This thesis analyses financial stability in eight members of the Executives’ Meeting of East Asia-Pacific Central Banks (EMEAP) economies. One of the factors that may increase financial imbalances (and hence it affects financial stability of an economy) is the accumulated outstanding debt of the economic agents. For example, the corporate sector’s outstanding debt can negatively affect activity of lenders and hence the capabilities of the economy. Since banks are important financial intermediaries in most financial systems, the financial status of banking sector is also important to analyse financial stability of a country. Macroeconomic conditions and financial system structure are some of the important factors that can affect financial conditions (financial soundness) of banks and hence the banking sector. Financial soundness of banks can secure the stability of the financial system. Chapter 2 shows that financial imbalances that arise from accumulated outstanding debt within the corporate sector have a negative effect on the technical capabilities (total factor productivity) of the economy. Therefore, monetary authority (central bank) should control over the debt level. To address this, chapter 2 focuses on the design of monetary policy rule for a small open economy in the context of a Dynamic Stochastic General Equilibrium (DSGE) model. This model is extended to show the effects of financial imbalances on the economy. Real exchange rate is another important factor that affects the firm’s real marginal cost, aggregate supply and aggregate demand as discussed in this chapter. The derived optimal monetary policy rule indicates that the monetary authority responds to financial imbalances through output gap when financial imbalances exist due to accumulated outstanding debt. Moreover, the optimal policy rule shows that the response of the monetary authority to exchange rate movements is indirect, through the domestic inflation and output gap. Chapter 3 describes the effect of the financial system structure on financial stability through investigating the financial soundness of the banking sector. Bank financial soundness is the measure of the stability of the financial system and is defined by return on assets, equity capital-asset ratio and return volatility. The first two items increase financial soundness, whereas return volatility decreases financial soundness of a bank. The structure of the financial system is described as market-based or bank-based. Given interrelations between financial sectors and between economies of the EMEAP countries, chapter 3 uses the global (infinite dimensional) vector autoregressive (VAR) model that has been proposed recently to estimate the generalised impulse responses of financial stability measure. Results show that the market-based financial system can increase financial stability through increasing financial soundness of the banking system. Chapter 4 uses nonperforming loans (NPLs) (as one of the main factors behind Asian financial crisis in 1997/8) to analyse financial soundness of banks. NPLs determine loans default rates that decreases banks’ financial soundness. Chapter 4 tests the resistance of the banking system of the EMEAP countries to large macroeconomic shocks (stresses) in a stress-test framework, computing frequency distributions of default rates in three main macroeconomic scenarios (baseline model, stressed real GDP growth and stressed real interest rate). Default rate indicates the possible loss of banks and hence it is an indicator of credit risk which weakens banks’ financial strength. The stress-test indicates that stressing real GDP growth with negative extreme shocks leads to an increase in frequency of higher default rates (in comparison with the baseline model), whereas positive shock to real interest rate may secure financial stability through increasing the frequency of lower default rates and decreasing frequency of higher default rate.

<p>In my first chapter, I present a model in which sellers can signal the quality of an asset both by retaining a fraction of the asset and by choosing the liquidity of the market in which they search for buyers. Although these signals may seem interchangeable, I present two settings which show they are not. In the first setting, sellers have private information regarding only asset quality, and I show that liquidity dominates retention as a signal in equilibrium. In the second setting, both asset quality and seller impatience are privately known, and I show that both retention and liquidity operate simultaneously to fully separate the two dimensions of private information. Contrary to received theory, the fully separating equilibrium of the second setting may contain regions where market liquidity is increasing in asset quality. Finally, I show that if sellers design an asset-backed security before receiving private information regarding its quality, then the optimality of standard debt is robust to the paper's various settings. </p><p>In my second chapter, I explore the question of how informative bank stress tests should be. I use Bayesian persuasion to formalize stress tests and show that regulators can reduce the likelihood of a bank run by performing tests which are only partially informative. Optimal stress tests give just enough failing grades to keep passing grades credible enough to avoid runs. The worse the state of the banking system, the more stringent stress tests must be to prevent runs. I find that optimal stress tests, by reducing the probability of runs, reduce the optimal level of banks' capital cushions. I also examine the impact of anticipated stress tests on banks' ex ante incentive to invest in risky versus safe assets.</p> / Dissertation

abstract: This dissertation presents methods for addressing research problems that currently can only adequately be solved using Quality Reliability Engineering (QRE) approaches especially accelerated life testing (ALT) of electronic printed wiring boards with applications to avionics circuit boards. The methods presented in this research are generally applicable to circuit boards, but the data generated and their analysis is for high performance avionics. Avionics equipment typically requires 20 years expected life by aircraft equipment manufacturers and therefore ALT is the only practical way of performing life test estimates. Both thermal and vibration ALT induced failure are performed and analyzed to resolve industry questions relating to the introduction of lead-free solder product and processes into high reliability avionics. In chapter 2, thermal ALT using an industry standard failure machine implementing Interconnect Stress Test (IST) that simulates circuit board life data is compared to real production failure data by likelihood ratio tests to arrive at a mechanical theory. This mechanical theory results in a statistically equivalent energy bound such that failure distributions below a specific energy level are considered to be from the same distribution thus allowing testers to quantify parameter setting in IST prior to life testing. In chapter 3, vibration ALT comparing tin-lead and lead-free circuit board solder designs involves the use of the likelihood ratio (LR) test to assess both complete failure data and S-N curves to present methods for analyzing data. Failure data is analyzed using Regression and two-way analysis of variance (ANOVA) and reconciled with the LR test results that indicating that a costly aging pre-process may be eliminated in certain cases. In chapter 4, vibration ALT for side-by-side tin-lead and lead-free solder black box designs are life tested. Commercial models from strain data do not exist at the low levels associated with life testing and need to be developed because testing performed and presented here indicate that both tin-lead and lead-free solders are similar. In addition, earlier failures due to vibration like connector failure modes will occur before solder interconnect failures. / Dissertation/Thesis / Ph.D. Industrial Engineering 2012

Reverse stress testing is a way of finding a combination of market risk factors, called a scenario, that leads to a specific loss for e.g. a portfolio. A market risk factor can for example be a stock return. In this project, we use reverse stress tests to find a scenario that would make a clearing house insolvent in case of a clearing house member default. When a member defaults, the clearing house must cover for the member's positions. If the clearing house's resource pool is not enough for this purpose, the clearing house defaults as well. To find out when this happens is of interest for regulatory purposes, as the default of a clearing house might lead to severe negative effects on the financial market. Cinnober's currently used method, SPS, uses a bisection-like iterative algorithm to find the scenario which makes the clearing house insolvent. The scenario found by SPS is restricted to be a multiple of a predefined scenario, which is clearly a limitation in the consideration of possible scenarios. To investigate the possibility of finding scenarios without this restriction, two other reverse stress tests were implemented and compared to SPS. The first test, PCA/G-S, assumes multivariate normal distribution of the profits and losses of the assets in the defaulting member's portfolio. PCA/G-S yields scenarios of asset profits and losses, for which the portfolio return is the specified loss - the clearing house resource pool. The second test, called RF, assumes multivariate normal distribution of the risk factors affecting the prices of the assets in the portfolio. RF outputs a scenario of market risk factors causing the portfolio loss to be the specified loss. The assets in the portfolio were restricted to stocks, European stock options and stock futures. PCA/G-S was shown to imply negative asset prices, as the assumption of multinormality does not consider that the loss can never be greater than the asset price itself. Negative prices appeared more frequently for options than for futures and stocks. Furthermore, the scenarios found by PCA/G-S were in terms of profits and losses, and were generally only convertible to risk factors if the portfolio only consisted of stocks. The advantage compared to SPS, however, was that PCA/G-S was numerically faster. As the results of the RF method are risk factor scenarios, no conversion problems appear. Moreover, it cannot yield negative asset prices, which is advantageous compared to PCA/G-S. However, the RF method was slower than SPS, and especially slow for options. All the multivariate normal distribution assumptions, for the profits and losses as well as the risk factors, were rejected by multinormality tests. Thus, the assumptions for PCA/G-S and RF were not consistent with reality. Nonetheless, the tests indeed provide scenarios where the resource pool is depleted.

Introdução: O teste de caminhada de seis minutos (TC6M) é um teste muito utilizado para avaliar as condições de saúde de idosos e saudáveis, bem como pacientes com doenças pulmonares e cardiovasculares. Porém, poucos são os relatos na literatura científica habitual sobre a utilização do teste de caminhada de seis minutos para avaliar a morbidade e mortalidade de pacientes após infarto agudo do miocárdio (IAM). Objetivo: O objetivo deste estudo foi verificar se o TC6M tem valor preditivo para morbidade e/ou mortalidade cardiovascular após IAM. Queremos verificar o ponto de corte da distância no TC6M para síndrome coronariana aguda, insuficiência cardíaca, re-hospitalização ou óbito por causa cardiovascular. Método: Trata-se de um estudo observacional, no qual se utilizou análise de prontuários, contato telefônico, correio e SIM (Sistema de Informação de Mortalidade da Secretaria de Saúde) de pacientes com diagnóstico de IAM não complicado que realizaram o TC6M antes da alta hospitalar. Desfechos observados: síndrome coronariana aguda, insuficiência cardíaca, acidente vascular cerebral, re-hospitalização e óbito por causa cardiovascular. A coleta de dados se deu no Instituto Dante Pazzanese de Cardiologia, por meio de análise de prontuário e foram incluídos no estudo, os pacientes com diagnóstico de IAM não complicado que realizaram o teste de caminhada de seis minutos antes da alta hospitalar. Para análise estatística foram utilizados: correlação de Pearson ou Spearman, teste t de Student ou Mann-Whitney e ANOVA ou teste de Kruskall Wallis para analisar os efeitos das características físicas e clínicas dos pacientes analisados na distância percorrida no TC6M. Estas características e a distância percorrida foram avaliadas nos desfechos, ao longo de tempo, observando a curva de viii sobrevivência de Kaplan-Meier ou a sobrevivência em média de Cox, a significância dos efeitos foi testada por teste de log-rank ou pelo modelo de riscos proporcionais de Cox, respectivamente. Também foi ajustado um modelo de sobrevivência de Cox final para avaliar o efeito de todas as co-variáveis juntamente presentes no desfecho. Na análise múltipla foi utilizado o método de seleção de variáveis forward para selecionar as variáveis mais associadas à sobrevida. O tamanho dos efeitos, quando significativos, foi medido pela odds ratio (OR). Resultados: Foram incluídos 234 pacientes, 173(73,9 por cento ) do sexo masculino, 57,18 (10,35) anos, 103(44 por cento ) IAM anterior, 182 (77,8 por cento ) Killip I, 190 (81,2 por cento ) com terapia de reperfusão e fração de ejeção do ventrículo esquerdo de 49,99 (10,14) por cento . Foram observados 89 (38,03 por cento ) pacientes com pelo menos um desfecho adverso, sendo 18 (8,1 por cento ) óbitos por causa cardiovascular num período de seguimento médio de 1.355,47 (777,53) dias. A distância do TC6M não se associou à ocorrência dos desfechos adversos, porém à ocorrência de óbito, resultando dois modelos: a) metragem do primeiro quartil (370,5 m) (OR = 2,737; p = 0,046), índice de percepção de esforço (IPE) de Borg (OR = 1,380; p = 0,020) e saturação periférica de oxigênio (SpO2) < 90 por cento (OR = 2,326; p = 0,103); b) metragem do teste de log rank (232 m) (p = 0,036; OR = 3,459), índice de Borg (OR = 1,351; p = 0,044) e SpO2 < 90 por cento (OR = 2,936; p = 0,030). A metragem e a SpO2 também se associaram à pior sobrevida ao longo do tempo: modelo 1) IPE Borg (OR = 1,334; p = 0,041, SpO2 < 90 por cento (OR = 2,675; p = 0,067) e a distância de 370,5m (OR = 2,882; p = 0,042) e modelo 2: SpO2 < 90 por cento (OR = 4,193; p=0,004) e distância de 232m (OR = 5,014; p=0,005). Numa análise do comportamento da FC, SpO2 e PS e PD ao longo do tempo no TC6M entre os grupos óbito e não óbito foram observadas diferenças significantes apenas da FC (p < 0,0001) e SpO2 (p < 0,0001). Conclusão: Na amostra estudada, a distância e a SpO2 < 90 por cento no TC6M se associaram ao óbito e à pior sobrevida em pacientes após IAM não complicado. / Background: The six-minute walk test (6MWT) is a test used to assess the prognosis of patients with heart failure, chronic obstructive pulmonary disease and health status of the elderly. However, there are few reports in the scientific literature about the use of this test as a tool to assess the prognosis after acute myocardial infarction (AMI) patients. The aim of this study is to assess the prognostic value of the 6MWT in AMI patients. We also intend to point out whether there is a minimum distance in the 6MWT that defines a group of patients with worse prognosis, i.e, in the occurrence of death, re-infarction, or heart failure re-hospitalization from cardiovascular causes. Methods: This is an observational study for which we used analysis of medical records, telephone contact, mail and SIM (Mortality Information System of the Department of Health) of uncomplicated AMI patients who underwent 6MWT before hospital discharge. Observed outcomes: acute coronary syndrome, heart failure, stroke,re-hospitalization and cardiovascular death. Data collection has taken place at the Institute Dante Pazzanese of Cardiology, with analysis of medical records and has be included patients with uncomplicated AMI who underwent 6MWT before discharge. Statistical analysis: we used Pearson or Spearman correlation, Student\'s t test or Mann-Whitney test and ANOVA or Kruskal Wallis test to analyze the effects of physical and clinical characteristics in 6MWT distance. Such characteristics and the 6MWT distance were evaluated in outcomes over time, observing the Kaplan-Meier survival curve or the average survival by Cox, the significance of the effects was tested by log-rank test or the Cox proportional hazards model, respectively. It was also set a Cox survival x model to assess the effects of all covariates together present in the outcomes. We used selection of forward variables for multivariate analysis to select the variables most associated with survival. The size of the effects was measured by odds ratio (OR). Results: We included 234 patients, 173(73,9 per cent ) males, 57.18 (10.35) years old, 103(44 per cent ) anterior AMI, 182 (77.8 per cent ) Killip I, 190 (81.2 per cent ) with reperfusion therapy and left ventricular ejection fraction = 49.99 (10.14) per cent . We observed 89 (84.03 per cent ) patients with cardiovascular outcomes and 18 (8.1 per cent ) deaths for 1,355.47 (777.53) days of follow up. There was no association between the 6MWT distance and the combined endpoints. We observed association with 6MWT distance and death, resulting two models: a) distance of first quartile (370.5 m) (OR = 2.737, p = 0.046), Borg scale of perceived exertion (SPE) (OR = 1.380, p = 0.020) and oxygen saturation (SpO2) <90 per cent (OR = 2.326, p = 0,103); b) distance of the log rank test (232 m) (OR = 3.459, p = 0.036), Borg SPE (OR = 1.351, p = 0.044) and SpO2 <90 per cent (OR = 2.936, p = 0.030). The distance and the SpO2 were also associated with poor survival over time: model 1) Borg SPE (OR = 1.334, p = 0.041, SpO2 <90 per cent (OR = 2.675, p = 0.067) and 6MWT distance = 370.5 m (OR = 2.882, p = 0.042) and model 2: SpO2 <90 per cent (OR = 4.193, p = 0.004) and 6MWT distance = 232m (OR = 5.014, p = 0.005). In comparison with death group and survival group, there was a significant difference in HR (p <0.0001) and SpO2 (p <0.0001) overtime. Conclusion: The distance and SpO2 < 90 per cent in 6MWT were associated with death and worse survival conditions in patients after uncomplicated AMI.

Dissertação(mestrado) - Universidade Federal do Rio Grande, Programa de Pós-Graduação em Aqüicultura, Instituto de Oceanografia, 2011. / Submitted by Cristiane Silva (cristiane_gomides@hotmail.com) on 2012-08-17T01:12:42Z No. of bitstreams: 2 furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) / Approved for entry into archive by Bruna Vieira(bruninha_vieira@ibest.com.br) on 2012-09-22T18:10:17Z (GMT) No. of bitstreams: 2 furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) / Made available in DSpace on 2012-09-22T18:10:17Z (GMT). No. of bitstreams: 2 furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) furg - dissertao maria angelica dos reis garrido pereira.pdf: 911472 bytes, checksum: 983e6452fd9febc8f8a9a026e1fce50b (MD5) Previous issue date: 2011 / O bijupirá (Rachycentron canadum) é um peixe marinho que apresenta bom potencial para seu cultivo. Muitas pesquisas demonstram os efeitos benéficos do probiótico Bacillus spp. na aquicultura, porém não há estudos sobre os efeitos de probióticos em sistemas de recirculação de água (SRA). Este trabalho analisa os efeitos do probiótico Bacillus spp. na performance de larvas de bijupirá criadas em SRA. O experimento foi realizado na Universidade Virginia Tech (EUA). As larvas foram estocadas em dois SRA independentes entre si - tratamento probiótico (TP) e tratamento controle (TC) - na densidade de 15 larvas/L, durante 26 dias após a eclosão. Um dos sistemas (TP) recebeu a adição de probiótico comercial composto por B. subtilis, B. licheniformis e B. pumilus diretamente na água e via alimento vivo, conforme o fabricante. As análises de microbiologia e qualidade de água foram feitas diariamente por medição de parâmetros físico e químicos e plaqueamento em meio de cultura para contagem de Bacillus totais e Vibrio totais. Ao final do experimento foram realizados biometria e contagem total dos animais, teste de resistência ao estresse salino e fixação de larvas para imunohistoquímica do timo para avaliar a expressão dos complexos multirreceptores de antígenos CD3 e CD4 de linfócitos T e morfometria do rim cefálico. A sobrevivência foi similar e de 14,9±2,4% e 15,1±0,9% para TP e TC respectivamente. O peso final foi de 170±10 mg para TP e 160±10 mg TC, não havendo diferença estatística entre os tratamentos. Na microbiologia da água não foram encontradas diferenças significativas entre os tratamentos na contagem de víbrios totais (TP: 3.366±522 UFC/mL; TC: 4.964±902 UFC/mL). Na contagem de Bacillus totais os tratamentos diferiram estatisticamente, sendo maior a concentração no TP pela adição dos Bacillus spp. (901±88 UFC/mL e 61±24 UFC/mL). O teste de estresse por salinidade demonstrou uma maior resistência ao estresse salino pelas larvas do tratamento probiótico. A análise imunohistoquímica mostrou uma maior expressão de CD4 no timo em PT (TP: 43,7 ± 6,16% CD4 células/mm²; TC: 25,4 ± 3,5% CD4 células/mm²), o que pode indicar uma melhor resposta imune contra patógenos. A análise morfométrica do rim cefálico indica que este órgão é maior no TP (TP: 0,97 ± 0,33 milímetros; TC: 0,69 ± 0,22 milímetros), provavelmente devido a um aumento na quantidade de linfócitos B. Estes resultados indicam que o probiótico utilizado em um sistema de recirculação de água é efetivo quanto à imunoestimulação e aumenta a resistência ao estresse salino. / Cobia (Rachycentron canadum) is a marine finfish with good potential for mariculture. The aim of this study was to analyze the effects of probiotic Bacillus spp. on the performance of cobia larvae reared in a recirculating aquaculture system (RAS). Many studies have demonstrated the beneficial effects of probiotic Bacillus spp. in aquaculture, but there are no studies on the effects of probiotics in RAS, requiring research on their effectiveness, since in open systems the beneficial effects are already known. The trial was conducted at Virginia Tech VSAREC (USA). Larvae were stocked into two independent RAS - probiotic treatment and control - at a density of 15 larvae L-1, for 26 days after hatching. One of the systems (Probiotic treatment) received the addition of a commercial probiotic consisting of Bacillus subtilis, Bacillus licheniformis and Bacillus pumilus directly into the water and by live feed, according to the manufacturer. At the end of the experiment we performed biometrics, larvae counts, stress test and larvae were fixed for morphometric analysis of head kidney and for immunohistochemistry of thymus to evaluate the phenotypic expression of complex antigens CD3 and CD4 in T-lymphocytes. Survival and final weight had no significant difference between groups. The analysis of water microbiology had no significant differences between treatments in total counts of Vibrio, but in the total count of Bacillus treatments differed statistically, with a higher concentration in Probiotic treatment because of the addition of Bacillus spp. in this group. The salinity stress test was expressed by stress sensitivity index (SSI), which demonstrated a greater resistance to salt stress by larvae of probiotic treatment. Immunohistochemical analysis showed a higher expression of CD4 in Probiotic treatment, which may indicate better immune response against pathogens. The morphometric analysis of head kidney indicates that this organ is larger in Probiotic treatment, probably due to an increase in the quantity of B-lymphocytes. These results indicate that Bacillus spp. probiotics used in RAS may stimulate the immune system and increase the general stress resistance of cobia larvae.

Na gestão de recursos financeiros, visualizar e gerenciar em tempo real os riscos inerentes a uma carteira de investimentos é uma tarefa crucial para que o objetivo de gerar lucro possa ser atingido, ou que pelo menos as perdas possam ser minimizadas. Uma das formas de realizar esse gerenciamento é submeter essas carteiras a simulações onde são definidos cenários contendo variações de fatores que possam influenciar os ativos nelas contidos. Dependendo da classe dos ativos financeiros analisados, essas simulações requerem uma ferramenta mais sofisticada, capaz de lidar com modelos complexos de precificação. O objetivo deste trabalho consiste em resolver uma demanda real de uma gestora de recursos onde este autor atua: o desenvolvimento de uma ferramenta capaz de realizar testes de stress em uma carteira de investimentos contendo mais especificamente opções de moedas. Foi desenvolvido um sistema no formato de add-in de Excel em que os gestores podem definir cenários com as variações desejadas e, em conjunto com dados de mercado em tempo real, avaliar o impacto dessas variações em seu portfolio. O desenvolvimento foi realizado em etapas, e a versão atual da ferramenta trouxe ganhos no tempo de execução das simulações na ordem de dez vezes, quando comparado à versão anterior. Nesta dissertação serão mostrados detalhes da implementação do sistema, bem como o embasamento teórico utilizado no seu desenvolvimento. Será apresentada uma breve descrição sobre o mercado de câmbio e seus instrumentos, incluindo opções de moedas. Também será descrito um modelo para precificação e mensuração de risco desses instrumentos. / In the financial resources management, visualizing and handling risks inherent in an investment portfolio in real time are key tasks to ensure that the objective of profit is accomplished, or at least that the losses are mitigated. One way to perform this kind of management is to submit the portfolio to scenario simulations, in which factors that might affect the assets held in the portfolio are stressed. Depending on the class of these assets, there is the need of a more sophisticated tool, capable of handling complex pricing models. The main purpose of this work is to solve a real demand for an investment management company for which this author works: the development of a tool capable to perform stress tests in an investment portfolio containing more specifically Foreign eXchange options. An Excel add-in has been developed and managers can use it to define scenarios with the desired bumps and, along with real time market data, analyze the impact of these bumps in the portfolio. The development has been made in phases and the tools current version has brought a reasonable improvement to the execution time of the simulations. In this thesis we will discuss systems implementation details, as well as the theoretical basis used in its development. An overview of the FX market and its instruments will be presented, including FX options. Also, there will be a description of a model for pricing and risk measurement of these instruments.

A literatura sobre testes de estresse do sistema financeiro vem crescendo substancialmente nos últimos anos devido à importância destes exercícios, destacada pela crise financeira do subprime, a sequência de falências bancárias em muitos países e a crise econômica brasileira. Este trabalho propõe uma metodologia para testes de estresse, focada em risco de crédito, para o sistema financeiro brasileiro. Após a definição do escopo, o segundo passo de um teste de estresse é a identificação das vulnerabilidades do sistema financeiro, em que se captura as relações entre fatores macroeconômicos e a inadimplência. A maior parte dos trabalhos utiliza um conjunto limitado de fatores macroeconômicos. Este trabalho propôs a utilização de mais de 300 variáveis e uma análise fatorial para obter fatores macroeconômicos que consideram um conjunto mais abrangente de variáveis em um modelo ARIMAX. Além disso, os trabalhos comumente empregam modelos de dados em painel, VAR, séries temporais ou modelos de regressão linear. Porém, a mudança em uma variável raramente afeta outra instantaneamente, pois o efeito é distribuído ao longo do tempo. Neste trabalho é proposto o modelo de defasagem distribuída polinomial, que considera este efeito ao estimar os parâmetros defasados por meio de um polinômio de segundo grau. Os modelos foram construídos utilizando o período de março de 2007 a agosto de 2016 como período de modelagem e setembro de 2016 a agosto de 2017 como período de validação fora do tempo. Para os meses de validação, os modelos propostos apresentaram menor soma dos quadrados dos erros. O terceiro passo é a calibração de um cenário de estresse adverso e plausível, que pode ser obtido pelos métodos histórico, hipotético e probabilístico. Nota-se uma lacuna na literatura brasileira, suprida neste trabalho, em que não há propostas de cenários hipotéticos e históricos (que consideram todas as crises de 2002, crise subprime de 2008 e crise de 2015/2017) para o Brasil. Notou-se que os choques históricos geram valores mais severos que os hipotéticos, e há variáveis mais sensíveis aos diferentes tipos de crises econômicas. Ao verificar o impacto do cenário obtido para as instituições, a inadimplência estimada em cenário de estresse foi de 6,38%, um aumento de 68% em relação ao cenário base. Este aumento foi semelhante, um pouco mais severo, aos choques obtidos na literatura brasileira e ao Relatório de Estabilidade Financeira construído pelo Banco Central do Brasil, que estima que o sistema bancário está preparado para absorver um cenário de estresse macroeconômico. / Studies on stress testing the financial system has been growing substantially recently due to the importance of these exercises, highlighted by the subprime financial crisis, the bank failures sequence in many countries and the Brazilian economic crisis. This paper proposes a stress test methodology, focused on credit risk, for the Brazilian financial system. After the scope definition, the second step of a stress test is the vulnerabilities of the financial system identification, in which the relation between macroeconomic factors and credit risk are captured. Most papers use a limited set of macroeconomic factors. This paper proposes the use of more than 300 variables and a factor analysis to obtain macroeconomic factors to consider a more comprehensive set of variables in an ARIMAX model. In addition, academic papers commonly employ panel data models, VAR, time series or linear regression models. However, changing one variable rarely affects another instantaneously because the effect is distributed over time. In this work the polynomial distributed lag model is proposed, which considers this effect when estimating the lagged parameters by a second degree polynomial. The models were constructed using March 2007 to August 2016 as a modeling period and September 2016 to August 2017 as an out of time validation period. For the validation period, the proposed models presented a smaller sum of the squares errors. The third step is the calibration of an adverse and plausible stress scenario, which can be obtained by historical, hypothetical and probabilistic methods. We note a gap in the Brazilian literature, provided in this paper, in which there are no hypothetical and historical scenarios (which consider all crises of 2002, subprime crisis of 2008 and crisis of 2015/2017) for Brazil. It was noted that historical shocks generate more severe values than hypothetical shocks, and there are variables more sensitive to different types of economic crises. When verifying the impact of the scenario obtained for the institutions, the estimated default in the stress scenario was 6.38%, an increase of 68% in relation to the base scenario. This increase was similar, somewhat more severe, to the shocks obtained in the Brazilian literature and to the Financial Stability Report built by the Central Bank of Brazil, which estimates that the banking system is prepared to absorb a macroeconomic stress scenario.

This investigation evaluated the electrocardiographic responses at rest and in the stress test of adults and elderly of both genres in normoxia and hypoxia situations. For this, were tested. 67 voluntaries from the ages of 50 to 79, divided in 45 sedentary persons, men and women (Group 1); 15 soccer players that play the city championship at the senior category (55 or plus) (Group 2) and seven high performance canoeists (Group 3). The participants were submitted, following the order, to rest and stress test EKG, in both normoxia and hypoxia situations. The EKG tracing results were compared qualitatively, between the described situations, and the clinical observations revealed in the tests analyzed. Results: 52 subjects presented EKG results of normal effort and without difference between the two test situations (normoxia and hypoxia). In 12 subjects were found tracing alterations that occur in hypoxia that didn t appeared in normoxia. Referring specifically to the hypoxia alteration, were shown, at total, a five-case occurrence of extrasystoles, eleven ST segment depression and 1 T wave flatness. The number of cases of apparently healthy persons, that didn t showed alteration of TEN and TEH, which allows to claim that the hypoxia exam is safe to these people. The cases of TEH alteration, without TEN correspondence, suggest that TEH can be more sensible to detect alterations with a possible pathological indicative; mainly referring to myocardial ischemia signals and rhythm disturbs. / Esta investigação avalia as respostas eletrocardiográficas em repouso e no teste ergométrico de adultos e idosos de ambos os sexos nas situações de normoxia e em hipoxia. Para isso, foram testadas 67 pessoas voluntárias na faixa etária entre 50 a 79 anos, divididos em 45 pessoas sedentárias, homens e mulheres (Grupo 1); 15 jogadores de futebol que disputam o campeonato da cidade na categoria sênior (igual ou maior que 55 anos) (Grupo 2) e sete canoístas de alto rendimento (Grupo 3). Os participantes foram submetidos, seguindo a ordem, a ECG de repouso e teste ergométrico, ambos nas situações de normoxia e hipoxia. Os resultados de traçado eletrocardiográfico foram comparados qualitativamente entre as situações descritas, e as observações clínicas manifestas nos testes analisados. Resultados: 52 sujeitos apresentaram resultados de ECG de esforço normais e sem diferenciação entre as duas situações de testes (normoxia e hipoxia). Já em 12 sujeitos constatou-se que as alterações de traçado que ocorreram em hipóxia não tinham aparecido em normoxia. Referindo-se especificamente às alterações em hipoxia, foram evidenciadas, no total, a ocorrência de cinco casos de extrassístoles, onze de infradesnivelamento do segmento ST e 1 de achatamento da onda T. O número de casos de pessoas aparentemente sadias, que não apresentaram alterações do TEN e TEH, permite afirmar que o exame em hipoxia é seguro para essas pessoas. Os casos de alteração no TEH, sem correspondência em TEN, sugerem que o TEH pode ser mais sensível para detectar alterações com possível indicativo patológico, principalmente no que se refere a sinais de isquemia miocárdica e distúrbio de ritmo.

The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of the main contributing factors of the crisis was the excessive risk appetite of banks and financial institutions. Since then, regulatory authorities and financial institutions have directed focus towards risk management with the main objective to avert a similar crisis from occurring in the future. The aim of this thesis is to investigate how an adverse macroeconomic scenario would affect the migrations between risk classes of an SME portfolio, referred to as stress test. This thesis utilises two frameworks, one by Belkin and Suchower and one by Carlehed and Petrov, for creating a single systematic indicator describing the credit class migrations of the portfolio. Four different regression model setups (Ordinary Least Squares, Additive Model, XGBoost and SVM) are then used to describe the relationship between macroeconomic indicators and this systematic indicator. The four models are evaluated in terms of interpretability and ability to predict in order to find the main drivers for the systematic indicator. Their corresponding prediction errors are compared to find the best model. The portfolio is stress tested by using the regression models to predict the corresponding systematic indicator given an adverse macroeconomic scenario. The probability of default, estimated from the indicator using each of the frameworks, are then compared and analysed with regards to the systematic indicator. The results show that unemployment is the main driver of the risk class migrations for an SME portfolio, both from a statistical and economical perspective. The most appropriate regression model is the additive model because of its performance and interpretability and is therefore advised to use for this problem. From the PD estimations, it is concluded that the framework by Belkin and Suchower gives a more volatile estimate than that of Carlehed and Petrov.