As medidas de confiança no Conselho de Defesa Sul-americano (CDS): análise dos gastos em Defesa (2009-2012)

Analisamos a metodologia de aferição de gastos em Defesa do Conselho de Defesa Sul-americano (CDS). Discutimos fundamentos, inovações, limitações e perfil de gastos. Na região, a folha de pagamento de pessoal e encargos previdenciários consumiram 60% do total dos gastos em Defesa entre 2006 e 2010, enquanto as pesquisas em tecnologia apenas 0,5%. Sobre esse diagnóstico, defendemos a modernização das FA e os Ministérios da Defesa da região, sobretudo uma racional e equalizada distribuição dos gastos por objeto, antes de aumentar as verbas para o setor.

What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Iron oxide/gold core/shell nanomagnetic probes and CdS biolabels for amplified electrochemical immunosensing of Salmonella typhimurium

There is an imminent need for rapid methods to detect and determine pathogenic bacteria in food products as alternatives to the laborious and time-consuming culture procedures. In this work, an electrochemical immunoassay using iron/gold core/shell nanoparticles (Fe@Au) conjugated with anti-Salmonella antibodies was developed. The chemical synthesis and functionalization of magnetic and gold-coated magnetic nanoparticles is reported. Fe@Au nanoparticles were functionalized with different self-assembled monolayers and characterized using ultraviolet-visible spectrometry, transmission electron microscopy, and voltammetric techniques. The determination of Salmonella typhimurium, on screen-printed carbon electrodes, was performed by square-wave anodic stripping voltammetry through the use of CdS nanocrystals. The calibration curve was established between 1×101 and 1×106 cells/mL and the limit of detection was 13 cells/mL. The developed method showed that it is possible to determine the bacteria in milk at low concentrations and is suitable for the rapid (less than 1 h) and sensitive detection of S. typhimurium in real samples. Therefore, the developed methodology could contribute to the improvement of the quality control of food samples.

Reação dos mercados de CDS e de cotações bolsistas a anúncios de rating: o caso dos maiores bancos portugueses

A presente dissertação tem como principal objetivo avaliar a capacidade que os mercados de Credit Default Swaps (CDS) e acionista apresentam de antecipar alterações nas notações das principais Agências de Rating mundiais. Para esse efeito serão analisadas as cotações diárias dos prémios de CDS e as cotações diárias de ações dos quatro principais bancos portugueses entre 2004 e 2012, bem como os eventos de rating associados a esses bancos. A literatura existente, apresenta, resultados que tendem a evidenciar que os CDS reagem, regra geral, de forma mais rápida a anúncios das Agências de Rating e que esta mesma reação é maior para eventos negativos (downgrade das notações de rating) do que para eventos positivos (upgrade das notações). O presente estudo detecta, para dois daqueles bancos alguma capacidade dos prémios dos CDS anteciparem eventos negativos de rating.

The sovereign CDS-Bond basis: From a crisis perspective

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

Effect of acid or alkaline catalyst and of different capping agents on the optical properties of CdS nanoparticles incorporated within a diureasil hybrid matrix

CdS nanoparticles (NPs) were synthesized using colloidal methods and incorporated within a diureasil hybrid matrix. The surface capping of the CdS NPs by 3-mercaptopropyltrimethoxysilane (MPTMS) and 3-aminopropyltrimethoxysilane (APTMS) organic ligands during the incorporation of the NPs within the hybrid matrix has been investigated. The matrix is based on poly(ethylene oxide)/poly(propylene oxide) chains grafted to a siliceous skeleton through urea bonds and was produced by sol–gel process. Both alkaline and acidic catalysis of the sol–gel reaction were used to evaluate the effect of each organic ligand on the optical properties of the CdS NPs. The hybrid materials were characterized by absorption, steady-state and time-resolved photoluminescence spectroscopy and High Resolution Transmission Electron Microscopy (HR-TEM). The preservation of the optical properties of the CdS NPs within the diureasil hybrids was dependent on the experimental conditions used. Both organic ligands (APTMS and MPTMS) demonstrated to be crucial in avoiding the increase of size distribution and clustering of the NPs within the hybrid matrix. The use of organic ligands was also shown to influence the level of interaction between the hybrid host and the CdS NPs. The CdS NPs showed large Stokes shifts and long average lifetimes, both in colloidal solution and in the xerogels, due to the origin of the PL emission in surface states. The CdS NPs capped with MPTMS have lower PL lifetimes compared to the other xerogel samples but still larger than the CdS NPs in the original colloidal solution. An increase in PL lifetimes of the NPs after their incorporation within the hybrid matrix is related to interaction between the NPs and the hybrid host matrix.

Um estudo sobre os aspectos que contribuem para a adoção do canal on-line para compra de livros, CDs e DVDs

O objetivo neste estudo foi identificar os fatores relevantes na adoção do canal on-line para a realização de compras, tendo como principais referências os modelos Unified Theory of Acceptance and Use of Technology (UTAUT), de Venkatesh et al. (2003), de Heijden, Verhagen e Creemers (2003) e de Bramall, Schoefer e McKechnie (2004). Além da revisão da literatura dos assuntos pertinentes, foi realizada uma pesquisa de campo descritiva, de natureza quantitativa com uma amostra de 172 pessoas residentes na cidade de São Paulo, pertencentes às classes socioeconômicas A, B e C (critério Brasil), compradores de livros, CDs ou DVDs no canal off-line. Os dados coletados foram analisados com o uso de técnicas estatísticas nos contextos uni, bi e multivariado. Aplicou-se a técnica de modelagem de equações estruturais (MEE ou Structural Equation Modeling - SEM) para serem identificadas relações de dependência entre construtos e a contribuição de cada um deles na estimação das intenções de adoção da compra pela Internet. Entre os principais resultados encontrados, a atitude em relação ao uso da tecnologia, a confiança e a expectativa de desempenho figuraram como os aspectos mais relevantes para uma possível adoção do canal on-line.

3D-partikkelit aloittelijoille : tarkastelussa 3D-Kalevala-projekti

Opinnäytteeni teososana on 3D-Kalevala projektinimellä tunnetun animaation partikkeliefektit. Tarkastelen tarkemmin elokuvan Lumi-, Kylä-, Paja- ja Luola-kohtauksia. 3D-Kalevala on tietokoneella tehty animaatio, joka kertoo Suomen kansalliseepoksen Kalevalan päähenkilöstä Väinämöisestä. Elokuvassa vanha Väinämöinen muistelee nuoruutensa tapahtumia. 3D-Kalevala-projekti käynnistettiin vuonna 2003, mutta sen alkuperäiset tekijät eivät saaneet sitä valmiiksi, ja projektin teko keskeytettiin vuonna 2005. Vuoden 2006 keväällä projektiin perustettiin uusi kahden verkkoviestinnän opiskelijan projektiryhmä, jonka tehtävänä oli saada elokuva valmiiksi vuoden 2007 kevääseen mennessä. Kun aloitimme projektin tekemisen, olin kolmiulotteisessa mallinnuksessa aloittelija. Tästä johtuen opinnäytteen kirjallinen osa on opas aloittelijoille partikkelien maailmaan. Selvitän raportissani miten elokuvan partikkeliefektit rakennettiin, mitä niiden tekeminen minulta vaati ja miten ne loppujen lopuksi mielestäni onnistuivat. Elokuvan efektit tehtiin 3D Studio Max-ohjelman versiolla 6.0, ja tämän takia kirjoitankin efektien rakentamisesta kyseisen ohjelman keinoin. Projektin suuruuden vuoksi molemmat tekijät pääsivät tekemään monenlaisia töitä, mutta päävastuualueet olivat selvät. Minun osani oli tehdä elokuvaan efektejä. Partikkeliefektit ovat proseduraalisia efektejä, joiden avulla on mahdollista tehdä aidon näköisiä luonnonilmiöitä, kuten tulta, savua, kipinöitä ja veden roiskeita. Koska partikkeliefektit mallintavat reaalimaailman ilmiöitä, on tekijän hyvä olla kiinnostunut selvittämään ilmiöiden käyttäytymistä luonnossa. Raportoin myös projektin aikana huomaamistani hyvistä tavoista opiskella itsenäisesti partikkelien rakentamiseen käytettyjä tekniikoita. On hyvä lukea 3D Studio Maxin tasokasta käyttöohjesovellusta, tutustua Internetissä löytyviin 3D-aiheisiin foorumeihin, käydä aiheesta tutoriaaleja läpi sekä tutustua ohjelman ominaisuuksiin kokeilemalla ja tutkimalla itsenäisesti. Elokuvan efektit onnistuivat mielestäni kiitettävästi ottaen huomioon lähtötasoni. Löysin tapoja kehittää itseäni ja helppoja keinoja toteuttaa realistista jälkeä efektien rakentamisessa. Toivon, että raportistani olisi jollekin 3D-partikkeliefekteistä kiinnostuneelle hyötyä.

CDS/ISIS

Este documento visa essencialmente fazer uma apresenta¸c˜ao sucinta do CDS/ISIS, destacando a suas potencialidades na gest˜ao e utiliza¸c˜ao de recursos bibliogr´aficos. ´E dada uma particular ˆenfase `a vers˜ao Windows deste sistema com o intuito de elucidar alguns conceitos e funcionalidades que caracterizam o CDS/ISIS.

Disseny i creació de bases de dades bibliogràfiques amb CDS/ISIS: l'experiència de SABA-DOC

Es descriu el procés de disseny i creació de bases de dades bibliogràfiques amb el programa CDS/ISIS. Es tracta de la base de dades SABA-DOC, principal producte del projecte Centres de Documentació i Biblioteques de Sabadell en Xarxa. La base de dades conté referències bibliogràfiques dels fons documentals de diverses entitats de Sabadell i els registres referits a Sabadell provinents de la base de dades del Servei d'Història Local de Catalunya, de la UAB. Es comenten aspectes de l'estructura de la base de dades, del seu manteniment i de la interfície de consulta des del web. S'hi inclou també una primera avaluació dels resultats obtinguts fins ara.