This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan and China equity markets. We employ world, country, industry, and global risk factors to build a structural model which could explain the relationship between local factors across markets by further decomposing local factor returns. Under the structure, this model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios. The innovative methodology is first introduced by Barra as the Integrated Model. Moreover, we build a simple portfolio and its corresponding benchmark to illustrate the power of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.

This research combines relational database framework and quantitative equity portfolio models based on the Barra Risk Model Handbook standard steps to design a database and computer platform for multi-factor risk management tasks. The multi-factor model facilitates fast search and efficient selection of descriptors with explanatory power for future stock returns. The design of database is divided into three steps. First, descriptors are calculated and daily-update modules constructed. This study finds 48 key descriptors which play important roles in explaining stock returns of Taiwan. Second, entity relational model is applied to sort out linkages between pieces of important information in the factor model. Lastly, database auto-run procedures are setup to update the latest raw data on a monthly basis. Model parameter update and portfolio rebalancing is hence made seamless to meet practical operation demand for such a platform. The development of the Multi-factor risk model is divided into five main steps. (1) Finding significant descriptors. (2) Forming common factors from descriptors. (3) Developing a multi-factor return model. (4) Developing a multi-factor risk model. (5) Running performance analysis and back-testing. The empirical results show that the average adjusted R-squared of the MFM model is 0.5 during the period of 1998/04~2005/11. For combining descriptors into common factors, we run factor analysis. The multi-collinearity problem existing in the descriptors is well taken care of by such procedures. We use the exponentially weighted averaging method to compute the factor returns and forecast stock ranking. A half-life of 24 months appears to deliver the best performance in Taiwan stock market.

Orientador: Antônio de Azevedo Barros Filho / Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Ciências Médicas / Made available in DSpace on 2018-08-16T09:27:54Z (GMT). No. of bitstreams: 1 Bourscheid_Debora_D.pdf: 2012053 bytes, checksum: 313e9e669bdd32bb41572ed7e796d3ae (MD5) Previous issue date: 2010 / Resumo:Analisar o desenvolvimento neuromotor e crescimento dos quatro a seis anos de idade em relação a fatores ambientais e condições de nascimento em Cascavel - PR. Métodos: Estudo transversal aprovado pelo comitê de ética da Unioeste sob parecer 345/2004 de nascidos nos anos de 2002, 2003 e 2004 realizados no ano de 2008. A amostra contou com 157 crianças de 4 anos, 373 de 5 e 146 de 6 anos, totalizando 676 crianças. A amostra foi dividida em crianças nascidas pré-termo (?37 semanas gestacionais) com 93 (13,76%) da amostra; 61 (9,00%) de crianças nascidas com baixo peso (?2500g). O desenvolvimento neuromotor foi avaliado pelo "Exame Neurológico Evolutivo (ENE) de Lefévre, (1972)". Foi respondido pelos pais um questionário com informações das condições de nascimento, de fatores ambientais e condições socioeconômicas. Para a análise utilizaram-se os programas Epi-Info 6.0 e SPSS versão 13.0. O Test T-Student foi usado para comparar as médias de amostras independentes e Regressão Logística Binária, (p < 0,05). Resultados: Houve diferença significativa na regressão logística entre as idades gestacionais nas provas de Coordenação Apendicular e Coordenação Tronco-Membro. As crianças nascidas prétermo mostraram-se inadequadas para as provas de Coordenação Apendicular com força de predição (overall percentage) igual a 73,1%; verificou-se que a Coordenação Apendicular aumenta a adequação em 49,5% conforme muda o tempo gestacional para mais de 37 semanas. A Coordenação Tronco-Membro obteve força de predição igual a 67,8%; apresentou-se 5,6 vezes maior quando o tempo de gestação passa a ser de mais de 37 semanas. As variáveis de risco associadas ao desenvolvimento de crianças prétermo foram idade, sexo, Apgar, nível socioeconômico e tipo de parto. Foi observado que a chance da Coordenação Apendicular estar adequada a idade aumenta em 20,2% conforme melhora a classe social; é 2,4 vezes maior a cada aumento da idade da criança é 9 vezes mais adequada para o sexo masculino, quando associado ao sexo feminino; é 2,14 vezes maior a cada aumento do Apgar, ou seja, quanto menor o Apgar maior a chance de a criança apresentar inadequação nas provas de Coordenação Apendicular. Foi observado que chance da Coordenação Tronco-Membro apresentar-se adequada para a idade é aproximadamente 2 vezes maior quando aumenta as condições socioeconômica; aumenta em 56,3% quando muda o tipo de parto de cesárea para normal. Quando analisado o grupo de crianças nascidas com baixo peso foi observado que o peso ao nascer não é o fator de maior risco no desenvolvimento neuromotor. Para as provas de Equilíbrio Estático obteve-se força de predição igual a 83,3%, onde apenas a variável tipo de parto foi significativa sendo que a chance da variável Equilíbrio Estático estar adequada é 2,6 vezes maior conforme o tipo de parto de cesárea para normal. Nas provas de Sensibilidade com força de predição de 80,6%, observou-se que a chance da Sensibilidade estar adequada é 1,2 vezes maior conforme aumenta o perímetro cefálico de nascimento; aumentam em 24,2% conforme aumenta o nível socioeconômico; é 1,4 vezes maior conforme aumenta a escolaridade da mãe. A Coordenação Apendicular obteve força de predição igual a 67,00%, sendo que a chance de apresentar-se adequada aumenta em 30,2% conforme muda o tipo de parto de cesárea para normal e é 1,7 vezes maior conforme aumenta a escolaridade da mãe. A Coordenação Tronco-Membro foi a única variável neuromotora significativa com o peso ao nascer com força de predição igual a 60,3%, sendo que a chance de apresentar-se adequada aumenta em 57% conforme aumenta o peso ao nascer; e é 1,7 vezes maior conforme aumenta a classificação do nível socioeconômico. Conclusão: Conclui-se que o fator prematuridade interfere no desenvolvimento neuromotor de crianças em idade pré-escolar, essencialmente nas aptidões de Coordenação Apendicular e Tronco Membro e os fatores de risco do nascimento prematuro está associado à idade, ao sexo, ao nível socioeconômico, ao Apgar e tipo de parto. Conclui-se que o desenvolvimento neuromotor de crianças nascidas com baixo peso tende a aparecer na medida em que a criança cresce e em aptidões que envolvam maior complexidade motora. Conclui-se que aspectos de pequena medida de perímetro cefálico de nascimento, baixo nível socioeconômico e pouco tempo de escolaridade da mãe e tipo de parto cesárea estão associados a não adequação das aptidões motoras avaliadas pelo ENE / Abstract: To analyze the neuromotor development and growth of the four/six years of age in relation the ambient factors and conditions of birth in Cascavel - PR. Methods: Transversal study approved by the committee of ethics of Unioeste under seeming 345/2004 of been born in the years of 2002, 2003 and 2004 carried through in the year of 2008. The sample counted on 157 children of 4 years old, 373 of 5 and 146 of 6 years old, totalizing 676 children. The sample was divided in born children daily pay-term (?37 gestational weeks), being 93 (13.76%) of the sample; children Born with low weight (?2500g), 61 (9.00%) and children born in gestational time and weight of adjusted birth, 522 (77.24%). The neuromotor development was evaluated by "Evolutionary Neurological Examination (ENE) of Lefévre, (1972)". A questionnaire with information of the birth conditions was answered by the parents, of ambient factors and socioeconomic conditions. For the analysis the programs had been used Epi-Info 6,0 and SPSS version 13.0. The Test T-Student was used to compare the averages of independent samples and Binary Logistic Regression, (p<0,05). Results: It had significant difference in the logistic regression enters the gestational ages in the tests of Appendicular Coordination and Trunk-Member Coordination. The Born children daily pay-term had revealed inadequate for the tests of Appendicular Coordination with force of prediction (overall percentage) equal 73.1%; it was verified that the Appendicular Coordination increases the adequacy in agreement 49,5% more than changes the gestational time for 37 weeks. The Trunk-Member Coordination got force of equal prediction 67.8%; one presented 5.6 times bigger when the gestation time starts to be of more than 37 weeks. The variable risks associates to the development of children daily pay-term had been age, sex, Apgar, socioeconomic level and type of childbirth. It was observed that the possibility of the Appendicular Coordination to be adequate to the age increases in agreement 20.2% improves the social classroom; it is 2.4 times bigger to each increase of the age of the child is 9 times more adjusted for the masculine sex, when associate to the feminine sex; it is 2.14 times bigger to each increase of the Apgar, that is, how much lesser the Apgar bigger the possibility of the child to present inadequação in the tests of Appendicular Coordination. It was observed that possibility of the Trunk-Member Coordination to present itself adequate for the age is approximately 2 times bigger when increases the socioeconomic conditions; it increases in dumb 56.3% when the type of childbirth of Caesarean for normal. When analyzed the group of children born with low weight it was observed that the weight to the rising is not the factor of bigger superiority in the neuromotor development. For the tests of static balance force of equal prediction 83.3%, where only the changeable type of childbirth was significant being that was gotten the possibility of the changeable Static balance to be adequate is 2.6 times bigger as the type of childbirth of Caesarean for normal. In the tests of Sensitivity with force of prediction of 80.6%, it was observed that the possibility of Sensitivity to be adequate is 1.2 times bigger as increases the cephalic perimeter of birth; they increase in 24.2% as increases the socioeconomic level; it is 1.4 times bigger as increases the school level of the mother. The Appendicular Coordination got force of equal prediction 67.00%, being that the possibility to present itself adequate increases in agreement 30.2% changes the type of childbirth of Caesarean for normal and is 1.7 times bigger as increases the school level of the mother. The Trunk-Member Coordination was the only significant neuromotor variable with the weight to the rising with force of equal prediction 60.3%, being that the possibility to present itself adequate increases in 57% as increases the weight to the rising; e is 1.7 times bigger as increases the classification of the socioeconomic level. Conclusion: One concludes that the factor prematurity intervenes with the neuromotor development of children in preschool age, essentially in the aptitudes of Appendicular Coordination and Trunk- Member and the factors of risk of the premature birth is associated with the age, the sex, the socioeconomic level, the Apgar and type of childbirth. It is concluded that the neuromotor development of children born with low weight associates it aspects of measure of cephalic perimeter of birth, socioeconomic level and school level of what with the weight of birth in itself / Doutorado / Saude da Criança e do Adolescente / Doutor em Saude da Criança e do Adolescente

In this thesis, the seat inventory control problem is studied for airlines from the perspective of a risk-averse decision maker. There are only a few studies in the revenue management literature that consider the risk factor. Most of the studies aim at finding the optimal seat allocations while maximizing the expected revenue and do not take the variability of the revenue and hence a risk measure into account. This study aims to decrease the variance of the revenue by increasing the capacity utilization called load factor in the revenue management literature. In addition to expected revenue, load factor is an important performance measure the state companies work with. For this purpose, two types of models with load factor formulations are proposed. This thesis is the first study in the revenue management literature for the airline industry that uses the load factor formulations in the mathematical models. It is an advantage to work with load factor formulations since the models with load factor formulations are much easier to formulate and solve as compared to other risk sensitive models in the literature. The results of the proposed models are evaluated by using simulation for a sample network under different scenarios. The models we propose allow us to control the variability of revenue by changing the used capacity of the aircraft. This is at the expense of a decrease in the revenue under some scenarios. The models we propose perform satisfactorily under all scenarios and they are strongly recommended to be used especially for the small-scale airline companies and state companies and for scheduling new flights even in large scale, well established airline companies.

The diploma thesis deals with the topic of human failures during the risk activities. The aim of the work is to apply risk analysis to the operation of a selected unnamed company that processes vegetables. The thesis is divided into three parts. In the first part, the theoretical basis is discussed and serves as a basis for a better understanding of the topic and subsequent elaboration of the analytical part. The analytical part focuses on the characteristics of the selected company, organizational structure, working positions and the operation itself and analyses these issues with the focus on human factor. The last part of the diploma thesis is dealing with suggestions leading to the prevention of human failure in risk activities. The aim of these suggestions is to improve the situation of the company.

This diploma thesis "Methods of risk aggregation on financial markets" introduces all kinds of risk that are present on the financial markets. In the first part there are explained the ways and methods of measurement of these risks. Next there are shown the methods of aggregation of credit, market and operational risks. One of these methods are copula functions which are constructed in practical part of this thesis.

Submitted by Pedro Guimarães (pedroengel@hotmail.com) on 2012-10-03T00:30:05Z No. of bitstreams: 1 Dissertação.pdf: 709819 bytes, checksum: 11a410ca7be737e1b89ed81a75cd3a0d (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-12-20T16:42:02Z (GMT) No. of bitstreams: 1 Dissertação.pdf: 709819 bytes, checksum: 11a410ca7be737e1b89ed81a75cd3a0d (MD5) / Made available in DSpace on 2012-12-20T16:42:10Z (GMT). No. of bitstreams: 1 Dissertação.pdf: 709819 bytes, checksum: 11a410ca7be737e1b89ed81a75cd3a0d (MD5) Previous issue date: 2012-06-29 / I present here an approach that unify a variety of derivative pricing models that consists of attaining a Partial Differential Equation(PDE) by intuitive arguments and give its solution by Feynman-Kac method as a conditinal expectation of a markovian process. The expectation is taken in a risk neutral world(or risk neutral measure) where all the assets grow at the risk free rate. I also present how to make this specific change of measure, connecting the real world to the risk neutral world, and show that the relevant element for the measure change is the market price of factor risk. When the market is complete the market price of risk is unique and when the market is incomplete there is a variety of possible prices to the market price of factor risks that satisfy no arbitrage arguments. In the latter case the parameters are usually chosen to calibrate the model to market data. / Apresento aqui uma abordagem que unifica a literatura sobre os vários modelos de apreçamento de derivativos que consiste em obter por argumentos intuitivos de não arbitragem uma Equação Diferencial Parcial(EDP) e através do método de Feynman-Kac uma solução que é representada por uma esperança condicional de um processo markoviano do preço do derivativo descontado pela taxa livre de risco. Por este resultado, temos que a esperança deve ser tomada com relação a processos que crescem à taxa livre de risco e por este motivo dizemos que a esperança é tomada em um mundo neutro ao risco(ou medida neutra ao risco). Apresento ainda como realizar uma mudança de medida pertinente que conecta o mundo real ao mundo neutro ao risco e que o elemento chave para essa mudança de medida é o preço de mercado dos fatores de risco. No caso de mercado completo o preço de mercado do fator de risco é único e no caso de mercados incompletos existe uma variedade de preços aceitáveis para os fatores de risco pelo argumento de não arbitragem. Neste último caso, os preços de mercado são geralmente escolhidos de forma a calibrar o modelo com os dados de mercado.

The aim of the thesis is to prepare a feasibility study of a multifunctional house in Humpolec and to evaluate the profitability of the project in the first 30 years of its operation. The evaluation of the project includes an initial financial analysis and two other possible situations. The theoretical part defines the basic information about the division of construction contract, the process of preparation and implementation of the project, types of financing investment projects, economic indicators and analyzes. In the practical part are given basic information multifunctional object. This is the site of construction, the character of the proposed building, including its planned use, financing and the three types of scenarios already mentioned. This is the baseline scenario, the optimistic scenario and the pessimistic scenario. At the end of the thesis there will be evaluated all investigated situations.

The mater’s thesis focuses on the issue of the reliability and efficiency performance of the human factor, identifying the risks of potential causes of failure of the chosen company. Based on the theoretical knowledge referred to in the first part thesis is designed procedures useful as a tool to prevent individual failures, focusing on solutions to the adverse conditions of stress or crisis when exposed to the human factor. The final section suggests the motivation of employees by proactively identifying risks.

This thesis focuses on considering of the investor economic risk during the preparation of the investment project including the financial plan, its evaluation and suggestions of proposals for risk reduction. Correct decisions on implementation or rejection of the project are based on the realistic financial plan. However, expenses and revenues are only implied and are burdened with some variability that leads to the risk of failure to achieve the planned values. To assess the acceptability of certain risks for the investor, an analysis of risk factors was conducted. The factors are first identified for their significance and potential negative impact, then the most risk factors are evaluated and determined whether it is necessary to further tracking or the risk to the investor is acceptable.