abilities and frontiers of this new approach. However, a well known problem of this kind of network is the high number of free parameters - more that 15 - to be properly configured or tuned in order to allow network convergence. This work presents for the first time a new learning function for this network training that allow the automatic configuration of one of the key network parameters: the synaptic weight decreasing factor.

Crystal structure of Bn IV in complex with myristic acid: A Lys49 myotoxic phospholipase A(2) from Bothrops neuwiedi venom

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Análise in vitro da atividade antifúngica e de toxicidade da anfotericina B pré-aquecida

The aim of this work was to evaluate how an aqueous micellar system containing Amphotericin B (AmB) and sodium deoxycholate (DOC) can be rebuilt after heating treatment. Also a review of the literature about the new physicochemical and biological properties of this new system was carried out. Afterwards, heated (AmB-DOC-H) and unheated (AmB-DOC) micelles were subsequently diluted at four different concentrations (50mg.L-1, 5mg.L-1, 0.5mg.L-1 and 0.05mg.L-1) to perform the physicochemical study and, then, the pharmacotoxicity assay, in which two cell models were used for the in vitro experiments, Red Blood Cells (RBC) from human donors and Candida parapisilosis (Cp). While potassium (K+) and hemoglobin leakage from RBC were the used parameters to evaluate the acute and chronic toxicity, respectively, the efficacy of AmB-DOC and AmB-DOC-H were assessed by K+ leakage and cell survival rate from Cp. The spectral study revealed a slight change on the aggregate peak from 327nm to 323nm for AmB-DOC-H compared to AmB-DOC. Concerning the toxicity, although AmB-DOC and AmB-DOC-H presented different behavior for hemoglobin leakage, AmB-DOC produced higher leakage than AmB-DOC-H at high concentrations (from 5mg.L-1) with values tending to zero. However, concerning K+ leakage, both AmB-DOC and AmB-DOC-H, showed similar profile for both cell models, RBC and Cp (p<0,05). AmB-DOC-H and AmB-DOC also revealed similar profile of activity against Cp with equivalent survival rate. In short, the AmB-DOC-H showed much less toxicity than AmB-DOC, but remained as active as the late one against fungal cell. Therefore, the results highlight the importance of this new procedure as a simple, inexpensive and safe alternative to produce a new kind of micelle system for treatment of systemic fungal infections

Microcystin-LR in Brazilian Aquaculture Production Systems

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

Dunging gutters filled with fresh water in finishing barns had no effect on the prevalence of Salmonella enterica on Brazilian swine farms

Our aim was to assess the importance of dunging gutters filled with water in finishing barns for the prevalence of pigs shedding Salmonella enterica. Some finishing barns in Brazil are provided with a dunging-gutter system which consists of a continuous water flow at the back of solid-floored adjacent pens. Because there is transfer of faecal material between adjacent pens by water in this system and the faecal-oral route of transmission is so important for enteric pathogens, we tested the hypothesis that the presence of this kind of dunging-gutter system in finishing barns affects the prevalence of slaughter-age pigs shedding salmonella organisms in their faeces. The cross-sectional study was conducted on six farms each having barns with and barns without a dunging-gutter system. Breeding, management, nutritional and seasonal factors were similar in both barns on each farm. The two systems did not differ in prevalence of pigs shedding salmonella organisms. Five S. enterica scrotypes were isolated: S. Agona, S. Javiana, S. Rissen, S. Sandiego and S. Senftenberg. (C) 2002 Elsevier B.V. B.V. All rights reserved.

HOPF BIFURCATION FROM LINES of EQUILIBRIA WITHOUT PARAMETERS IN MEMRISTOR OSCILLATORS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)