Public debt management, monetary policy and financial institutions

Despite the large size of the Brazilian debt market, as well the large diversity of its bonds, the picture that emerges is of a market that has not yet completed its transition from the role it performed during the megainflation years, namely that of providing a liquid asset that provided positive real returns. This unfinished transition is currently placing the market under severe stress, as fears of a possible default from the next administration grow larger. This paper analyzes several aspects pertaining to the management of the domestic public debt. The causes for the extremely large and fast growth ofthe domestic public debt during the seven-year period that President Cardoso are discussed in Section 2. Section 3 computes Value at Risk and Cash Flow at Risk measures for the domestic public debt. The rollover risk is introduced in a mean-variance framework in Section 4. Section 5 discusses a few issues pertaining to the overlap between debt management and monetary policy. Finally, Section 6 wraps up with policy discussion and policy recommendations.

Dois modelos de controle de risco: o modelo Nelson-Siegel dinâmico e o cálculo de VaR por modelos GARCH

A presente dissertação tem como objetivo apresentar dois importantes modelos usados na análise de risco. Essa análise culmina em uma aplicação empírica para cada um deles. Apresenta-se primeiro o modelo Nelson-Siegel dinâmico, que estima a curva de juros usando um modelo paramétrico exponencial parcimonioso. É citada a referência criadora dessa abordagem, que é Nelson & Siegel (1987), passa-se pela apresentação da mais importante abordagem moderna que é a de Diebold & Li (2006), que é quem cria a abordagem dinâmica do modelo Nelson-Siegel, e que é inspiradora de diversas extensões. Muitas dessas extensões também são apresentadas aqui. Na parte empírica, usando dados da taxa a termo americana de Janeiro de 2004 a Março de 2015, estimam-se os modelos Nelson-Siegel dinâmico e de Svensson e comparam-se os resultados numa janela móvel de 12 meses e comparamos seus desempenhos com aqueles de um passeio aleatório. Em seguida, são apresentados os modelos ARCH e GARCH, citando as obras originais de Engle (1982) e Bolleslev (1986) respectivamente, discutem-se características destes modelos e apresentam-se algumas extensões ao modelo GARCH, incluindo aí alguns modelos GARCH multivariados. Passa-se então por uma rápida apresentação do conceito de VaR (Value at Risk), que será o objetivo da parte empírica. Nesta, usando dados de 02 de Janeiro de 2004 até 25 de Fevereiro de 2015, são feitas uma estimação da variância de um portfólio usando os modelos GARCH, GJR-GARCH e EGARCH e uma previsão do VaR do portfólio a partir da estimação feita anteriormente. Por fim, são apresentados alguns trabalhos que usam os dois modelos conjuntamente, ou seja, que consideram que as taxas ou os fatores que as podem explicam possuem variância variante no tempo.

Associação do padrão de ingestão lípidica com a qualidade da dieta, resistência insulínica e homocisteinemia em adultos

Objectives: To evaluate the association between the consumption of different dietary fats with the quality of the diet, insulin resistance, and hyperhomocysteinemia in adults. Methods: Cross-sectional study conducted with 624 overweight subjects (73.7% females). Assessments of food intake (24h food recall and health eating index-HEI), anthropometry, and biochemical assays of fasting glucose, insulin (HOMA-IR and β calculus) and homocysteinemia were performed. Results: The low quality of diet was associated with the vegetable oil at 3rd quintile (≥1.5-2.0 servings) showed risk 2.9 times and cholesterol at quintiles 2nd, 3rd, and 4th was 2.0 times. HOMA-IR was higher at 5th quintile of saturated fat (≥10,7% - total caloric value) with risk of 60% and hyperhomocysteinemia the vegetable oil at 3rd quintile (>1.5-2.0 servings) with risk of 12.0 times and 5th (≥3.5 servings) 7.1 times. However, significance disappeared when adjusted for anthropometric variables. Conclusion: Dietary fats were associated with the harm diet quality, insulin resistance, and hyperhomocysteinemia. However, associations are dependant of demographic variables, dietetic, and nutritional state. © 2011 CELOM.

Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

Mapeamento de áreas de risco para ocorrência da ferrugem do eucalipto no Espírito Santo e extremo sul da Bahia

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

Aplicação da moderna teoria do Portfólio em ativos não financeiros

The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target to adapt them for application in non-financial assets portfolios. The paper uses as an example the Electricity Market to analyze and optimize a fictitious investment portfolio of a possible electric power utility. Showing that, besides being possible, which considerations must be taken and which analysis must be made to apply the Modern Portfolio Theory in the non-financial universe

Suposição de normalidade e gestão de risco: uma aplicação do var paramétrico via teste de aderência

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

La gestión del riesgo de mercado en las entidades de depósito. Introducción a la metodología VAR

[ES] El propósito de este artículo es suministrar al lector los primeros pasos para la comprensión de la metodología Value at Risk (Var). La necesidad de comprender esta metodología está justificada por el acuerdo de Basilea y la Directiva sobre los requerimientos de capital impuesta por la Unión Europea. Ambos proponen los métodos VaR para determinar el capital mínimo de los bancos comerciales en su operativa pero, ¿Qué es el riesgo exactamente?. El riesgo puede ser definido como la volatilidad de los resultados esperados.

Emerging contaminants in agricultural ecosystems: impact of selected pharmaceutical on water and soil ecology and pratical implications

Pharmaceuticals are useful tools to prevent and treat human and animal diseases. Following administration, a significant fraction of pharmaceuticals is excreted unaltered into faeces and urine and may enter the aquatic ecosystem and agricultural soil through irrigation with recycled water, constituting a significant source of emerging contaminants into the environment. Understanding major factors influencing their environmental fate is consequently needed to value the risk, reduce contamination, and set up bioremediation technologies. The antiviral drug Tamiflu (oseltamivir carboxylate, OC) has received recent attention due to the potential use as a first line defence against H5N1 and H1N1 influenza viruses. Research has shown that OC is not removed during conventional wastewater treatments, thus having the potential to enter surface water bodies. A series of laboratory experiments investigated the fate and the removal of OC in surface water systems in Italy and Japan and in a municipal wastewater treatment plant. A preliminary laboratory study investigated the persistence of the active antiviral drug in water samples from an irrigation canal in northern Italy (Canale Emiliano Romagnolo). After an initial rapid decrease, OC concentration slowly decreased during the remaining incubation period. Approximately 65% of the initial OC amount remained in water at the end of the 36-day incubation period. A negligible amount of OC was lost both from sterilized water and from sterilized water/sediment samples, suggesting a significant role of microbial degradation. Stimulating microbial processes by the addition of sediments resulted in reduced OC persistence. Presence of OC (1.5 μg mL-1) did not significantly affect the metabolic potential of the water microbial population, that was estimated by glyphosate and metolachlor mineralization. In contrast, OC caused an initial transient decrease in the size of the indigenous microbial population of water samples. A second laboratory study focused on basic processes governing the environmental fate of OC in surface water from two contrasting aquatic ecosystems of northern Italy, the River Po and the Venice Lagoon. Results of this study confirmed the potential of OC to persist in surface water. However, the addition of 5% of sediments resulted in rapid OC degradation. The estimated half-life of OC in water/sediment of the River Po was 15 days. After three weeks of incubation at 20 °C, more than 8% of 14C-OC evolved as 14CO2 from water/sediment samples of the River Po and Venice Lagoon. OC was moderately retained onto coarse sediments from the two sites. In water/sediment samples of the River Po and Venice Lagoon treated with 14C-OC, more than 30% of the 14C-residues remained water-extractable after three weeks of incubation. The low affinity of OC to sediments suggests that the presence of sediments would not reduce its bioavailability to microbial degradation. Another series of laboratory experiments investigated the fate and the removal of OC in two surface water ecosystems of Japan and in the municipal wastewater treatment plant of the city of Bologna, in Northern Italy. The persistence of OC in surface water ranged from non-detectable degradation to a half-life of 53 days. After 40 days, less than 3% of radiolabeled OC evolved as 14CO2. The presence of sediments (5%) led to a significant increase of OC degradation and of mineralization rates. A more intense mineralization was observed in samples of the wastewater treatment plant when applying a long incubation period (40 days). More precisely, 76% and 37% of the initial radioactivity applied as 14C-OC was recovered as 14CO2 from samples of the biological tank and effluent water, respectively. Two bacterial strains growing on OC as sole carbon source were isolated and used for its removal from synthetic medium and environmental samples, including surface water and wastewater. Inoculation of water and wastewater samples with the two OC-degrading strains showed that mineralization of OC was significantly higher in both inoculated water and wastewater, than in uninoculated controls. Denaturing gradient gel electrophoresis and quantitative PCR analysis showed that OC would not affect the microbial population of surface water and wastewater. The capacity of the ligninolytic fungus Phanerochaete chrysosporium to degrade a wide variety of environmentally persistent xenobiotics has been largely reported in literature. In a series of laboratory experiments, the efficiency of a formulation using P. chrysosporium was evaluated for the removal of selected pharmaceuticals from wastewater samples. Addition of the fungus to samples of the wastewater treatment plant of Bologna significantly increased (P < 0.05) the removal of OC and three antibiotics, erythromycin, sulfamethoxazole, and ciprofloxacin. Similar effects were also observed in effluent water. OC was the most persistent of the four pharmaceuticals. After 30 days of incubation, approximately two times more OC was removed in bioremediated samples than in controls. The highest removal efficiency of the formulation was observed with the antibiotic ciprofloxacin. The studies included environmental aspects of soil contamination with two emerging veterinary contaminants, such as doramectin and oxibendazole, wich are common parasitic treatments in cattle farms.

Risikomaße in der Finanzmathematik

„Risikomaße in der Finanzmathematik“ Der Value-at -Risk (VaR) ist ein Risikomaß, dessen Verwendung von der Bankenaufsicht gefordert wird. Der Vorteil des VaR liegt – als Quantil der Ertrags- oder Verlustverteilung - vor allem in seiner einfachen Interpretierbarkeit. Nachteilig ist, dass der linke Rand der Wahrscheinlichkeitsverteilung nicht beachtet wird. Darüber hinaus ist die Berechnung des VaR schwierig, da Quantile nicht additiv sind. Der größte Nachteil des VaR ist in der fehlenden Subadditivität zu sehen. Deswegen werden Alternativen wie Expected Shortfall untersucht. In dieser Arbeit werden zunächst finanzielle Risikomaße eingeführt und einige ihre grundlegenden Eigenschaften festgehalten. Wir beschäftigen uns mit verschiedenen parametrischen und nichtparametrischen Methoden zur Ermittlung des VaR, unter anderen mit ihren Vorteilen und Nachteilen. Des Weiteren beschäftigen wir uns mit parametrischen und nichtparametrischen Schätzern vom VaR in diskreter Zeit. Wir stellen Portfoliooptimierungsprobleme im Black Scholes Modell mit beschränktem VaR und mit beschränkter Varianz vor. Der Vorteil des erstens Ansatzes gegenüber dem zweiten wird hier erläutert. Wir lösen Nutzenoptimierungsprobleme in Bezug auf das Endvermögen mit beschränktem VaR und mit beschränkter Varianz. VaR sagt nichts über den darüber hinausgehenden Verlust aus, während dieser von Expected Shortfall berücksichtigt wird. Deswegen verwenden wir hier den Expected Shortfall anstelle des von Emmer, Korn und Klüppelberg (2001) betrachteten Risikomaßes VaR für die Optimierung des Portfolios im Black Scholes Modell.

Outcome a lungo termine dei pazienti pediatrici con rene singolo. Valutazione di marker laboratoristici e strumentali di danno renale

Obiettivi: valutare in pazienti con rene singolo congenito la correlazione tra il filtrato glomerulare misurato con il DTPA (DTPA-VFG) e 1) marker laboratoristici di danno renale (creatinina, cistatinaC, proteinuria) 2) formule per stimare il filtrato glomerulare 3) parametri di valutazione della crescita renale ecografica. Materiali e metodi: Sono stati arruolati 118 pazienti con rene singolo congenito tra 0 e 18 anni. Sono stati valutati a ogni visita altezza, creatinina, cistatinaC, proteinuria e lunghezza ecografica renale. E’ stato calcolato il filtrato stimato con formule basate sulla creatinina (Schwartz), sulla cistatina C (Zappitelli, Filler, Grubb e Bokenkamp) e su entrambe (equazione di Zappitelli). La crescita renale è stata valutata come rapporto lunghezza ecografica/altezza corporea (USL/H), differenza percentuale tra lunghezza renale misurata e attesa per età (delta%) e presenza o meno d’ipertrofia compensatoria. In 74 bambini è stata misurata la DTPA-VFG. Risultati: Il follow-up è di 2.1 ± 0.9 anni. Il 65% sono maschi. Nessun paziente ha sviluppato danno renale cronico. La media del DTPA-VFG era di 135±44ml/min/1.73m², il valore medio della creatinina 0.47±0.17mg/dl e di cistatinaC di 1±0.4mg/L. La lunghezza ecografica renale media era di 100±17 mm, il rapporto USL/H medio di 0.8±0,1 e il delta% di 1,13±11,4, il 66% presentava ipertrofia renale. Le uniche correlazioni significative con DTPA-VFG sono inversa con la creatinina (p=<.001) e lineare con USL/H (p=<.001). Discussione: Lo studio ha mostrato che come per altre nefrouropatie, la creatina e l’ecografia renale siano due strumenti validi per il follow-up dei pazienti con rene singolo congenito. Il limite principale è dovuto al fatto che nessuno dei pazienti ha sviluppato danno renale cronico e pertanto non è stato possibile stabilire dei cutt-off di rischio per parametri quali USL/H.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.