REIS, Felipe Alves. Essays on the role of contagion and integration in international issues of South America. Tese (doutorado). Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2017. 93f. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:24:39Z No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:25:08Z (GMT) No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Made available in DSpace on 2017-06-02T18:25:08Z (GMT). No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) Previous issue date: 2017 / The emerging economies of South America commonly attract the attention of researchers, even if for punctually different reasons among the economies in question. These economies include the strong Chilean financial market, the consolidated domestic demand of the Brazilian population, the Argentine anti-democratic convergence, the process of internal pacification in Colombia, or even the high growth rates of the Peruvian economy. In addition to this, we highlight the results of Matos, Siqueira & Trompieri (2014) that show the existence of a high level of integration and the financial contagion among the indices of Brazil, Argentina, Colombia, Chile, Peru and Venezuela. In light of these evidences, this thesis presents three essays on financial and economic data from Brazil, Argentina, Colombia, Chile and Peru. In the first essay, we analyze the risk market of these economies using the Value at Risck - VaR conditional methodology, in which the critical value that characterizes the VaR is associated to the distribution that presents the best fitting, and we incorporate the effects of the mean and the volatility, both conditional, obtained by the best-specified ARMA-GARCH model, showing that the best fitting conditional models have a smaller number of violations. The second essay presents the analysis of international reserves, conceptually following the notions of the Buffer Stock methodology, but considering the significant cross-effects of conditional volatilities, their respective spreads and intra-block importation. The results point to both a significant improvement in the explanatory power of the model and that the Brazilian reserves are the least affected by South American economies. In the last essay, we analyze some diversified portfolio options available to a Brazilian investor, who faces a scenario with no opportunities in the financial market, with the purpose of measuring gains with diversification of the position acquired in the South American market indices vis-à-vis the domestic portfolio. The results show the possibility that simple and non-dynamic portfolio composition strategies, composed only of indexes of the markets of the neighboring countries of Brazil, translate into very satisfactory results in terms of expected gain and risk. / As economias emergentes da América do Sul atraem comumente a atenção de pesquisadores, mesmo que por razões pontualmente distintas entre as economias em questão. Dentre essas economias pode-se destacar o sólido mercado financeiro chileno, a consolidada demanda interna da população brasileira, a convergência antidemocrática argentina, o processo de pacificação interna colombiana, ou mesmo as elevadas taxas de crescimento da economia peruana. Adicionalmente a isso, ressaltamos os resultados de Matos, Siqueira & Trompieri (2014) que evidenciam a existência de um elevado nível de integração e o contágio financeiro entre os índices do Brasil, Argentina, Colômbia, Chile, Peru e Venezuela. À luz dessas evidências, essa tese faz três ensaios acerca de dados financeiros e econômicos do Brasil, Argentina, Colômbia, Chile e Peru. No primeiro ensaio faz-se a análise do mercado de risco dessas economias através da metodologia Value at Risck - VaR condicional, onde o valor crítico que caracteriza o VaR foi associado à distribuição que apresentar melhor fitting e incorporamos os efeitos da média e da volatilidade, ambas condicionais, obtidas pelo arcabouço ARMA-GARCH mais bem especificado. Onde observa-se que os modelos condicionais best fitting tem uma menor quantidade de violações. No segundo ensaio, buscou a análise das reservas internacionais seguindo conceitualmente noções da metodologia Buffer Stock, porém considerando os efeitos cruzados significativos das volatilidades condicionais, dos respectivos spreads e das importações intrablocos. Os resultados apontam uma melhoria significativa no poder explicação do modelo e que as reservas brasileiras são a menos afetadas pelas economias da América do Sul. No último ensaio foi analisado as opções de carteiras diversificadas disponíveis para um investidor brasileiro, que enfrenta um cenário livre de oportunidades no mercado financeiro, com o objetivo de mensurar ganhos com diversificação da posição adquirida nos índices de mercado da América do Sul vis-à-vis um carteira doméstica. Os resultados mostram a possibilidade que estratégias de composição de carteira simples e não dinâmica, composta somente de índices dos mercados dos países vizinhos do Brasil, se traduzam em resultados muito satisfatórios em termos de ganho e risco esperados.

MAYORGA, Rodrigo de Oliveira. An application of value at risk and expected shortfall / Rodrigo de Oliveira Mayorga. - 2016. 60f. Tese (Doutorado) - Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2016. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:28Z No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:45Z (GMT) No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Made available in DSpace on 2017-06-07T18:33:45Z (GMT). No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) Previous issue date: 2016 / The last two decades have been characterized by significant volatilities in financial world marked by few major crises, market crashes and bankruptcies of large corporations and liquidations of major financial institutions. In this context, this study considers the Extreme Value Theory (EVT), which provides well established statistical models for the computation of extreme risk measures like the Value at Risk (VaR) and Expected Shortfall (ES) and examines how EVT can be used to model tail risk measures and related confidence interval, applying it to daily log-returns on four market indices. These market indices represent the countries with greater commercial trade with Brazil for last decade (China, U.S. and Argentina). We calculate the daily VaR and ES for the returns of IBOV, SPX, SHCOMP and MERVAL stock markets from January 2nd 2004 to September 8th 2014, combining the EVT with GARCH models. Results show that EVT can be useful for assessing the size of extreme events and that it can be applied to financial market return series. We also verified that MERVAL is the stock market that is most exposed to extreme losses, followed by the IBOV. The least exposed to daily extreme variations are SPX and SHCOMP. / As duas últimas décadas têm sido caracterizadas por volatilidades significativas no mundo financeiro em grandes crises, quebras de mercado e falências de grandes corporações e liquidações de grandes instituições financeiras. Neste contexto, este estudo considera a evolução da Teoria do Valor Extremo (EVT), que proporciona modelos estatísticos bem estabelecidos para o cálculo de medidas de risco extremos, como o Value at Risk (VaR) e Espected Shortfall (ES) e examina como a EVT pode ser usada para modelar medidas de risco raros, estabelecendo intervalos de confiança, aplicando-a aos log-retornos diários a quatro índices de mercado. Estes mercados representam os países com maior intercâmbio comercial com o Brasil (China, U.S. e Argentina). Calculamos o VaR e ES diários dos índices IBOV, SPX, SHCOMP e MERVAL, com dados diários entre de 02 de janeiro de 2004 e 08 de setembro de 2014, combinando a EVT com modelos GARCH. Os resultados mostram que EVT pode ser útil para avaliar o tamanho de eventos extremos e que ele pode ser aplicado a séries de retorno do mercado financeiro. Verifica-se ainda que MERVAL é o mercado de ações que está mais exposta a perdas extremas, seguido do IBOV. Os menos expostos a variações extremas diárias são SPX e SHCOMP.

Horizons responsible for the reflection of seismic waves within deep-sea sediments are shown to be less reliable for the purposes of correlation than their counter-parts in shallow margin sequences. Similar surfaces, such as abrupt lithological changes and unconformities, in the two different realms are not neccessarily produced by the same processes. It is the nature of these processes which control the chronostratigraphic significance of a reflector. Thus reflectors may be correlated with reference to their genetic process. Horizons caused by time-restricted physical processes have enhanced chronostratigraphic significance. In the deep-sea, layers in which the physical properties change slowly with depth (transition layers) are also important for reflector formation. In as much as these transitions can be affected by temperature, pressure and sediment geochemistry, as well as time, the equation of an horizon at two different localities does not neccessarily imply correlation in time (i.e. the horizon is not neccessarily a chronostratigraphic time line). The two most important factors affecting impedance are the primary sedimentary geochemical composition and the nature of the grain to grain contacts within the sediment. Impedance increases with increasing grain density and increased rigidity of the sedimentary frame. The inter-dependance of all sediment physical properties greatly complicates the study of the relationships between them. Modelling can be used to demonstrate the affects of variation of individual properties. Synthetic seismograms can be generated using either physical properties data measured from discrete samples or from wire-line data. While quality is a limiting factor to the performance of .-. physical properties modelling, the latter is of value in that it enables modelling at many more localities than is possible with wire-line techniques alone. Abrupt impedance contrasts that produce reflectors important in deep-sea seismic stratigraphy may be grouped into a) Compaction horizons produced by gradual increase in over-burden pressure, b) Cementation horizons produced by variation in diagenesis with depth c) Calcite compensation depth (CCD) controlled horizons characterised by marked variation in primary sedimentary content and d) Unconformities produced by bottom current action.

FERREIRA, Antonio Glênio Moura. Gestão de risco das principais tesourarias de fundos de investimento em ações no Brasil. 2014. 74 f. Dissertação (Mestrado Profissional) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2014. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:33Z No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:47Z (GMT) No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Made available in DSpace on 2014-11-26T19:15:47Z (GMT). No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) Previous issue date: 2014 / This study aims to examine empirically the behavior of the model for measuring market risk Value at Risk - VaR in its parametric interpretation unconditional Gaussian and extensions that regulate violations on heteroscedasticity and non-normality of daily returns of investment funds Actions, of the thirteen largest financial institutions resident in Brazil, during the January/06 dezembro/12. For a better evaluation of the data, we sought to initially model the conditional evolution of risk and adjust the statistic al idiosyncrasy of temporal series of thirteen treasuries, using probability distributions that best adapt to the analysis of the models. The results obtained with the semodels are analyzed by the test failure rate proposed by Kupiec (1995) and Chisttoffersen (1998). The survey also shows, with graphic examples, a performance Risk - Return of the thirteen banks using the methodology proposed by Balzer. / O presente trabalho busca analisar, empiricamente, o comportamento do modelo de mensuração de risco de mercado Value-at-Risk – VaR em sua interpretação paramétrica gaussiana incondicional e extensões que regulam as violações sobre a não normalidade e a heterocedasticidade dos retornos diários dos fundos de investimentos em Ações, das treze maiores instituições financeiras residentes no Brasil, durante o período de janeiro/06 a dezembro/12. Para uma melhor avaliação dos dados, buscou-se, inicialmente, modelar a evolução condicional do risco e ajustar a idiossincrasia estatística das séries temporais das treze tesourarias, utilizando distribuições de probabilidade que mais se adaptassem à análise dos modelos. Os resultados obtidos com esses modelos são analisados à luz do teste para proporção de falhas proposto por Kupiec (1995) e Chisttoffersen (1998). A pesquisa ainda apresenta, com exemplos gráficos, uma análise de desempenho Risco – Retorno dos treze bancos utilizando a metodologia proposta por Balzer.

The kinetic energy density, k, and lifetime, t, of a turbulent eddy, volume V, are shown to be related to a characteristic length scale, 2, by: 13 =vk= c2/3e2/3 t-C 1/312/3 where c is the energy dissipation rate. A self similar cascade of discrete eddy sizes is derived, each size related to the next larger by: P 22 CC i+l i where C= 81'2. With some simple assumptions as to the turbulent production process the mean logarithmic velocity profile is derived. The relationship between the friction velocity and Reynolds stress is explained in terms of the large eddy intermittency, n. Below a critical free stream velocity, U', n is proportional to the free stream velocity. The dissipation rate, e, is then constant and given by: e U'3/N3L where N is the number of discrete eddy sizes in the boundary layer. When the boundary layer has reached the surface N- 11. The observed turbulent spectral characteristics are derived from the eddy equations without using dimensional reasoning and an explanation of the mechanism behind surface layer similarity scaling is proposed. An experiment was carried out in the North Sea to test the model predictions. Correlations showed that, except at slack water, the largest eddies were approximately cubic, occupying the whole flow depth, and were advected with the mean flow. Frequency spectra provided evidence that the cascade formulation was correct. The turbulent intermittency was proportional to the current speed and the value of c, calculated by several methods, was found to be constant with a value: C=0.3 cm2/s3 The characteristics of the largest eddies were isolated using a spectral cropping technique and plotted as a phase portrait of the turbulent strange attractor. This demonstrated that the boundary layer sat at preferred, discrete energy levels. The levels observed could be related to the discete cascade model. A computer code based on the model equations was tested against a series of large scale oil and dye releases in the North Sea. The observed intermittency, meandering, and dispersion were well simulated with the value of c given above.

The thesis describes a study of the transfer from school to non-school of pupils from five schools in different areas of England. The study has focused on fifth year pupils in schools located in Leicester, Stevenage, Windsor, Newcastle-upon-Tyne and Middlesbrough. Through a combination of both quantitative and qualitative data collection methods it has concentrated on many aspects of school leaving processes and careers education programmes. Within the context of the different local labour markets the study has given particular attention to the kinds of careers education provided by the schools and by the local authority careers services. The study is comparative in its approach, examining the influence of the local labour market on the organisation and content of careers education, the way in which it was received by the school leavers and its influence upon their aspirations and expectations in terms of employment and further education. The study has shown that in areas of high unemployment such as Middlesbrough and Newcastle, careers education may form part of the wider social education of the pupil. Furthermore, due to the lack of employment opportunities for young people in such areas, it may lose much of the instrumentalism which was apparent in the more prosperous areas of Stevenage, Leicester and in particular, Windsor. Differences between the schools in terms of fifth year perceptions of YTS, reasons for entering further education, the role of qualifications and the importance of occupational choice are also highlighted. The thesis concludes by giving consideration to the likely role of careers education in the context of the National Curriculum and to changing labour market demands for school leavers, in the light of demographic fluctuations.

M.Tech.

M.Cur. / Please refer to full text to view abstract

This study was designed to explore the elements that influence the identification of young children that might be considered at-risk for early school failure. To this end, guided by complexity theory, the study sought to examine (a) system requirements and expectations at the provincial and school board levels, (b) current practice in schools and classrooms, and (c) the beliefs and knowledge of individuals surrounding the assessment and identification of at-risk students in Kindergarten. Using a qualitative, case-study approach 23 individuals from two different school boards in Ontario were interviewed to explore both practice and beliefs. Review of relevant provincial and school board documents as well as artifacts that were gathered during school visits provided further information. While there were some differences in details, the findings were similar in the two boards. In describing which characteristics were of concern when considering an at-risk designation, most participants cited social, emotional, and behavioural difficulties. While both school boards required tracking and assessment of literacy skills, teachers and ECEs concentrated more on ongoing observations and anecdotal notes to determine student progress. Interventions for students at-risk were more often provided for students with academic difficulties. However, there was also some support for behaviour difficulties in terms of consultation from special education personnel in one board and an early intervention team in the other. It was clear from the findings that many elements influence the identification of a student as at-risk including the characteristics of the student, the student’s family, and the particular classroom, school, and board the student attends. The study findings contribute to our understanding of practice and beliefs around young student at-risk and how the interactions of the various elements involved impact the identification of individual students.

No description available.