This thesis describes the development of a fast rate method for the deposition of high quality CdS and CdTe thin films. The technique uses Pulsed DC Magnetron Sputtering (PDCMS). Surprisingly, the technique produces highly stable process conditions. CREST is the first laboratory worldwide to show that pulsed DC power may be used to deposit CdS and CdTe thin films. This is a very promising process technology with potential for eventual industrial deployment. The major advantage is that the process produces high deposition rates suitable for use in solar module manufacturing. These rates are over an order of magnitude faster than those obtained by RF sputtering. In common with other applications it has also been found that the energetics of the pulsed DC process produce excellent thin film properties and the power supply configuration avoids the need for complex matching circuits. Conventional deposition methodologies for CdS, Chemical Bath Deposition (CBD) and CdTe thin films, Electrodeposition (ED), have been chosen as baselines to compare film properties with Pulsed DC Magnetron Sputtering (PDCMS). One of the issues encountered with the deposition of CdS thin films (window layers) was the presence of pinholes. A Plasma cleaning process of FTO-coated glass prior to the deposition of the CdS/CdTe solar cell has been developed. It strongly modifies and activates the TCO surface, and improves the density and compactness of the deposited CdS thin film. This, in turn, improves the optical and morphological properties of the deposited CdS thin films, resulting in a higher refractive index. The pinhole removal and the increased density allows the use of a much thinner CdS layer, and this reduces absorption of blue spectrum photons and thereby increases the photocurrent and the efficiency of the thin film CdTe cell. Replacing the conventional magnetic stirrer with an ultrasonic probe in the chemical bath (sonoCBD) was found to result in CdS films with higher optical density, higher refractive index, pinhole and void-free, more compact and uniform along the surface and through the thickness of the deposited material. PDCMS at 150 kHz, 500 W, 2.5 μs, 2 s, results in a highly stable process with no plasma arcing. It allows close control of film thickness using time only. The CdS films exhibited a high level of texture in the <001> direction. The grain size was typically ~50 nm. Pinholes and voids could be avoided by reducing the working gas pressure using gas flows ii below 20 sccm. The deposition rate was measured to be 1.33 nm/s on a rotating substrate holder. The equivalent deposition rate for a static substrate is 8.66 nm/s, which is high and much faster than can be achieved using a chemical bath deposition or RF magnetron sputtering. The transmission of CdS can be improved by engineering the band gap of the CdS layer. It has been shown that by adding oxygen to the working gas pressure in an RF sputtering deposition process it is possible to deposit an oxygenated CdS (CdS:O) layer with an improved band gap. In this thesis, oxygenated CdS films for CdTe TF-PV applications have been successfully deposited by using pulsed DC magnetron sputtering. The process is highly stable using a pulse frequency of 150 kHz and a 2.5 μs pulse reverse time. No plasma arcing was detected. A range of CdS:O films were deposited by using O2 flows from 1 sccm to 10 sccm during the deposition process. The deposition rates achieved using pulsed DC magnetron sputtering with only 500 W of power to the magnetron target were in the range ~1.49 nm/s ~2.44 nm/s, depending on the oxygen flow rate used. The properties of CdS thin films deposited by pulsed DC magnetron sputtering and chemical bath deposition have been studied and compared. The pulsed DC magnetron sputtering process produced CdS thin films with the preferred hexagonal <001> oriented crystalline structure with a columnar grain growth, while sonoCBD deposited films were polycrystalline with a cubic structure and small grainy crystallites throughout the thickness of the films. Examination of the PDCMS deposited CdS films confirmed the increased grain size, increased density, and higher crystallinity compared to the sonoCBD CdS films. The deposition rate for CdS obtained using pulsed DC magnetron sputtering was 2.86 nm/s using only 500 W power on a six inch circular target compared to the much slower (0.027 nm/s) for the sonoChemical bath deposited layers. CdTe thin films were grown on CdS films prepared by sonoCBD and Pulsed DC magnetron sputtering. The results showed that the deposition technique used for the CdS layer affected the growth and properties of the CdTe film and also determined the deposition rate of CdTe, being 3 times faster on the sputtered CdS. PDCMS CdTe layers were deposited at ambient temperature, 500 W, 2.9 μs, 10 s, 150 kHz, with a thickness of approximately 2 μm on CdS/TEC10 coated glass. The layers appear iii uniform and smooth with a grain size less than 100 nm, highly compact with the morphology dominated by columnar grain growth. Stress analysis was performed on the CdTe layers deposited at room temperature using different gas flows. Magnetron sputtered thin films deposited under low gas pressure are often subject to compressive stress due to the high mobility of the atoms during the deposition process. A possible way to reduce the stress in the film is the post-deposition annealing treatment. As the lattice parameter increased; the stress in the film is relieved. Also, a changing the deposition substrate temperature had an effect on the microstructure of CdTe thin films. Increasing the deposition temperature increased the grain size, up to ~600 nm. CdTe thin films with low stress have been deposited on CdS/TEC10 coated glass by setting the deposition substrate temperature at ~200°C and using high argon flows ~ 70 sccm Ar. Finally, broadband multilayer ARCs using alternate high and low refractive index dielectric thin films have been developed to improve the light transmission into solar cell devices by reducing the reflection of the glass in the extended wavelength range utilised by thin-film CdTe devices. A four-layer multilayer stack has been designed and tested, which operates across the wavelength range used by thin-film CdTe PV devices (400 850 nm). Optical modelling predicts that the MAR coating reduces the WAR (400-850 nm) from the glass surface from 4.22% down to 1.22%. The application of the MAR coating on a thin-film CdTe solar cell increased the efficiency from 10.55% to 10.93% or by 0.38% in absolute terms. This is a useful 3.6% relative increase in efficiency. The increased light transmission leads to improvement of the short-circuit current density produced by the cell by 0.65 mA/cm2. The MAR sputtering process developed in this work is capable of scaling to an industrial level.

La stratégie experte semi-automatique de prédiction de Séquences CoDantes (CDS) d'un chromosome procaryote est fondée sur le modèle statistique des chaînes de Markov. Elle est constituée des stratégies AMIMat pour l'apprentissage de l'hétérogénéité de composition des CDS d'un chromosome et AMIGene pour la reconnaissance et le filtrage des CDS les plus probables. AMIMat permet de construire k matrices de transition à partir de k classes de gènes définies selon l'usage des codons synonymes. La précision d' AMIGene dépend de la qualité des matrices et d'autres paramètres validés automatiquement par rapport à des annotations de référence. Autour de ces stratégies, un processus de réannotation de génome complet a été développé, en interaction avec notre base multigénome PkGDB, qui facilite l'homogénéisation des annotations des banques. Ce processus de (ré)annotation est utilisé dans de nombreux projets : Bacillus, Neisseria, Acinetobacter, Entérobactéries.

The purpose of this study was twofold: (a) Examine successful choral director beliefs about warm-ups and their successful practices in conducting warm-ups, and (b) examine the relationship of musical background, choral training and music teaching style of high school choral directors upon these beliefs and practices. Subjects were 365 high school choral directors from 28 states. Data were analyzed using descriptive analysis, correlation analysis, multivariate analysis of variance and multiple regression. Results indicated choral director's beliefs and practices differ as a function of musical back-ground, demographic characteristics, choral conducting training, and music teaching styles. Specifically, warm-up beliefs were predicted by knowledge of vocal health and variety of warm-ups. Conversely, those who relied on the warm-up time for discipline and focusing attention showed a significant negative relationship with their philosophy. From multiple regression analysis, doing choral warm-ups accounted for one-third of a director's overall success, predicted by 10 variables: (a) experience, (b) education, (c) teaching style teacher-directed performance, (d) teaching style deep-student learning, (e) warm-up literature and procedure, (f) planning warm-ups (g) warm-up content, (h) prior choral experience and piano background, (i) a foundation in music, and (j) a developed philosophy of choral warm-ups. However, having a philosophy about warm-ups did not predict successful teaching practices.

L'objectif de ce travail est d'élaborer des méthodes peu chères pour produire des matériaux semi-conducteurs pouvant entrer dans la fabrication de cellules solaires de type "eta" (extremely thin absorber). Ces cellules sont constituées d'une couche extrêmement fine d'un absorbeur inorganique dont la bande interdite est situé entre 1.1 et 1.8 eV placée entre deux nanostructures transparentes l'une de type n et l'autre de type p et dont les bandes interdites doivent être supérieurs à 3.3 eV. Une couche compacte et des nanofils de ZnO ont été préparés en mode galvanostatique. Les dimensions des nanofils ont été contrôles à l'aide de la couche compacte et de la densité du courant appliqué. La photosensibilisation des nanofils par des couches uniformes de CdS, CdSe et CdTe prÈparÈe par la méthode SILAR (Successive Ionic Layer Adsorption and Reaction) a été étudiée. Les propriétés de ces couches ont été améliorées par recuit et traitement chimique. En ce qui concerne les fines coquilles de CdTe deux autres méthodes de sensibilisation ont été également étudiées : la CSS (Close Space Sublimation) et les QDs (Quantum Dots). La première méthode conduit à un faible recouvrement alors que la seconde produit un matériau mal défini optiquement. Les hétérostructures formées sur les nanofils ont été complétées par une couche de CuSCN, un semi-conducteur de type p, préparée par trois méthodes différentes. L'influence de la morphologie de ces couches sur les propriétés des cellules eta a été étudiée. Les films préparés par électrodéposition et SILAR sont plus rugueux que ceux obtenus par imprégnation et leur conductivité est moins bonne. Les hétérostructures (avec CdS et CdSe comme absorbeurs) ont été testées dans une cellule photoélectrochimique et les rendements obtenus (jusque 2%) montrent une amélioration certaine des propriétés de ces matériaux préparée par SILAR-modifiée ainsi que des interfaces ZnO/absorbeur. La qualité des matériaux obtenus par SILAR montre qu'aujourd'hui on peut s'attendre à une Renaissance de cette technique.

The first-to-default Credit Default Swap (CDS) with multiple assets is priced when the default barrier is changing over time, which is contrast to the assumption in most of the structural-form models. The survival function of each asset follows the lognormal distribution and the interest rate is constant over time in this article. We define the joint survival function of these assets by employing the normal and Student-t copula functions to characterize the dependence among different default probability of each asset. In addition, we investigate the empirical evidences in the pricing of CDS with two or three companies by changing the values of parameters in the model. The more interesting results show that the joint default probability increases as these assets are more positive correlated. Consequently, the price of the first-to-default CDS is much higher.

The role of interspecific competition as a regulating force in natural populations has been controversial, especially for phytophagous insect communities. A series of manipulative experiments using enclosure cages were conducted to evaluate the role of interspecific competition between a weevil and a fly, two seed feeding agents released against spotted knapweed in North America. The fly, an inferior biological control agent, was the superior competitor. Consequences of the antagonistic interaction included reduced seed destruction compared to if just the weevil was released on its own. The role of plant phenology on insect herbivore density was also assessed. The implications of phenologyinduced variation in insect density were evaluated with respect to competition between the fly and the weevil and were found to be important. Hypotheses of four plantmediated mechanisms of interspecific competition were also tested. Results support resource preemption as a competitive mechanism. / vii, 97 leaves ; 29 cm

When materials approach the size of few nanometers, they show properties which are significantly different from their bulk counterpart. Such unique/improved properties make them potential candidate for several emerging applications. At the reduced dimension, controlling the shape of nanocrystals provides an effective way to tune several material properties. In this regard, wet chemical synthesis has been established as the ultimate route to synthesize nanocrystals at ultra-small dimensions with excellent control over the morphology. However, the use of surfactant poses a barrier into efficient realization of its application as it requires a clean interface for better performance. Exercise of available cleaning protocols to clean the surface often leads to coarsening of the nanoparticles due to their inherent high surface curvature. For anisotropic nanomaterials, rounding of the shape is an additional problem. Anchoring nanomaterials onto substrates provides an easy way to impart stability. In this thesis, ultrathin Au nanowires, that are inherently unstable, have been shown to grow over a wide variety of substrates by in-situ functionalization. Use of nanomaterials as device component holds promise into miniaturization of electronics. But device fabrication in such cases require manipulation of nanomaterials with enhanced control. Dielectrophoresis offers an easy way to assemble nanomaterials in between contact pads and hence evolved as a promising tool to fabricate device with a good level of precision. Herein, directed assembly of ultrathin Au nanowires by dielectrophoresis, has been shown as an efficient strategy to fabricate devices based on the wires. Combining more than one nanocrystal, to form a heterostructure, often has the advantage of synergism and/or multifunctionality. Therefore, synthesis of heterostructure is highly useful in enhancing and/or adding functionalities to nanomaterials. There are several routes available in literature for synthesis of heterostructures. Newer strategies are being evolved to further improve performance in an application specific way. In that regard, a good understanding of mechanism of formation is crucial to form the desired product with the required functionality. For example, Au due to high electron affinity has been known to undergo reduction rather than cation exchange with chalcogenides. In this thesis, it has been shown that the final product depends on the delicate balance of reaction conditions and the system under study using CdS-Au as the model system. In yet another case, PdO nanotubes have been shown to form, on reaction of PdCl2 with ZnO at higher starting ratio of the precursors. In-situ generation of HCl provides an effective handle for tuning of the product from the commonly expected hybrid to hollow. Graphene has evolved as a wonder material due to its wide range of practical applications. Its superior conductivity with high flexibility has made it an important material in the field of nanoelectronics. In this thesis, an interesting case of packed crumpled graphene has been shown to sense a wide variety of strain/pressure which has applications in day to day life. The study reported in the thesis is organized as follows: Chapter 1 presents a general introduction to nanomaterials followed by the review of the available strategies to synthesize various 1D nanomaterials. Subsequently, a section on the classification of hybrid followed by the different synthetic protocols adopted in literature to synthesize them, have been provided. A review on the available methodologies for directed assembly of nanomaterials has been presented. Chapter 2 provides a summary of the materials synthesized and the techniques used for characterization of the materials. A brief description of all the synthetic strategy adopted has been provided. The basic principle of all the characterization techniques used, has been explained. A section explaining the principle of dielectrophoresis has also been presented. Chapter 3 presents a general method to grow ultrathin Au nanowires over a variety of substrates with different nature, topography and rigidity/flexibility. Ultrathin nanowires of Au (~2 nm in diameter) are potentially useful for various catalytic, plasmonic and device applications. Extreme fragility on polar solvent cleaning was a limitation in realizing the applications. Direct growth onto substrate was an alternative but poor interfacial energy of Au with most commercial substrates lead to poor coverage. In this chapter, in-situ functionalization of the substrates have been shown to improve Au nucleation dramatically which lead to growth of dense, networked nanowires over large area. Catalysis and lithography-free device fabrication has been demonstrated. Using the same concept of functionalization, SiO2 coating of the nanowires have been shown. A comparative study of thermal stability of these ultrafine Au nanowires in the uncoated and coated form, has been presented. Chapter 4 demonstrates an ultrafast device fabrication strategy with Au nanowires using dielectrophoresis. While dense growth of Au nanowires is beneficial for some applications, it is not so for some others. For example, miniaturization of electronics require large number of devices in a small area. Therefore, there is a need for methods to manipulate nanowires so as to place them in the desired location for successful fabrication of device with them. In this chapter, dielectrophoresis has been used for assembling nanowires in between and at the sides of the contact pads. Alignment under different conditions lead to an understanding of the forces. Fabrication of a large number of devices in a single experiment has been demonstrated. Chapter 5 presents a simple route to synthesize CdS-Au2Sx hybrid as a result of cation-exchange predominantly. Au due to high electron affinity has been shown in literature to undergo reduction rather than cation exchange with CdS. In this chapter, it has been shown that cation exchange may be a dominant product. The competition between cation exchange and reduction in the case of CdS-Au system has been studied using EDS, XRD, XPS and TEM. Thermodynamic calculation along with kinetic analysis show that the process may depend on a delicate balance of reaction conditions and the system under study. The methodology adopted, is general and may be applied to other systems. Chapter 6 presents an one pot, ultrafast microwave route to synthesize PdO hollow/hybrid nanomaterials. The common strategy to synthesize hollow nanomaterials had been by nucleation of the shell material on the core and subsequent dissolution of the core. In this chapter, a one step method to synthesize hollow PdO nanotubes, using ZnO nanorods as sacrificial template, has been shown. By tuning the ratio of the PdCl2 (PdO precursor) to ZnO, ZnO-PdO hybrid could be obtained using the same method. The PdO nanotubes synthesized could be converted to Pd nanotubes by NaBH4 treatment. Study of thermal stability of the PdO nanotubes has been carried out. Chapter 7 demonstrates a simple strategy to sense a variety of strain/pressure with taped crumpled graphene. Detection of ultralow strain (10-3) with high gauge factor is challenging and poorly addressed in literature. Taped crumpled graphene has been shown to detect such low strain with high gauge factor (> 4000). An ultra-fast switching time of 20.4 ms has been documented in detection of dynamic strain of frequency 49 Hz. An excellent cyclic stability for >7000 cycles has been demonstrated. The same device could be used to detect gentle pressure pulses with consistency. Slight modification of the device configuration enabled detection of high pressure. Simplicity of the device fabrication allowed fabrication of the device onto stick labels which could be pasted on any surface, for instance, floor. Hard pressing, stamping with feet and hammering shocks do not alter the base resistance of the device, indicating that it is extremely robust. Sealed arrangement of the graphene allowed operation of the device under water in detection of water pressure. Presence of trapped air underneath the tape enabled detection of air pressure both below and above atmospheric pressure.

Research activities towards the self-assembly of small organic molecules building blocks which lead to form supramolecular gel has increased extensively during the past two decades. The fundamental investigations of the morphological properties and the mechanical properties of these supramolecular gels are crucial for understanding gelation processes. Most supramolecular gelators were discovered by serendipity, but nowadays ratiional design of new gelators has become somewh at feasible. As a consequence, an increasing number of multi stimuli-responsive and functional molecular gels are reported, offering great prospects with myriads of applications includ ing drug delivery and smart materials as shown in scheme 1. Scheme 1 Part 2: Synthesis of semiconductor nanocrystals In the last two decades, the synthetic development of semiconductor col loidal nanocrystals has been extended from the adjustment of their size, shape, and composition of the particles at the molecular level. Such adjustments of nanocrystals at the molecula r level might open different fields of applications in materials and biological sciences. I n this chapter, the concept of the shape contr ol synthesis of colloidal nanocrystals with a narrow size distribution, and the synthesis of composition dependent alloy type mat erials are described (Scheme 2). Scheme 2 Chapter 2: Synthesis of luminescent semiconductor nanocrystals Part 1: Cadmium deoxycholate: a new and efficient precursor for high ly luminescent CdSe nanocrystals This part demonstrates the sy nthesis of Cadmium deoxycholate (CdDCh2), an efficient Cd-precursor for the synthesis of high quality, monodisperse, multi color emittting CdSe Scheme 3 nanocrystals, while maintaining their high photoluminescent quantum efficiency (Scheme 3). The high thermal stability of CdDCh2 (decomposition temperature: 332 °C) was utilized to achieve high injection and growth temperatures (∼300 °C) for the syntheesis of red emitting nanocrystals with a sharp f ull width at half maximum (FWHM) and multiple excitonic absorption features. We believe that CdDCh2 can be useful for the prreparation of other nanomaterials such as CdS, CdTe and CdSe@CdS core-shell QDs. Part 2: Ligand mediated exccited state carrier relaxation dynamics of Cd1-xZnxSe1-ySy NCs derived from bile salts Bile salts of Cadmium and Zinc provide a convenient and inexpensive single step synthetic route for highly photoluminescent and stable semiconductor nanocrystals (NCs). The high thermal stabilities of Cadmium and Zinc deoxycholates (CdDCh2 and ZnDCh2) allowed us to fine-tune the synthesis of the NCs at high temperatures while maintaining the monodispersity, crystallinity and reproducibility (Scheme 4). Organic capping agent induced lattice strain affects the excited Scheme 4 state relaxation processes of the NCs. The analysis of photoluminescence decay profiles revealed that the average lifettime decreased with the increasing lattice strain of the NCs. A kinetic stochastic model of photoexcited carrier relaxation dynamics of NCs was employed to estimate the values of the radiative recombination rates, the photoluminescence quenching rates and the non-radiative recombination rates of the NCs. These data showed that the non-radiative relaxation rates and the numbeer of surface trap states increased with the incrreasing lattice strain of the NCs. Such types of NCs can have great potential in nonlinear optics, photocatalysis and solar cells. Chapter 3: Synthesis of organic-inorganic hybrid materials Part 1: Hierarchical self-assembly of photoluminescent CdS nanoparticles into bile acid derived organogel: morphological and photophysical properties In this part a strategy towards integrating photoluminescent semiconductor nanoparticles into a bio-surfactant derived organoggel has been reported. A facially amphiphilic bile thiol was used for capping CdS nanoparticless (NPs) which were embedded in a gel derived from a new bile acid organogelator in order to furnish a soft hybrid material (Scheme 5). The presence of CdS NPs in a well-ordered 1D array on the organogel network was confirmed using microscopic Scheme 5 techniques. Photophysical stuudies of the gel–NP hybrid revealed resolved excitation and emission characteristics. Time resolved spectroscopic studies showed that the average lifetime value of the CdS NPs increased in the gel state compared to the sol phase. A kinetic model was utilized to obtain quantitative information about the different decay pathways of the photoexcited NPs in the sol and gel states. Part 2: A novel strategy towards designing a CdSe quantum dot–metallohydrogel composite material This section describes an efficiient method to disperse hydrophobic CdSe quaantum dots (QDs) in an aqueous phase using cetyltriimethylammonium bromide (CTAB) micelles without any surface ligand exchange. The water soluble QDs were then embedded in the 3D self-assembled fibrillar networks (SAFINs) of a hydrogel showing homogeneous dispersibility as eviidenced by Scheme 6 optical and electron microscopico techniques (Scheme 6). The photophyssical studies of the hydrogel–QD from composite are reported for the first time. These composite materials may have potential applications in biology, optoelectronics, sensors, non-linear optics and materials science. Part 3: Photophysical aspectts of self-assembled CdSe QD-organogel hyybrid and its thermoresponsive properties A luminescent hybrid gel was constructed by incorporating CdSe quantuum dots (QDs) in a facially amphiphilic bile acid derived dimeric urea organogel throough non-covalent interaction between ligands capped on QDs surface and hydrophobic pockets of the gel (Scheme 7). The optical transparency of the hybrid materials and the dirrectionalities of the QDs in the gel medium were confirmed by photophysical and microscopic studies. The detailed excited state dynamics of the QD–organogel hybrid has been reported for the first time with the help of lifetime analysis and a kinetic decay model, and thee data revealed that the average lifetime of the QDs decreased in the gel medium. The reversible thermoresponsive behavior of the QD doped organogel was investigated by steady-state fluorescence spectroscopy. W e believe that the results obtained herein provides a route to develop a thermoresponsive system for practical application, especially because of the spatial assembly between soft organic scaffolds and colloidal QDs. Scheme 7 Part 4: In-situ formation of luminescent CdSe QDs in a metallohydrogel: a strategy towards synthesis, isolation, storage and re-dispersion of the QDs A one step, in-situ, room temperature synthesis of yellow luminesce nt CdSe QD was achieved in a metallohydrog el derived from a facially amphiphilic bile salt, resulting in a QD-gel hybrid (Scheme 8). T he ordered self-assembly and homogeneous distribution of the CdSe QDs in the hydrogel network was observed from optical and electro n micrographs. The different excited state behav iors of the hybrid were revealed for the fir st time using time resolved spectroscopy. Ad ditionally, we described the successful isolation of the photoluminescent CdSe QDs from the gel followed by their re-dispersion in an organic solvent using suitable capping ligands. Scheme 8 Chapter 4: Facially a mphiphilic bile acid derived meta llohydrogel: an efficient template for th e enantioselective Diels-Alder reactio n An enantioselective Diels-Ald er reaction mediated by a facially amphiphilic bile acid derived metallogel scaffold has been a chieved (Scheme 9). Different hydrophobic domains present in Scheme 9 the gel appear to facilitate the enantioselective reaction. Various spectro scopic and electron microscopic techniques were employed to understand the possible reasons for the stereoselectivity in the gel. Subsequently, different counter anion s dependent rate accelerations and induced enantioselectivity in the ZnCh2 gel were studied in detail. These preliminary results of the non-covalent based supramolecular heterogeneous catalysis offer new possibilities for using metallogels as nanoreactors for different stereoselective reactions.

Submitted by Márcio Martins Bonilha Neto (marciombneto@gmail.com) on 2016-03-08T00:56:19Z No. of bitstreams: 1 Aspectos Institucionais do Risco País.pdf: 896188 bytes, checksum: 08b8748e7bceb5984bd2d264be2d3c02 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Marcio, boa tarde Por gentileza, alterar SÃO PAULO 2015 para SÃO PAULO 2016, devido à data de sua apresentação. Após alteração, realizar uma nova submissão. Att on 2016-03-08T17:10:39Z (GMT) / Submitted by Márcio Martins Bonilha Neto (marciombneto@gmail.com) on 2016-03-10T01:08:41Z No. of bitstreams: 1 Dissertação Márcio.pdf: 893573 bytes, checksum: 6d4dc46af4ab85a1fe8353677f8b5f7c (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-03-10T16:27:09Z (GMT) No. of bitstreams: 1 Dissertação Márcio.pdf: 893573 bytes, checksum: 6d4dc46af4ab85a1fe8353677f8b5f7c (MD5) / Made available in DSpace on 2016-03-10T16:46:25Z (GMT). No. of bitstreams: 1 Dissertação Márcio.pdf: 893573 bytes, checksum: 6d4dc46af4ab85a1fe8353677f8b5f7c (MD5) Previous issue date: 2016-02-15 / The measurement of country risk is of utmost importance at a time of frequent international portfolio diversification. This paper aims to understand which variables are important in these metrics, with a main focus among institutional aspects. To accomplish this purpose, it analyzes the Credit Default Swap (CDS) and the Emerging Markets Bond Index (EMBI), which not only measure the risk of countries, but also are also financial products, bought and sold by hedgers and speculators. Their prices are therefore formed by the market. The intent here is to analyze whether the institutional aspects of the countries, as well as their changes, are important in defining this risk, without forgetting, of course, the economic variables of each country. By institutional aspects, we understand the structure of the state, such as democracy and corruption in each country, press freedom, the socioeconomic status of the population, the fact that the country has a parliamentary regime, the influences the legal system, among other variables. / A mensuração do risco país é de extrema importância em um momento de frequente diversificação internacional do portfólio. O presente trabalho pretende entender quais as variáveis são importantes nessas métricas, com um foco principal entre os aspectos institucionais. Para isso, são analisados o Credit Default Swap (CDS) e o Emerging Markets Bond Index (EMBI), que além de medirem o risco dos países, são também produtos financeiros, comprados e vendidos por hedgers e especuladores. Seus preços são, portanto, formados pelo mercado. A intenção aqui é analisar se os aspectos institucionais dos países, bem como suas alterações, são importantes na definição deste risco, sem esquecer, obviamente, das variáveis econômicas de cada país. Por aspectos institucionais, entendemos a estrutura do Estado, como é a democracia e a corrupção em cada país, a liberdade de imprensa, o nível socioeconômico da população, o fato de o país é parlamentarista, as influências do sistema jurídico, entre outras variáveis.

Submitted by Guilherme Candido (gui0488@hotmail.com) on 2018-03-07T00:37:23Z No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2018-03-07T23:11:03Z (GMT) No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) / Made available in DSpace on 2018-03-08T13:03:44Z (GMT). No. of bitstreams: 1 Dissertação - Guilherme Amaral Candido.pdf: 2626690 bytes, checksum: 1e894027eeaf3360d910fb69a4a1f0b2 (MD5) Previous issue date: 2018-02-07 / Extensa literatura existe acerca de apreçamento de derivativos de crédito, em especial Credit Default Swaps, porém pouco foi discutido sobre o caso peculiar brasileiro, com convenções de taxas de juros e legislação específicas. Este trabalho foca na implementação de um modelo de intensidade, em particular o modelo padrão da ISDA, adaptado à um contrato de CDS no Brasil sobre um emissor corporativo. Spreads de Credit Default Swaps negociados no mercado offshore, yields de bonds e yields de debêntures foram utilizados como insumos para obtenção das taxas implícitas de intensidade de default e backtesting do modelo. Os dados utilizados compreendem o período de 2015 a 2017, englobando momentos de estresse relacionados à crise política brasileira. Algumas aplicações são, então, apresentadas, entre elas hedging, basis trading e estruturação de Credit Linked Notes. / Extensive literature exists on the pricing of credit derivatives, particularly Credit Default Swaps, yet little has been discussed about the distinctive Brazilian case, with specific legislation and interest rate conventions. This work aims to implement an intensity model, in particular the standard ISDA model, adapted to a CDS contract in Brazil on a corporate issuer. Spreads of Credit Default Swaps traded in the offshore market, offshore bond yields and local bond yields were used as inputs for obtaining the implicit hazard rates and for back testing the model. The data used cover the period from 2015 to 2017, including relevant moments of stress related to the Brazilian political crisis. Some applications are then presented, including hedging, basis trading and Credit Linked Notes structuring.