Brazilian exchange rate complexity: Financial crisis effects

With the financial market globalization, foreign investments became vital for the economies, mainly in emerging countries. In the last decades, Brazilian exchange rates appeared as a good indicator to measure either investors' confidence or risk aversion. Here, some events of global or national financial crisis are analyzed, trying to understand how they influenced the "dollar-real" rate evolution. The theoretical tool to be used is the Lopez-Mancini-Calbet (LMC) complexity measure that, applied to real exchange rate data, has shown good fitness between critical events and measured patterns. (C) 2011 Elsevier B.V. All rights reserved.

Approccio multidisciplinare per le valutazioni ambientali: Problematiche e sinergie in un uso combinato delle metodologie life cycle assessment (lca) e risk assessment (ra)

In questo lavoro di tesi si è elaborato un quadro di riferimento per l’utilizzo combinato di due metodologie di valutazione di impatti LCA e RA, per tecnologie emergenti. L’originalità dello studio sta nell’aver proposto e anche applicato il quadro di riferimento ad un caso studio, in particolare ad una tecnologia innovativa di refrigerazione, basata su nanofluidi (NF), sviluppata da partner del progetto Europeo Nanohex che hanno collaborato all’elaborazione degli studi soprattutto per quanto riguarda l’inventario dei dati necessari. La complessità dello studio è da ritrovare tanto nella difficile integrazione di due metodologie nate per scopi differenti e strutturate per assolvere a quegli scopi, quanto nel settore di applicazione che seppur in forte espansione ha delle forti lacune di informazioni circa processi di produzione e comportamento delle sostanze. L’applicazione è stata effettuata sulla produzione di nanofluido (NF) di allumina secondo due vie produttive (single-stage e two-stage) per valutare e confrontare gli impatti per la salute umana e l’ambiente. Occorre specificare che il LCA è stato quantitativo ma non ha considerato gli impatti dei NM nelle categorie di tossicità. Per quanto concerne il RA è stato sviluppato uno studio di tipo qualitativo, a causa della problematica di carenza di parametri tossicologici e di esposizione su citata avente come focus la categoria dei lavoratori, pertanto è stata fatta l’assunzione che i rilasci in ambiente durante la fase di produzione sono trascurabili. Per il RA qualitativo è stato utilizzato un SW specifico, lo Stoffenmanger-Nano che rende possibile la prioritizzazione dei rischi associati ad inalazione in ambiente di lavoro. Il quadro di riferimento prevede una procedura articolata in quattro fasi: DEFINIZIONE SISTEMA TECNOLOGICO, RACCOLTA DATI, VALUTAZIONE DEL RISCHIO E QUANTIFICAZIONE DEGLI IMPATTI, INTERPRETAZIONE.

Decreasing frequency of plasma exchange complications in patients treated for thrombotic thrombocytopenic purpura-hemolytic uremic syndrome, 1996 to 2011

Plasma exchange (PEX) treatment for patients with thrombotic thrombocytopenic purpura-hemolytic uremic syndrome (TTP-HUS) has risk for major complications.

Changes in respiratory mechanics and gas exchange during the acute respiratory distress syndrome

BACKGROUND: The time course of impairment of respiratory mechanics and gas exchange in the acute respiratory distress syndrome (ARDS) remains poorly defined. We assessed the changes in respiratory mechanics and gas exchange during ARDS. We hypothesized that due to the changes in respiratory mechanics over time, ventilatory strategies based on rigid volume or pressure limits might fail to prevent overdistension throughout the disease process. METHODS: Seventeen severe ARDS patients {PaO2/FiO2 10.1 (9.2-14.3) kPa; 76 (69-107) mmHg [median (25th-75th percentiles)] and bilateral infiltrates} were studied during the acute, intermediate, and late stages of ARDS (at 1-3, 4-6 and 7 days after diagnosis). Severity of lung injury, gas exchange, and hemodynamics were assessed. Pressure-volume (PV) curves of the respiratory system were obtained, and upper and lower inflection points (UIP, LIP) and recruitment were estimated. RESULTS: (1) UIP decreased from early to established (intermediate and late) ARDS [30 (28-30) cmH2O, 27 (25-30) cmH2O and 25 (23-28) cmH2O (P=0.014)]; (2) oxygenation improved in survivors and in patients with non-pulmonary etiology in late ARDS, whereas all patients developed hypercapnia from early to established ARDS; and (3) dead-space ventilation and pulmonary shunt were larger in patients with pulmonary etiology during late ARDS. CONCLUSION: We found a decrease in UIP from acute to established ARDS. If applied to our data, the inspiratory pressure limit advocated by the ARDSnet (30 cmH2O) would produce ventilation over the UIP, with a consequent increased risk of overdistension in 12%, 43% and 65% of our patients during the acute, intermediate and late phases of ARDS, respectively. Lung protective strategies based on fixed tidal volume or pressure limits may thus not fully avoid the risk of lung overdistension throughout ARDS.

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Game-theoretic view on intermediated exchange

Intermediaries permeate modern economic exchange. Most classical models on intermediated exchange are driven by information asymmetry and inventory management. These two factors are of reduced significance in modern economies. This makes it necessary to develop models that correspond more closely to modern financial marketplaces. The goal of this dissertation is to propose and examine such models in a game theoretical context. The proposed models are driven by asymmetries in the goals of different market participants. Hedging pressure as one of the most critical aspects in the behavior of commercial entities plays a crucial role. The first market model shows that no equilibrium solution can exist in a market consisting of a commercial buyer, a commercial seller and a non-commercial intermediary. This indicates a clear economic need for non-commercial trading intermediaries: a direct trade from seller to buyer does not result in an equilibrium solution. The second market model has two distinct intermediaries between buyer and seller: a spread trader/market maker and a risk-neutral intermediary. In this model a unique, natural equilibrium solution is identified in which the supply-demand surplus is traded by the risk-neutral intermediary, whilst the market maker trades the remainder from seller to buyer. Since the market maker’s payoff for trading at the identified equilibrium price is zero, this second model does not provide any motivation for the market maker to enter the market. The third market model introduces an explicit transaction fee that enables the market maker to secure a positive payoff. Under certain assumptions on this transaction fee the equilibrium solution of the previous model applies and now also provides a financial motivation for the market maker to enter the market. If the transaction fee violates an upper bound that depends on supply, demand and riskaversity of buyer and seller, the market will be in disequilibrium.

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, Taiwan and a zero net effect in Korea and Thailand. Since the negative effect of exchange rate risk may offset, or even dominate, positive contributions from depreciation, policy makers need to reduce exchange rate fluctuation along with and possibly before efforts to depreciate the currency.

Exchange rate depreciation and exports: The case of Singapore revisited

This paper revisits the weak relationship between exchange rate depreciation and exports for Singapore, using a bivariate GARCH-M model that simultaneously estimates time-varying risk. The evidence shows that depreciation does not significantly improve exports, but that exchange rate risk significantly impedes exports. In sum, Singaporean policy makers can better promote export growth by stabilizing the exchange rate rather than generating its depreciation.

HIV prevalence and contextual risk-factors among injection drug users in Harris County, Texas

Injection drug use is the third most frequent risk factor for new HIV infections in the United States. A dual mode of exposure: unsafe drug using practices and risky sexual behaviors underlies injection drug users' (IDUs) risk for HIV infection. This research study aims to characterize patterns of drug use and sexual behaviors and to examine the social contexts associated with risk behaviors among a sample of injection drug users. ^ This cross-sectional study includes 523 eligible injection drug users from Houston, Texas, recruited into the 2009 National HIV Behavioral Surveillance project. Three separate set of analyses were carried out. First, using latent class analysis (LCA) and maximum likelihood we identified classes of behavior describing levels of HIV risk, from nine drug and sexual behaviors. Second, eight separate multivariable regression models were built to examine the odds of reporting a given risk behavior. We constructed the most parsimonious multivariable model using a manual backward stepwise process. Third, we examined whether HIV serostatus knowledge (self-reported positive, negative, or unknown serostatus) is associated with drug use and sexual HIV risk behaviors. ^ Participants were mostly male, older, and non-Hispanic Black. Forty-two percent of our sample had behaviors putting them at high risk, 25% at moderate risk, and 33% at low risk for HIV infection. Individuals in the High-risk group had the highest probability of risky behaviors, categorized as almost always sharing needles (0.93), seldom using condoms (0.10), reporting recent exchange sex partners (0.90), and practicing anal sex (0.34). We observed that unsafe injecting practices were associated with high risk sexual behaviors. IDUs who shared needles had higher odds of having anal sex (OR=2.89, 95%CI: 1.69-4.92) and unprotected sex (OR=2.66, 95%CI: 1.38-5.10) at last sex. Additionally, homelessness was associated with needle sharing (OR=2.24, 95% CI: 1.34-3.76) and cocaine use was associated with multiple sex partners (OR=1.82, 95% CI: 1.07-3.11). Furthermore, twenty-one percent of the sample was unaware of their HIV serostatus. The three groups were not different from each other in terms of drug-use behaviors: always using a new sterile needle, or in sharing needles or drug preparation equipment. However, IDUs unaware of their HIV serostatus were 33% more likely to report having more than three sexual partners in the past 12 months; 45% more likely to report to have unprotected sex and 85% more likely to use drug and or alcohol during or before at last sex compared to HIV-positive IDUs. ^ This analysis underscores the merit of LCA approach to empirically categorize injection drug users into distinct classes and identify their risk pattern using multiple indicators and our results show considerable overlap of high risk sexual and drug use behaviors among the high-risk class members. The observed clustering pattern of drug and sexual risk behavior among this population confirms that injection drug users do not represent a homogeneous population in terms of HIV risk. These findings will help develop tailored prevention programs.^

Exchange Rate Stabilization and IMF High Interest Rate Policy: A Critical Reconsideration Using a Dynamic Model

This paper examines whether the IMF high interest rate policy was suitable for crisis-ridden East Asian economies. Using an "overshoot" model similar to that of Dornbusch's (1976), it shows that this sort of policy might cause an unnecessary deflationary adjusting process and have no effect on containing the real depreciation of exchange rates in the long run. The study also demonstrates that Thai economic data coincides quite well with the model presented here. Finally, it points out that the high interest policy itself might provoke high risk-premium, the existence of which, in turn, justifies the policy. This means that the policy has a self-fulfilling property. In conclusion, a "one-size-fits-all" adaptation of high interest rate policy in a currency crisis is very dangerous in general, and was inappropriate for East Asia. The desirable policy would have been to let currencies depreciate and keep interest rates stable.

How does country risk matter for foreign direct investment?

In this paper, we aim to identify the political and financial risk components that matter most for the activities of multinational corporations. Our paper is the first paper to comprehensively examine the impact of various components of not only political risk but also financial risk on inward FDI, from both long-run and short-run perspectives. Using a sample of 93 countries (including 60 developing countries) for the period 1985-2007, we find that among the political risk components, government stability, socioeconomic conditions, investment profile, internal conflict, external conflict, corruption, religious tensions, democratic accountability, and ethnic tensions have a close association with FDI flows. In particular, socioeconomic conditions, investment profile, and external conflict appear to be the most influential components of political risk in attracting foreign investment. Among the financial risk components, only exchange rate stability yields statistically significant positive coefficients when estimated only for developing countries. In contrast, current account as a percentage of exports of goods and services, foreign debt as a percentage of GDP, net international liquidity as the number of months of import cover, and current account as a percentage of GDP yield negative coefficients in some specifications. Thus, multinationals do not seem to consider seriously the financial risk of the host country.

Real Options: A Tool for Managing Technical Risk in a Mine Plan

NPV is a static measure of project value which does not discriminate between levels of internal and external risk in project valuation. Due to current investment project?s characteristics, a much more complex model is needed: one that includes the value of flexibility and the different risk levels associated with variables subject to uncertainty (price, costs, exchange rates, grade and tonnage of the deposits, cut off grade, among many others). Few of these variables present any correlation or can be treated uniformly. In this context, Real Option Valuation (ROV) arose more than a decade ago, as a mainly theoretical model with the potential for simultaneous calculation of the risk associated with such variables. This paper reviews the literature regarding the application of Real Options Valuation in mining, noting the prior focus on external risks, and presents a case study where ROV is applied to quantify risk associated to mine planning.

Power, privilege and HIV prevalence: examination of sexual HIV-risk factors in MSM and transgender women who engage in transactional sex

Thesis (Master's)--University of Washington, 2016-06

Risk exposures and international diversification: Evidence from iShares

We examine the newly developed international diversification instruments–iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. Therefore, theoretically, iShare pricing should be influenced by the risk from the iShare's home-country market and not the risk from the US market, per se. We evaluate the risk exposure of iShare prices to the US market (non-fundamental effect) as well as the home-country market (the fundamental effect). We find that most iShare returns are significantly influenced by and sensitive to the US market risk. Moreover, the US market appears to be the key permanent driving factor and the home-country market is a pronounced transitory driving force for iShare prices. These findings indicate the presence of limits of international arbitrage for iShares. As a result, the international diversification benefits of iShares become questionable.

Prevalence of injecting drug use and associated risk behavior among regular ecstasy users in Australia

Background: The aim of the study was to investigate the prevalence of injecting drug use and associated risk behaviour among a sentinel sample of ecstasy users. Methods: Cross-sectional surveys were conducted with regular ecstasy users as part of an annual monitoring study of ecstasy and related drug markets in all Australian capital cities. Results: Twenty-three percent of the sample reported having ever injected a drug and 15% reported injecting in the 6 months preceding interview. Independent predictors of lifetime injection were older age, unemployment and having ever been in prison. Completion of secondary school and identifying as heterosexual was associated with a lower likelihood of having ever injected. Participants who had recently injected typically did so infrequently; only 9% reported daily injecting. Methamphetamine was the most commonly injected drug. Prevalence of needle sharing was low (6%), although half (47%) reported sharing other injecting equipment in the preceding 6 months. Conclusions: Ecstasy users who report having injected a drug at some time appear to be demographically different to ecstasy users who have not injected although neither are they typical of other drug injectors. The current investigation suggests that ongoing monitoring of injecting among regular ecstasy users is warranted. (c) 2005 Elsevier Ireland Ltd. All rights reserved.