Aplicação da Teoria do Valor Extremo e Copulas para avaliar risco de mercado de ações brasileiras

As instituições financeiras são obrigadas por acordos internacionais, como o Acordo de Basiléia, a avaliar o risco de mercado ao qual a instituição está propensa de forma a evitar possíveis contaminações de desastres financeiros em seu patrimônio. Com o intuito de capturar tais fenômenos, surge a necessidade de construir modelos que capturem com mais acurácia movimentos extremos das séries de retornos. O trabalho teve como principal objetivo aplicar a Teoria do Valor Extremo juntamente com Copulas na estimação de quantis extremos para o VaR. Ele utiliza técnicas de simulação de Monte Carlo, Teoria do Valor Extremo e Cópulas com distribuições gaussianas e t. Em contrapartida, as estimativas produzidas serão comparadas com as de um segundo modelo, chamado de simulação histórica de Monte Carlo filtrada, mais conhecida como filtered historical simulation (FHS). As técnicas serão aplicadas a um portfólio de ações de empresas brasileiras.

Effects of initial soil fabric and mode of shearing on quasi-steady state line for monotonic undrained behavior

The effects of initial soil fabric and mode of shearing on quasi-steady state line in void ratiostress space are studied by employing the Distinct Element Method numerical analysis. The results show that the initial soil fabric and the mode of shearing have a profound effect on the location of the quasi-steady state line. The evolution of the soil fabric during the course of undrained shearing shows that the specimens with different initial soil fabrics reach quasi-steady state at various soil fabric conditions. At quasi-steady state, the soil fabric has a significant adjustment to change its behavior from contractive to dilative. As the stress state approaches the steady state, the soil fabrics of different initial conditions become similar. The numerical analysis results are compared qualitatively with the published experimental data and the effects of specimen reconstitution methods and mode of shearing found in the experimental studies canbe systematically explained by the numerical analysis. © 2009 Taylor & Francis Group.

New space-time trellis codes for two-antenna quasi-static channels

New space-time trellis codes with four- and eight-level phase-shift keying (PSK) and 16-phase quadrature amplitude modulation (QAM) for two transmit antennas in slow-fading channels are presented in this paper. Unlike most of the codes that are reported in the literature, the proposed codes are specifically designed to minimize the frame error probability from a union-bound perspective. The performance of the proposed codes with various memory orders and receive antennas is evaluated by simulation. It is shown that the proposed codes outperform previously known codes in all studied cases.