Metodología para la medición del riesgo de liquidez en una cooperativa financiera

Este trabajo plantea la implementación de una metodología para la medición del riego de liquidez al modelo interno adoptado por CONFIAR Cooperativa Financiera, haciendo énfasis en proyecciones estadísticas de los depósitos y retiros de cuentas de ahorro a la vista, depósitos y retiros de aportes sociales, captaciones en contratos de depósito a término, captaciones en depósitos contractuales y los desembolsos de créditos, a través del modelo de series de tiempo para la construcción del flujo de caja, conforme a lo exigido por la Superintendencia Financiera de Colombia.

Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. Résumé Cette thèse présente des modèles théoriques dévaluation des actifs et leurs applications empiriques. Mon objectif est d'étudier les problèmes suivants: la relation entre l'évaluation des actifs et les tendances des investisseurs à parier et à crainadre le désastre varie selon le temps ; les indications contraires pour l'entreprise et l'asymétrie des niveaux de marché peuvent être expliquées par les risques de perte en cas de baisse; l'apprentissage coûteux augmente le risque de liquidité. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles découvertes en ce qui concerne l'évaluation des actifs, les décisions relatives aux investissements et la liquidité de financement des entreprises. Le premier chapitre examine un modèle d'équilibre où les investisseurs ont des tendances hétérogènes à parier et à craindre le désastre. La préférence asymétrique représente le désir de parier, alors que le kurtosis d'aversion représente la crainte du désastre. En utilisant les données des Etats-Unis de 1988 à 2012, mon modèle démontre que dans les mauvaises périodes, l'aversion du risque est plus grande, plus de gens craignent le désastre et moins de gens parient, conatrairement aux bonnes périodes. Ceci mène à une nouvelle découverte empirique: la préférence relative au pari a un plus grand impact sur les évaluations des actifs durant les ralentissements de marché que durant les booms économiques. Exploitant uniquement cette relation générera un revenu excédentaire annuel de 7,74% qui n'est pas expliqué par les modèles factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour décomposer l'asymétrie du marché. Nous avons découvert que les mouvements de hausses et de baisses majeures du marché peuvent être prédits par les mouvements communs des bêtas. Un inadicateur appelé Systematic Downside Risk, SDR (risque de ralentissement systématique) est créé pour caractériser cette asymétrie dans les mouvements communs des bêtas. Nous avons découvert que le risque de ralentissement systématique peut prévoir les prochains mouvements des marchés boursiers de manière efficace, et nous obtenons des carrés R hors échantillon (comparés avec une stratégie utilisant des moyens historiques) de plus de 2,272% avec des données mensuelles. Un investisseur qui évalue le marché en utilisant le risque de ralentissement systématique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asymétrie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asymétriques conduit à un revenu de marché négativement asymétrique. Nous décomposons l'asymétrie des revenus du marché au niveau de l'entreprise et faisons cadrer ce fait par une plus grande réaction des entreprises aux nouvelles négatives du marché qu'aux nouvelles positives du marché. Cette décomposition révélé plusieurs variables de revenus de marché efficaces tels que l'asymétrie caractéristique pondérée par la volatilité ainsi que l'asymétrie caractéristique de ralentissement. Le troisième chapitre fournit une nouvelle base théorique pour les problèmes de liquidité qui varient selon le temps au sein d'un environnement de marché incomplet. Nous proposons un modèle d'équilibre général avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le véritable état de l'entreprise, par conséquent, les informations de paiement coutent de l'argent. La nouveauté est que l'acquisition de l'information coute plus cher durant les mauvaises périodes que durant les bonnes périodes, comme cela a été confirmé par de précédentes expériences. Lorsque la récession comamence, l'apprentissage coûteux fait augmenter les primes de liquidité causant un problème d'évaporation de liquidité, comme cela a été aussi confirmé par de précédentes expériences.

Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

Caffeine As An Indicator Of Estrogenic Activity In Source Water.

Caffeine has already been used as an indicator of anthropogenic impacts, especially the ones related to the disposal of sewage in water bodies. In this work, the presence of caffeine has been correlated with the estrogenic activity of water samples measured using the BLYES assay. After testing 96 surface water samples, it was concluded that caffeine can be used to prioritize samples to be tested for estrogenic activity in water quality programs evaluating emerging contaminants with endocrine disruptor activity.

Neck Circumference As A New Anthropometric Indicator For Prediction Of Insulin Resistance And Components Of Metabolic Syndrome In Adolescents: Brazilian Metabolic Syndrome Study.

To evaluate the correlation between neck circumference and insulin resistance and components of metabolic syndrome in adolescents with different adiposity levels and pubertal stages, as well as to determine the usefulness of neck circumference to predict insulin resistance in adolescents. Cross-sectional study with 388 adolescents of both genders from ten to 19 years old. The adolescents underwent anthropometric and body composition assessment, including neck and waist circumferences, and biochemical evaluation. The pubertal stage was obtained by self-assessment, and the blood pressure, by auscultation. Insulin resistance was evaluated by the Homeostasis Model Assessment-Insulin Resistance. The correlation between two variables was evaluated by partial correlation coefficient adjusted for the percentage of body fat and pubertal stage. The performance of neck circumference to identify insulin resistance was tested by Receiver Operating Characteristic Curve. After the adjustment for percentage body fat and pubertal stage, neck circumference correlated with waist circumference, blood pressure, triglycerides and markers of insulin resistance in both genders. The results showed that the neck circumference is a useful tool for the detection of insulin resistance and changes in the indicators of metabolic syndrome in adolescents. The easiness of application and low cost of this measure may allow its use in Public Health services.

Can type of school be used as an alternative indicator of socioeconomic status in dental caries studies? A cross-sectional study

Background: Despite the importance of collecting individual data of socioeconomic status (SES) in epidemiological oral health surveys with children, this procedure relies on the parents as respondents. Therefore, type of school (public or private schools) could be used as an alternative indicator of SES, instead of collecting data individually. The aim of this study was to evaluate the use of the variable type of school as an indicator of socioeconomic status as a substitute of individual data in an epidemiological survey about dental caries in Brazilian preschool children. Methods: This study followed a cross-sectional design, with a random sample of 411 preschool children aged 1 to 5 years, representative of Catalao, Brazil. A calibrated examiner evaluated the prevalence of dental caries and parents or guardians provided information about several individual socioeconomic indicators by means of a semi-structured questionnaire. A multilevel approach was used to investigate the association among individual socioeconomic variables, as well as the type of school, and the outcome. Results: When all significant variables in the univariate analysis were used in the multiple model, only mother's schooling and household income (individual socioeconomic variables) presented significant associations with presence of dental caries, and the type of school was not significantly associated. However, when the type of school was used alone, children of public school presented significantly higher prevalence of dental caries than those enrolled in private schools. Conclusions: The type of school used as an alternative indicator for socioeconomic status is a feasible predictor for caries experience in epidemiological dental caries studies involving preschool children in Brazilian context.

Nuclear morphometry in cytopathology: a prognostic indicator for canine cutaneous mast cell tumors

Twenty-nine canine cutaneous mast cell tumors (MCTs) were morphometrically analyzed with regard to mean nuclear area (MNA) using cytopathology smears. The results showed a correlation between MNA and survival. When graded into 2 morphometrically different groups, there were statistically significant differences among high- and low-grade MCTs, regarding both Romanowsky-type stain and hematoxylin and eosin. Cytomorphometry could also separate histologic grade II tumors with better prognosis from the more aggressive MCTs. The results indicated that nuclear morphometry on cytopathology preparations can predict the biological behavior of cutaneous MCTs in dogs in an independent manner, yielding a rapid and reproducible diagnosis, which renders the method useful for veterinary oncology.

A new indicator for international visibility: exploring Brazilian scientific community

Brazilian science has increased fast during the last decades. An example is the increasing in the country`s share in the world`s scientific publication within the main international databases. But what is the actual weight of international publications to the whole Brazilian productivity? In order to respond this question, we have elaborated a new indicator, the International Publication Ratio (IPR). The data source was Lattes Database, a database organized by one of the main Brazilian S&T funding agency, which encompasses publication data from 1997 to 2004 of about 51,000 Brazilian researchers. Influences of distinct parameters, such as sectors, fields, career age and gender, are analyzed. We hope the data presented may help S&T managers and other S&T interests to better understand the complexity under the concept scientific productivity, especially in peripheral countries in science, such as Brazil.

Tree-ring characterization of Araucaria columnaris Hook and its applicability as a lead indicator in environmental monitoring

Tree-rings have frequently been used for dating of trees and to determine annual growth increments and forest dynamics, but little is known in tropical conditions about their utilization for environmental monitoring. This paper presents the results of Araucaria columnaris tree-ring characterization by wood anatomy and X-ray densitometric analysis and the determination of Pb concentration. Core samples from twelve araucaria trees were extracted from two sites exposed to air pollution due to intense traffic of vehicles and industrial activities. The tree-rings distinctly presented radial variation in early-latewood thickness and density, and characteristics of juvenile and mature wood. Anatomical and X-ray densitometric analysis were useful to delimit the tree-ring boundaries and to date the tree-rings, as well as to prove the annual formation. The lead concentration in annual araucaria tree-rings, analyzed with graphite furnace atomic absorption spectrometry, indicated the seasonal presence of the heavy metal in the environment during the 30 years studied, although the Pb did not affect tree growth. (c) 2008 Elsevier GmbH. All rights reserved.

Alterations in energy properties of eucalyptus wood and bark subjected to torrefaction: The potential of mass loss as a synthetic indicator

Torrefaction is a mild pyrolysis process (usually up to 300 degrees C) that changes the chemical and physical properties of biomass. This process is a possible pre-treatment prior to further processes (transport, grinding, combustion, gasification, etc) to generate energy or biofuels. In this study, three eucalyptus wood species and bark were subjected to different torrefaction conditions to determine the alterations in their structural and energy properties. The most severe treatment (280 degrees C, 5 h) causes mass losses of more than 35%, with severe damage to anatomical structure, and an increase of about 27% in the specific energy content. Bark is more sensitive to heat than wood. Energy yields are always higher than mass yields, thereby demonstrating the benefits of torrefaction in concentrating biomass energy. The overall mass loss is proposed as a relevant parameter to synthesize the effect of torrefaction conditions (temperature and duration). Accordingly, all results are summarised by analytical expressions able to predict the energy properties as a function of the overall mass loss. These expressions are intended to be used in any optimization procedure, from production in the field to the final use. (c) 2010 Elsevier Ltd. All rights reserved.

Body weight as an indicator of fat-free mass in active elderly women

Objective: Fat-free mass (FFM) reduction and the tendency for a reduction in surrounding fatty issue and increase in the middle are a natural consequence of growing old and should be studied in order to gain a better understanding of the aging process. This study set out to find the FFM differences between active elderly women in two age groups (60-69 and 70-80 years) and to determine which of the anthropometric measurements, body weight (BW), abdominal circumference (AC), or body mass index (BMI) are the best predictors of FFM variation within the group. Methods: Eighty-one (n = 81) active elderly women of the Third Age willingly signed up to participate in the research during the activities at the University of the Third Age (UTA) in Brazil. The research was approved by the Research Ethics Committee of the Faculty of Medical Sciences of the State University of Campinas (UNICAMP). Body weight (BW), height (H) and the BMI were measured according to the international standards. The AC was measured in centimetres at the H of the navel and body composition was ascertained using bioimpedance analysis. The SAS program was used to perform the statistical analysis of independent samples and parametric data. Results: The results showed FFM values with significant differences between the two groups, with the lowest values occurring among the women who were over 70 years of age. In the analysis, the Pearson`s Correlation Coefficient for each measured independent variable was ascertained, with the BW measurement showing the highest ratio (0.900). Conclusions: The BW measurement was regarded as reliable, low-cost and easy to use for monitoring FFM in elderly women who engage in physical activities. (C) 2011 Elsevier Ireland Ltd. All rights reserved.

Sterilization of Medical Devices by Ethylene Oxide, Determination of the Dissipation of Residues, and Use of Green Fluorescent Protein as an Indicator of Process Control

Ethylene oxide (EO) is used to sterilize Oxygenator and Tubing applied to heart surgery. Residual levels of EO and its derivatives, ethylene chlorohydrin (ECH) and ethylene glycol (EG), may be hazardous to the patients. Therefore, it must be removed by the aeration process. This study aimed to estimate the minimum aeration time for these devices to attain safe limits for use (avoiding excessive aeration time) and to evaluate the Green Fluorescent Protein (GFP) as a biosensor capable of best indicating the distribution and penetration of EO gas throughout the sterilization chamber. Sterilization cycles of 2, 4, and 8 h were monitored by Bacillus atrophaeus ATCC 9372 as a biological indicator (131) and by the GFP. Residual levels of EO, ECH, and EG were determined by gas chromatography (GC), and the residual dissipation was studied. Safe limits were reached right after the sterilization process for Oxygenator and after 204 h of aeration for Tubing. In the 2 h cycle, the GFP concentration decreased from 4.8 (+/- 3.2)% to 7.5 (+/- 2.5)%. For the 4 h cycle, the GFP concentration decreased from 17.4 (+/- 3.0)% to 21.5 (+/- 6.8)%, and in the 8 h cycle, it decreased from 22.5 (+/- 3.2)% to 23.9 (+/- 3.9)%. This finding showed the potentiality for GFP applications as an EO biosensor. (C) 2009 Wiley Periodicals, Inc. J Biomed Mater Res Part B: Appl Biomater 9113: 626-630, 2009

An isolated perfused human placental lobule model for multiple indicator dilution studies

We describe a method for multiple indicator dilution studies in the isolated perfused human placental lobule developed to investigate the relationships between changes in pressure and flow and solute clearance. A peripheral lobule of a human placenta is perfused with a tissue culture-based medium and the perfusate oxygen tension, arterial and venous pressures, pH and perfusion temperature continuously monitored by a computerized system. Flow rates are readily changed. Bolus injections of vascular, extracellular and water space markers, and study compounds can be made into either maternal or fetal circulations, and precisely timed outflow fractions can be collected with computer-controlled fraction collectors, allowing simultaneous determination of concentration-time profiles of each marker. (C) 1997 Elsevier Science Inc.

Nasal eosinophilia: an indicator of eosinophilic inflammation in asthma

Background It is noteworthy that there is a clear clinical, epidemiological and pathophysiological association between upper and lower airway inflammation in rhinitis and asthma. Objective The aim of this study was to compare the eosinophil counts in induced sputum and nasal lavage fluids in asthma, checking their association and the accuracy of nasal eosinophilia as a predictor of sputum eosinophilia by a cross-sectional study. Methods The clinical evaluation, asthma control questionnaire (ACQ), pre- and post-bronchodilator spirometry, nasal and sputum sample was performed. The nasal eosinophilia was analysed by a receiver operating curve and logistic regression model. Results In 140 adults, the post-bronchodilator forced expiratory volume in 1 s (FEV(1)) did not differ between patients with or without sputum eosinophilia (0.18). After adjusted for upper airway symptoms, age, ACQ score and post-bronchodilator FEV(1), sputum eosinophilia was associated with 52 times increase in odds of nasal eosinophilia, whereas each 1% increase in bronchodilator response was associated with 7% increase in odds of nasal eosinophilia. Conclusion This study brings further evidence that upper airway diseases are an important component of the asthma syndrome. Furthermore, monitoring of nasal eosinophilia by quantitative cytology may be useful as a surrogate of sputum cytology in as a component of composite measurement for determining airway inflammation.