Orientador : Emílio Carlos Elias Baracat / Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Ciências Médicas / Made available in DSpace on 2018-08-18T00:07:53Z (GMT). No. of bitstreams: 1 Brandao_MarceloBarciela_D.pdf: 2612673 bytes, checksum: 3bb685dc4af2be4d8a19650a17375f03 (MD5) Previous issue date: 2011 / Resumo: Escores de predição de mortalidade são instrumentos utilizados para a identificação de grupos de risco, visando orientar a adoção de medidas eficazes no tratamento precoce. O escore mais recente usado para essa finalidade é o Pediatric Index of Mortality (PIM) II. Este estudo avalia o desempenho do escore PIM II em unidade de terapia intensiva pediátrica (UTIP). Trata-se de um estudo prospectivo, observacional. Foram estudadas uma série de crianças internadas consecutivamente em uma UTIP brasileira, entre maio de 2005 a dezembro de 2009. Os cálculos do PIM II foram realizados conforme estabelecido pelo artigo original. Foi analisado o Standardized Mortality Ratio (SMR), que é a relação entre o número de óbitos encontrados pelo número esperado. A probabilidade de óbito foi dividida em cinco grupos de risco: menor de 1% (grupo I), entre 1 e 4% (grupo II), entre 5 e 14% (grupo III), entre 15 e 29% (grupo IV) e maior ou igual a 30% (grupo V). Na admissão e na evolução da internação foram registrados: idade, diagnóstico, tempo de internação, intubação orotraqueal e desfecho. Foram analisadas 769 admissões, com uma mediana de tempo de internação de 3,8 dias. A média de idade dos pacientes foi de 3,2 anos. Os grupos diagnósticos definidos pelo estudo original do PIM II mostraram um predomínio de doenças respiratórias (391 casos, 50,8%). Foram submetidos à ventilação pulmonar mecânica 453 pacientes (58,9%). Ocorreram 72 óbitos (9,4%), sendo que o número de óbitos esperado pelo PIM2 era de 51,58. O SMR foi 1,402, ou seja, valor 40,2% maior que o esperado. Entre os diversos grupos este valor foi 3,38 (grupo I), 1,85 (grupo II), 1,92 (grupo III), 0,83 (grupo IV) e 1,07 (grupo V). Na coorte de pacientes deste estudo, o número de óbitos nos grupos de menor risco (I, II e III) foi maior que o predito pelo escore PIM II / Abstract: Mortality prediction scores are tools for the identification of risk groups, aiming to guide the adoption of more effective early treatment measures. Pediatric Index of Mortality (PIM) II is the more recent score used for this purpose. This study evaluates the performance of PIM II score in pediatric intensive care unit (PICU). It is a prospective, observational study. It was included all consecutive patients admitted between May 2005 and December 2009 in a Brazilian PICU. PIM II calculations were performed as set out by original article. It was analyzed the Standardized Mortality Rate (SMR), number of deaths encountered divided by the number expected. The risk of death was divided into five groups: less than 1% (group I), between 1 and 4% (group II), between 5 and 14% (group III), between 15 and 29% (group IV) and greater than or equal to 30% (group V). Upon admission and during hospitalization age, diagnosis, length of stay, orotracheal intubation and outcome were registered. A total of 769 patients were admitted and analyzed. The median length of stay was 3.8 days. The mean age of patients was 3.2 years. The diagnostic groups defined by the original PIM II study presented a prevalence of respiratory diseases (391 cases, 50.8%). A total of 453 patients (58.9%) underwent mechanical ventilation. There were 72 deaths (9.4%), while the number of deaths expected using PIM II was 51.58. The Standardized Mortality Ratio was 1.402 that is 40.2% greater. Among the several groups, this value was 3.38 (group I), 1.85 (group II), 1.92 (group III), 0.83 (group IV) e 1.07 (group V). In the cohort of patients in this study, the number of deaths encountered in the low risk groups (I, II and III) was higher than the prediction by PIM II score / Doutorado / Pediatria / Doutor em Saude da Criança e do Adolescente

Objective: To verify if the noise caused by sucking and swallowing mechanisms interferes in the quality of transient evoked otoacoustic emissions (TEOAE) in neonates with and without risk indicators for hearing loss by comparing the responses without sucking with situations of non-nutritive sucking, breast-feeding nutritive sucking and bottle-feeding nutritive sucking. Methods: a study carried out with 53 neonates (13 with risk indicators for hearing loss), evaluated with TEOAE, at rest and in three different cases: non-nutritive sucking, breast-feeding nutritive sucking and bottle-feeding nutritive sucking. Results: Studying the different types of sucking, it was found that the greater incidence of failure occurred at the frequency of 2000 Hz for all the three types of sucking. An increase in the noise intensity was observed in all frequencies during the capture of TEOAE in the left ear in all types of sucking studied. At 1400, 2000, 2800, and 4000 Hz, the signal to noise ratio decreased in the left ear during sucking. In breast-feeding nutritive sucking, the noise levels were lower at 1400 Hz and the signal to noise ratio was higher at the same frequency as well as at 2000 Hz. When neonates were compared regarding the presence or not of risk indicators for hearing loss, the seconds during non-sucking situation showed higher amplitude of TEOAE at the frequencies of 700, 1000, 2000, and 4000 Hz, and at 1000 and 4000 Hz during sucking. In both groups, a decrease in the amplitude of TEOAE and in the noise at 700 Hz during sucking was observed. At the other frequencies, the noise level increased in the sucking situation. There was no change in the signal to noise ratio between the conditions of sucking and nonsucking at 700 and 1000 Hz. At 1400 Hz, the sucking impaired the signal to noise ratio causing absence of response. At 2000, 2800, and 4000 Hz, the signal to noise ratio remained greater than 6 dB. Conclusions: The evaluation of TEOAE during sucking can be performed in neonates with and without risk indicators for hearing loss, since the criteria of presence/absence are achieved in at least three frequencies studied. / Objetivo:verificar se os ruídos provocados pelo mecanismo de sucção/deglutiçãointerferem na amplitude das Emissões Otoacústicas Evocadas Transientes(EOAETs) em neonatos com e sem indicadores de risco para perda auditiva, comparando as respostas sem sucção com as situações de sucção não nutritiva,sucção nutritiva no peito materno e em sucção nutritiva em mamadeira. Métodos:estudo realizado com 53 neonatos (13 com indicadores de risco para deficiência auditiva), avaliados com EOAETs, em repouso e em três situações de sucção:sucção não nutritiva, sucção nutritiva no peito materno e sucção nutritiva na mamadeira. Resultados: em 700, 1000, 2000 e 4000 Hz a amplitude foi maior no grupo sem indicadores de risco, e na situação de sucção, apenas em 1000 e 4000Hz. Em 700 Hz observou-se diminuição na amplitude das EOAETs e do ruído, quando mensuradas durante a sucção. O nível de ruído aumentou em sucção. Em 700 e 1000 Hz não houve variação da relação sinal/ruído entre as duas situações. Em 1400 Hz a sucção prejudicou a relação sinal/ruído, provocando ausência de respostas. Em 2000, 2800 e 4000 Hz a variável se manteve superior a seis dB. Constatou-se na freqüência de 2000 Hz maior ocorrência de falha durante a sucção. Analisando a variável ruído, em todas as freqüências houve aumento de sua intensidade durante a avaliação das EOAETs em sucção na orelha esquerda. Em 1400, 2000, 2800 e 4000 Hz houve interferência também na relação sinal/ruído, que diminuiu na orelha esquerda, durante a sucção. Encontrou-se níveis de ruído menores em 1400 Hz, durante a avaliação das EOAETs em sucção nutritiva no peito, e relação sinal/ruído maior na mesma freqüência e em 2000 Hz. Conclusões: A avaliação das EOAETs durante a sucção pode ser executada em neonatos com e sem indicadores de risco para deficiência auditiva, já que os critérios de presença/ausência são atingidos em pelo menos três freqüências analisadas e as alterações produzidas com esta estratégia não prejudicam as respostas ao ponto de evidenciar resultados falso/positivos.

The currency carry trade – whereby one simultaneously borrows in a currency with low interest rate and invests in a currency with high interest rate – is estimated to be at least USD 2.0 trillion in emerging markets alone. By some characterised as “picking up nickels in front of a steam roller”, the carry trade is subject to pronounced periods of disadvantageous currency depreciations. Although the carry trade has been profitable historically, these sudden depreciations at least attenuate, if not completely eradicate returns. The search for yield has led contemporary investors to emerging markets where the volatility is higher, thereby increasing risk and prospective return. The purpose of this thesis is to investigate how quantitative risk indicators can be constructed in order to detect market-reversals, mitigate currency depreciations, and ultimately improve the profitability of the emerging market currency carry trade. For this purpose risk has been categorised into two dichotomous risk classes, global and idiosyncratic; the former referring to systematic, non-country specific risk; the latter to residual, country specific risk. Each risk has been modelled separately. By optimising carry trade return conditioned on a number of distinctive risk measures, attributable to the respective risks, it was concluded that a broad weighted global risk indicator provide substantially augmented risk-adjusted return in an emerging market carry trade, while idiosyncratic indicators might require a bespoke framework for each currency at hand. / Valuta carry-handeln (carry trade) – vari en investerare lånar i en valuta med låga räntor och investerar i en valuta med höga räntor – beräknas omfatta åtminstone två biljoner USD enbart i tillväxtmarknader. Karakteriserat av vissa som att ”plocka upp kronor framför en ångvält” [författarnas översättning], är carry-handeln utsatt för tydliga perioder av ogynnsamma valutadeprecieringar. Trots carry-handelns historiska lönsamhet, dämpar, om inte helt raderar, dessa nedgångar avkastningen. Sökandet efter avkastning har fått investerare att alltmer vända sig till tillväxtmarknader, där volatiliteten är högre och därmed risken samt den förväntade avkastningen. Syftet med denna uppsats är att utforska hur kvantitativa riskindikatorer kan konstrueras för att förekomma marknadsvändningar, dämpa effekten av valutadeprecieringar, och slutligen stärka carry-handels lönsamheten i tillväxtmarknader. I detta syfte har risk kategoriserats i två tudelade riskklasser, global och idiosynkratisk; den förra hänsyftar systematisk, icke-landspecifik risk; den senare osystematisk, landspecifik risk. Vardera risken har modellerats separat. Genom att optimera carry-handelns avkastning villkorat under ett antal distinkta riskmått hänförbara till respektive risk, drogs slutsatsen att en bred, viktad, global riskindikator gav carry-handeln i tillväxtmarknader väsentligt förbättrad riskjusterad avkastning, medan idiosynkratiska riskindikatorer kräver speciellt anpassat tillvägagångssätt för vardera valutan.

Supply chain risk management (SCRM) is a topic that gains more and more interest from both the academic and practitioner’s perspective. The reason for this is the increased complexity in the global supply chain (SC) networks and many managers do not realize the risks they build in their SC by the continuous search to cut cost and decrease tied up capital. One problem with SCRM is that it is hard to measure the performance of it and if it is really beneficial to work with it. The objective for this master thesis is to investigate how companies can evaluate and thereby improve their SCRM efforts by connecting the field of SCRM to the field of performance measurement systems (PMS). First, a thorough literature search was conducted where the current literature about SCRM and PMS was examined to understand what the literature recommends. This was followed by a multiple case study including semi-structured interviews with SC managers at eight companies to get the practical aspect of the problem.The results of the research show that companies work with SCRM in many different ways. The companies that have advanced furthest are the ones that have connected their SCRM to existing key performance indicators (KPIs) and because of that they have been able to measure the results of their SCRM efforts. The top-performers had a comprehensive understanding of their risk drivers and risks that affected their SC, which was consistent with the literature. Connecting the SCRM to the PMS, the companies can better monitor how the SCRM affect the performance goals for the SC performance. Then the next step is then to connect key risk indicators (KRIs) to the key KPIs that will give managers longer time to react to potential risks. Only one company in the study had accomplished this, hence, there is a great space for improvements for many companies.

利差交易(Carry Trade)是在各種貨幣的利率水平上進行套利的交易以獲得價差收益的交易型態。而利差交易在這幾年創造出諸多研究的方向；利差交易又稱為套息交易，即借入低利率的貨幣，以購買其它高收益的投資工具，如高利率貨幣、股票、或是實物資產等，進而從中賺取其間的利率及匯率差價。諸如債券或國庫券等現貨金融工具所帶來的收益與該項投資的融資成本間的差額。 利差交易多在市場處於穩定低風險狀況下時，才能夠得到穩定的報酬率，因此如何客觀準確的評量目前市場所處的風險狀態，以獲得相對平穩又較佳的收益是主要的研究方向。本研究以如何求得利差交易裡面各項最佳且保持穩定性的參數與指標，假設利差交易可以經由衡量某些風險指標的平均值，並當風險指標低時建立利差交易部位，反之，當風險指標高時結束利差交易，甚至更積極進行反向利差交易，以求達到穩定報酬率的目標。 / Title of Thesis: Empirical Performance of Carry Trade Trading Strategy School/Graduate School: National Chengchi University Executive Master Of Business Administration, Advanced Finance Class – Risk Management and Insurance Group Graduate Student : Lee, Nai-Chun Instructor: Dr. Kang, Jung Pao Thesis Content: Carry trade bases on interest rate differences of many currency pairs to make capital gains and interest income and it creates many research topics in recent years. Carry trade borrows low yield currencies and invests other high yield targets such as high yield currencies, stocks, or real assets to get interest incomes and capital gains from foreign exchange rates. Only when a foreign exchange market is under stable and low-risk conditions, carry trade can achieve stable return rates. Therefore, how to objectively evaluate current market risk situations to get relatively stable and more returns is the main research topic of this thesis. This thesis reports how to get optimal and consistently stable parameters and indicators of carry trade. It assumes that carry trade can build positions by measuring some mean values of risk indicators when risk indicators are low. On the contrary, it ends the trade when risk indicators are high and even actively short carry trade positions to achieve stable return rates. Key words: carry trade、capital gain、exchange rate、risk indicator

Questa tesi è composta da 3 differenti lavori che ci confermano la prevedibilità degli extra rendimenti rispetto al mercato usando semplici strategie di portafoglio azionario utilizzabili sia dal semplice risparmiatore sia dall'investitore istituzionale. Nel primo capitolo è stata analizzata la profittabilità della contrarian strategy nel mercato azionario Italiano. In letteratura é stato già abbondantemente dimostrato che i rendimenti azionari sono caratterizzati da un’autocorrelazione negativa nel breve periodo e da un effetto di ritorno alla media nel lungo periodo. La contrarian strategy é utilizzata per trarre profitto dalla correlazione seriale negativa dei rendimenti azionari, infatti, vendendo i titoli che si sono rivelati vincenti nel passato (in termini di rendimento) e acquistando quelli "perdenti" si ottengono profitti inaspettati. Nel secondo paper, l'analisi si focalizza sulla strategia di portafoglio definita Dollar Cost Averaging (DCA). La Dollar Cost Averaging si riferisce a una semplice metodologia di portafoglio che prevede di investire una somma fissa di denaro in un'attività rischiosa a uguali intervalli di tempo, per tutto l'orizzonte temporale prefissato. Il lavoro si propone di confrontare i vantaggi, in termini di riduzione sostanziale del rischio, di questa strategia dal punto di vista di un semplice risparmiatore. Nell'ultimo capitolo, ipotizzando di essere un investitore istituzionale che possiede ogni giorno numerose informazioni e previsioni, ho cercato di capire come egli può usare tutte le informazioni in suo possesso per decidere prontamente come allocare al meglio il patrimonio del fondo. L’investitore normalmente cerca di identificare la migliore previsione possibile, ma quasi sempre non riesce ad identificare l’esatto processo dei prezzi sottostanti. Quest’osservazione ha condotto molti ricercatori ad utilizzare numerosi fattori esplicativi per ottenere un buona previsione. Il paper supporta l’esistente letteratura che utilizza un nuovo approccio per trasformare previsioni di rendimenti in scelte di gestione di portafoglio che possano offrire una maggiore performance del portafoglio.Partendo dal modello d’incertezza di Pesaran e Timmerman(1996), considero un cospicuo numero di fattori macroeconomici per identificare un modello predittivo che mi permetta di prevedere i movimenti del mercato tenendo presente i maggiori indicatori economici e finanziari e considerato che il loro rispettivo potere predittivo cambia nel tempo. / This thesis is composed by three different papers that confirm us the predictability of expected returns using different simple portfolio strategy and under different point of view (i.e. a generic saver and institutional investor). In the first chapter, I investigate the profitability of contrarian strategy in the Italian Stock Market. However empirical research has shown that asset returns tend to exhibit some form of negative autocorrelation in the short term and mean-reversion over long horizons. Contrarian strategy is used to take advantage of serial correlation in stock price returns, such that selling winners and buying losers generates abnormal profits. On the second chapter, the analyse is focused in another classic portfolio strategy called Dollar Cost Averaging (DCA). Dollar Cost Averaging refers to an investment methodology in which a set dollar amount is invested in a risky asset at equal intervals over a holding period. The paper compares the advantages and risk of this strategy from the point of view of a saver. Lastly, supposing to be an institutional investor who has a large number of information and forecasts, I tried to understand how using all them he decide with dispatch how to allocate the portfolio fund. When a wide set of forecasts of some future economic events are available, decision makers usually attempt to discover which is the best forecast, but in almost all cases a decision maker cannot identify ex ante the true process. This observation has led researchers to introduce several sources of uncertainty in forecasting exercises. The paper supporting the existent literature employs a novel approaches to transform predicted returns into portfolio asset allocations, and their relative performances. First of all dealing with model uncertainty, as Pesaran and Timmerman (1996), I consider a richer parameterization for the forecasting model to find that the predictive power of various economic and financial factors over excess returns change through time.

Data collected during the implementation of the Neonatal Hearing Screening (NHS) need to be recorded, evaluated and disseminated in the scientific environment in order to ensure its quality and to encourage the creation and improvement of other services. Risk indicators (RI) for the hearing loss can influence in the occurrence of transients evoked otoacoustic emissions (TEOAE) and distortion product (DPOAE), as well as in the result of the NHS. This study aimed to analyze the NHS at the University Hospital of Santa Maria during one year; to verify the influence of the presence of RI for the hearing loss on the TEOAE and DPOAE as well as on the result of NHS with TEOAE. The sample consisted of 1198 neonates and infants users of Unified Health System. The criterion for passing was the presence of Cochlea Palpebral Reflex (CPR) and TEOAE bilaterally. RI were investigated through medical history and records, and were related to pass/fail variables in the NHS and to the occurrence of TEOAE and DPOAE for each frequency measured. Children who failed were retested after two weeks, using the same procedures. The evaluation of auditory evoked potentials in brainstem response (ABR) was carried out when the absence of Cochlea Palpebral Reflex and/or TEOAE persisted. When alterations in the examination were observed, children were referred to the use of prostheses. The NHS could not be considered universal, since the rate of children affected was 66.56%. The first hearing screening occurred up to 28 days of life in 78.80% (n = 944) The rate of children who passed the first test was 91.49% (n = 1096). Among the ones who failed, 17.65% (18) did not attend the retest. Of the 84 children who returned, 17 failed again and were referred for ABR. Eight children presented deafness, and the rate of hearing loss was 0.67%. The referral for diagnosis rate was 1.41% and the false-positive result was 0.17%. The result of the NHS is dependent on the occurrence of RI for the hearing impairment. The absence of TEOAE and DPOAE is dependent on the presence of RI for hearing impairment. Besides, the presence of TEOAE and DPOAE is dependent on the absence of indicator(s) in some ears and frequencies. The rates of referral for diagnosis and falsepositive results of this study suggest that the program is implemented effectively and demonstrate the adequate experience professionals who work with it have. However, the universal and mandatory character of the NHS is still to be achieved. The presence of RI may influence in the occurrence of EOAE and in the result of the NHS. The RI that offered the greatest risk of failure in the NHS was jaundice. Some key aspects in the planning, effectiveness, maintenance and improvement of the program have been outlined, and some of them are already being used. / Os dados coletados durante a aplicação dos programas de Triagem Auditiva Neonatal (TAN) precisam ser registrados, avaliados e divulgados no meio científico, a fim de assegurar a qualidade e incentivar a criação e aprimoramento de outros serviços. Os indicadores de risco (IR) para a deficiência auditiva podem influenciar na ocorrência das Emissões Otoacústicas Evocadas Transientes (EOAET) e produto de distorção (EOAEPD), e no resultado da TAN. Os objetivos desta investigação foram analisar o programa de TAN no Hospital Universitário de Santa Maria (HUSM) durante um ano; verificar a influência da presença de IR para a deficiência auditiva sobre as EOAET e EOAEPD e sobre o resultado da TAN com EOAET. A amostra constituiu-se de 1198 neonatos e lactentes usuários do Sistema Único de Saúde. O critério de passa foi a presença de RCP e EOAET bilateralmente. Os IR foram investigados através de anamnese e pesquisa de prontuários, e foram relacionados às variáveis passa/falha na TAN e ocorrência de EOAET e EOAEPD para cada freqüência avaliada. As crianças que falharam foram re-testadas em quinze dias, com os mesmos procedimentos. Ao persistir a ausência de RCP e/ou EOAET realizou-se avaliação de Potenciais Evocados Auditivos de Tronco Encefálico (PEATE). Ao apresentar alteração neste exame, foram encaminhadas para protetização. A TAN não pôde ser considerada universal, já que o índice de crianças atingidas foi de 66,56%. A primeira triagem auditiva ocorreu até os 28 dias de vida em 78,80% (n=944) delas. Passaram na primeira testagem 91,49% (n=1096). Dentre as que falharam, 17,65% (18) não compareceram para re-teste. Das 84 crianças que retornaram, 17 mantiveram a falha e foram encaminhadas para PEATE. Em oito delas a surdez foi confirmada, sendo o índice de surdez de 0,67%. O índice de encaminhamento para diagnóstico foi de 1,41% e o de resultado falso-positivo foi de 0,17%. O resultado da TAN é dependente da ocorrência de IR para a deficiência auditiva. A ausência de EOAET e de EOAEPD é dependente da presença de IR para a deficiência auditiva, assim como a presença de EOAET e de EOAEPD é dependente da ausência de indicador(es) em algumas orelhas e freqüências. Os índices de encaminhamento para diagnóstico e de falsopositivo deste estudo sugerem que o programa é executado com eficácia, e demonstram que os profissionais que neles atuam possuem experiência adequada para tal. Entretanto, o caráter universal e obrigatório da TAN ainda deve ser alcançado. A presença de IR pode influenciar na ocorrência das EOAE e no resultado da TAN. O IR que ofereceu maior risco de falha na TAN foi a icterícia neonatal. Alguns aspectos determinantes no planejamento, efetividade, manutenção e aprimoramento do programa foram delineados, e alguns deles já estão em execução.

The thesis focuses on internal management and control systems in connection with operational risk management (ORM) process. The Basel II concept is outlined from the operational risk point of view, incl. methods for capital requirement for operational risk. Consequently, essential regulatory requirements and bank standards for effective management and control systems are specified. ORM tools that are potentially able to capture business environment and internal controls factors (to be regarded within AMA models) are disserted, specially concentrating on key risk indicators. Construction of this ORM tool is designed on a theoretical basis and also on an example related to payment systems. There is an evaluation of advantages, challenges and possible ways to use this method.

In this thesis a regression analysis of ten independent data sets is analysed in order toestimate losses and Key Risk Indicators (KRI). Each data set contains a list of objects,impacts that each object contains and revenue stream values (RSV) to each impact.The project investigates the data and simulate yearly losses as response variables in theregression modelling. The three regressors that influence the yearly losses are numberof objects, sum of revenue streams and expected aggregated losses. Given the responsevariable from each data set a percentage scale of KRI’s is determined indicating howlarge losses each set possess. / I denna avhandling analyseras en regressionsmodellering av tio oberoende mängderdata för att uppskatta förluster och Key Risk Indicators. Den givna dataupsättningeninnehåller en lista med objekt, påverkan varje objekt erhåller och vad respektiveobjekt omsätter. Projektet undersöker den givma datan och simulerar årliga förlustersom svarsvariabler i regressionsmodelleringen. De tre regressorerna som påverkarde årliga förlusterna är antalet objekt, summan av intäckterna och förvämtadesammanlagda förlusterna. Från den givna svarsvariabeln från varje datamängdbestäms en procentuell skala av KRIer som indikerar hur stora förluster varjeuppsättning har.