This thesis deals with the nominal and real convergence for Czech Republic and the Euro zone. It also includes analysis of synchronization of economic development in Czech and European economies for identifying potential risks associated with introducing the euro in the CR. The thesis describes different types of convergence and the relevant indicators with their historical evolution and hypothesis about future trends. The empirical part of the paper analyzes some selected indicators using econometric VAR models and linear and non-linear models of conditional heteroskedasticity. A suitable model for the analyzed data is chosen which gives a comparison of development in the Czech Republic and the EU. Especially time series causality, the existence of cointegration and conditional variance processes are observed. In conclusion there's a summary of all theoretical and modelled outputs with the risk evaluation of joining the monetary union.

A escarola é uma das hortaliças folhosas mais consumidas em saladas, considerada um alimento rico em nutrientes e compostos antioxidantes. Devido ao seu preparo trabalhoso, este vegetal apresenta forte potencial para o mercado de produtos minimamente processados, porém, este produto apresenta escurecimento nas folhas durante o armazenamento. O objetivo desse trabalho foi avaliar a influência do armazenamento refrigerado, atmosfera modificada passiva e da aplicação de antioxidantes sobre os aspectos de qualidade da escarola minimamente processada. Foram realizados três experimentos. No primeiro experimento, foi avaliado o efeito do armazenamento em quatro temperaturas 0, 5, 10 e 15°C, por 20 dias a 90-95% UR. No segundo, avaliou-se a utilização da atmosfera modificada passiva pelo acondicionamento do produto em quatro embalagens plásticas: policloreto de polivinila (PVC), polietileno de baixa densidade (PEBD), polipropileno (PP) e polipropileno bi-orientado (BOPP), durante o armazenamento a 0°C e 90-95% UR por 20 dias. O último experimento objetivou verificar os efeitos da aplicação dos antioxidantes: ácido ascórbico 1%, ácido cítrico 1%, ácido oxálico 1% e ácido etilenodiamino tetra-acético (EDTA) 2% por 21 dias de armazenamento a 0°C e 90-95% UR. Em todos os experimentos foram realizadas as análises de cor, L, C e °h e o índice de escurecimento, teor de ácido ascórbico, teor de clorofila total e carotenoides totais, compostos fenólicos totais e perda de massa. Para o experimento de refrigeração, foram realizadas ainda, as análises de taxa respiratória e produção de etileno. Nos experimentos de embalagens e antioxidantes, foram realizados o monitoramento das concentrações internas de O2 e CO2 nas embalagens e a atividade das enzimas polifenoloxidase e peroxidase, sendo que para este último experimento, foram realizadas ainda, análises microbiológicas referentes a ausência ou presença de Salmonella, quantificação de coliformes totais e bactérias psicrotróficas durante o armazenamento. A temperatura de 0°C é a mais recomendável para a redução de perdas na qualidade da escarola, essa temperatura proporcionou redução da taxa respiratória e perda de massa, bem como foi a que manteve os maiores os teores de ácido ascórbico e de pigmentos dessa hortaliça. Sendo que não foram observados sintomas de dano por frio no produto. Dentre os filmes estudados, constatou-se que as concentrações de 16 % de oxigênio e 3% de dióxido de carbono geradas no interior do filme de PVC, proporcionaram o menor escurecimento das folhas e maior conservação dos teores de ácido ascórbico, clorofila e carotenoides totais no produto. Observou-se ainda, que a escarola minimamente processada apresenta sensibilidade a altas concentração de CO2. Para o último experimento, não foi verificada a presença de Salmonella em nenhum dos tratamentos. Entre os antioxidantes aplicados, verificou-se que o tratamento de ácido cítrico 1% é o mais indicado para conservação dos atributos de qualidade da escarola minimamente processada, por ter mantido baixo índice de escurecimento, os maiores teores de pigmentos e alto teor de ácido ascórbico, bem como ter proporcionado baixa perda de massa e desenvolvimento microbiológico dentro dos limites estabelecidos. / Escarole is one of the most consumed leafy vegetal in salads, it is considered a rich source of nutrients and antioxidant compounds. Due to his arduous preparation for consumption or preparation of dishes, this vegetable shows a strong potential for fresh cut products market, however, this product exhibits browning on its leaves during storage. The objective of this work was to evaluate the influence of refrigerated storage, passive modified atmosphere and the application of antioxidants on quality aspects of fresh cut escarole. Three experiments were carried out. The first experiment evaluated the effect of four storage temperatures 0, 5, 10 and 15° C, for 20 days to 90-95% RH. In the second one, the effect of the use of passive modified atmosphere was evaluated by four plastic packaging: polyvinyl chloride (PVC), low density polyethylene (LDPE), polypropylene (PP) and bi-oriented polypropylene (BOPP), during storage at 0° C and 90-95% RH for 20 days. The last experiment aimed to check the effects of the application of following antioxidants: ascorbic acid 1%, citric acid 1%, oxalic acid 1% and etilenodiamino tetra-acetic acid (EDTA) 2% for a period of 21 days of storage at 0° C and 90-95% RH. In all experiments were performed the following analysis: color by L, C and °h and observation of browning index, ascorbic acid content, total chlorophyll content, total carotenoids content, total phenolic compounds content and weight loss. For the temperature experiment, the analysis of respiratory rate and ethylene production were also carried out. In the passive modified atmosphere and the antioxidants experiments, the monitoring of concentrations of O2 and CO2 in headspace of the packages and the activity of polyphenoloxidase and peroxidase enzymes were also made, and for the last experiment, were carried out microbiological analysis concerning the absence or presence of Salmonella and total coliforms and psychrotrophic bacteria counts during storage. The temperature of 0°C is the most recommended for the reduction of losses in the fresh cut escarole quality, that temperature provided respiratory rate reduction and reduction of the weight loss as well as was the one that kept the highest contents of ascorbic acid and pigments. Symptoms of chilling injury were not observed on the product during the storage. Among the films studied, it was found that concentrations of 16% oxygen and 3% carbon dioxide generated inside the PVC film, provided the minor browning index of the leaves and better conservation of levels of ascorbic acid, chlorophyll and carotenoids. It was observed that the fresh cut escarole is sensitivity to high CO2 concentrations. In the last experiment, the presence of Salmonella was not detected on the treatments. Between antioxidants applied, it was found that the treatment of citric acid 1% is the most suitable for the conservation of the fresh cut escarole quality attributes, for keeping low browning index, the highest concentrations of pigments and high content of ascorbic acid, as well as having provided low weight loss and microbiological development within the limits.

Made available in DSpace on 2017-07-10T17:36:49Z (GMT). No. of bitstreams: 1 2012_Rogerio_Lopes_Estevez.pdf: 990713 bytes, checksum: d352d01389c581ba9c5a9fd1da94074e (MD5) Previous issue date: 2012-04-17 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The objective of this study was to evaluate the influence of different seeding dates on agronomic characteristics, oil production and characteristics of the seeds of two cultivars of canola during the period 04/14/2011 to 11/23/2011 in the 2011 harvest. We used a randomized block designed with four replicates in a 7x2 plot, where subplots were the hybrids Hyola 61 and Hyola 433 and the plots were the seven different times of sowing, 04/14/2011, 04/27/2011, 05/11/2011, 05/25/2011, 06/08/2011, 06/22/2011 and 07/06/2011. The Hyola 433 showed higher yield and stability in oil content and a yield 11% higher than Hyola 61, regardless of sowing time for the climatic characteristics of the experimental area. The first and second sowing season favored the yield and oil yield. The results allowed concluding that probably the first three sowing dates, 04/14, 04/27 and 05/11, provide favorable conditions for obtaining high yields of canola. The Hyola 61 genotype shows physiological characteristics better than in Hyola 433 rapeseed on the variables: germination, emergence rate index and electrical conductivity / O objetivo do presente trabalho foi avaliar a influência das diferentes épocas de semeadura, sobre as características agronômicas, a produção de óleo e características dos grãos como se fossem sementes de dois cultivares de canola, durante o período de 14/04/2011 à 23/11/2011 na safra de 2011. Utilizou-se o delineamento experimental em blocos casualizados, com quatro repetições, em esquema de parcelas subdivididas 7x2, sendo as subparcelas híbridos Hyola 61 e Hyola 433 e as parcelas por sete épocas diferentes de semeadura, 14/04; 27/04; 11/05; 25/05; 08/06; 22/06 e 06/07. O Hyola 433 apresentou maior rendimento e estabilidade no teor de óleo, bem como produtividade 11% superior ao Hyola 61, independente da época de semeadura nas condições edafoclimáticas da área experimental. A data de semeadura 14/04 e 27/04 favoreceram a produtividade de grãos e o rendimento de óleo. Os resultados obtidos possibilitam inferir que provavelmente as primeiras épocas de semeadura, ou seja, 14/04, 27/04 e 11/05 proporcionam condições mais favoráveis à obtenção de altos rendimentos da canola do que o período posterior. O genótipo Hyola 61 apresentou características fisiológicas nas sementes de canola superior ao Hyola 433 nas variáveis germinação, índice de velocidade de emergência e condutividade elétrica

Made available in DSpace on 2016-04-25T16:44:14Z (GMT). No. of bitstreams: 1 Cassia Regina Vanicola.pdf: 742192 bytes, checksum: 69c4e862cfbce1c13bedea989c483c6a (MD5) Previous issue date: 2010-05-26 / The exchange rate corresponds to one of the main prices of an economy, due to several effects it has the ability to lead: effects on the current account of a country, its impact on monetary policy, on economic growth and effects on business decisions. The purpose of this research is to investigate factors that drive price movements of the national currency - the Real, against the dollar in the United States of America, for the sample period; to select relevant macroeconomic and financial variables and to test them empirically. First, the major theoretical developments of the theme and a brief history of the brazilian and also the world foreign exchange market are described. In this phase of the study there is the option to work with the variables: interest rate differential, country risk premium - EMBI, foreign direct investment - FDI, gross domestic product - GDP Bovespa Index and Dow Jones Index. Based on the sample period from January 1995 to January 2009, period of time in which, despite having an stable economy, Brazil went through several exchange rate regimes: floating exchange rate from 1994 to 1995, managed currency regime from 1995 to 1998; floating exchange rate with devaluation trend of the Real from 1999 to 2002 and floating exchange rate with appreciation trend of the Real from 2003 to 2009, seeks to establish econometric relationships via vector autoregression - VAR modeling. The results show that for the time interval, the main influences on the price development of the national currency are due to the variables: interest rate differential, EMBI, GDP and FDI. Additional discussion leads to the idea that it is still very difficult to predict the evolution of the exchange rate, especially in the short and medium term, and that other approaches such as the use of models for dealing with conditional heteroscedasticity or with microeconomic data may lead to interesting results / A taxa cambial corresponde a um dos principais preços de uma economia, por vários efeitos que tem a capacidade de provocar: efeitos sobre as transações correntes de um país, efeitos sobre a política monetária, efeitos sobre o crescimento econômico e efeitos sobre as decisões empresariais. O objetivo desta pesquisa é o de investigar fatores de relevância para os movimentos do preço da moeda nacional Real com relação ao Dólar dos Estados Unidos da América, para o período da amostra, selecionando variáveis macroeconômicas e financeiras relevantes e testando-as empiricamente. Primeiramente, são descritas as bases teóricas relevantes à evolução do tema, bem como breve histórico do mercado cambial mundial e brasileiro. Nessa fase do estudo opta-se por trabalhar com as variáveis: diferencial de juros, prêmio de risco país - EMBI, investimento direto estrangeiro - IDE, produto interno bruto - PIB, Ibovespa e Dow Jones. Tomando como base amostral o período de janeiro/1995 a janeiro/2009, período que apesar de contar com a estabilidade da economia brasileira, passou por vários regimes cambiais: câmbio flutuante de 1994 a 1995; câmbio administrado de 1995 a 1998; câmbio flutuante com tendência à desvalorização do Real de 1999 a 2002 e câmbio flutuante com tendência à valorização do Real de 2003 a 2009, procura-se estabelecer relações econométricas via modelagem por vetores auto-regressivos VAR, para as variáveis selecionadas. Os resultados das análises mostram que as principais influências à evolução do preço da moeda nacional para o período se devem às variáveis: diferencial de juros, EMBI, PIB e IDE. Discussões adicionais conduzem à idéia de que há ainda grande dificuldade de se prever a evolução da taxa cambial, especialmente no curto e médio prazos, e que outras abordagens tais como o uso de modelos que lidam com heteroscedasticidade condicional ou modelos que trabalhem com dados da microeconomia, possam trazer resultados interessantes

本研究欲以分量迴歸的方法估計出台灣上市櫃金融控股公司的VaR、CoVaR及其對台灣金融市場的風險溢出，做為總體審慎監理原則下具有抗景氣特色之風險衡量參考指標。我們亦透過金控公司間之CoVaR，觀察金控公司間風險交互影響程度，盼可提供各金控公司做為個體審慎監理原則下風險管理之參考指標。 本研究包含四大特色：一、運用前期市場資料可估計下期含有條件、共變、傳染、貢獻等特性之風險值，也就是CoVaR；二、透過各家金控對市場之∆CoVaR可觀察各金控公司系統風險貢獻程度差異；三、可觀察金控公司間相互交叉影響程度；四、運用金融機構特性預測未來系統風險。 本研究以信用利差、長短期利差、流動性利差、匯率變動、加權指數報酬、隱含波動度變動、金控股價報酬等市場資料，透過分量迴歸估計損失機率為1%及5%之台灣金融控股公司VaR及CoVaR，並計算市場風險溢出─∆CoVaR研究各金融機構對系統風險之邊際貢獻。且以槓桿比率、市值帳面比、相對規模及資產負債不對稱比例等金融機構特性相關變數預測未來∆CoVaR，做為總體審慎監理原則下之風險管理參考指標。 本研究結果發現對台灣金融市場系統風險溢出貢獻較大的為玉山金、中信金、台新金及國泰金；國票金、永豐金、第一金及元大金則為系統風險溢出貢獻較低者。預測結果部分發現損失機率為1%時，以預測未來兩季之∆CoVaR效果較佳，預測損失機率為5%時則以預測未來三季之∆CoVaR效果較佳，顯示資料對不同的尾端損失機率分配影響顯現時間也不相同。 / In this thesis, we intend to estimate Taiwanese financial holding company’s VaR, CoVaR and risk spillover to Taiwan financial market, and apply these to macroprudential risk management. In addition, we intend to develop crossover CoVaR between financial holding companies, offering risk management referral benchmark under microprudential principle to those companies. There are four features in this thesis. First, we use previous market data to estimate the conditional, comovement, contagion, and contributing VaR - CoVaR. Second, by ∆CoVaR of the institutions to the market, we can observe the holding companies’ systematic risk contribution. Third, we can observe the crossover effect of the holding companies. Last, we could use the characteristics of the institutions to predict future systematic risk. We particularly use credit spread, slope of yield curve, liquidity spread, change of exchange rate, return of market stock index, change of implied volatility and holding company’s stock price, by quantile regression, to predict the VaR and CoVaR of Taiwan’s holding companies when the probability to loss is 1% and 5%. Then we calculate market systematic risk spillover, ∆CoVaR, to observe the marginal systematic risk contribution of the institutions. Moreover, we use leverage, market-to-book ratio, relative size and maturity mismatch to predict forward ∆CoVaR, offering a reference to macroprudential risk management. Our empirical results show that in Taiwan financial market, the top four systematic risk contributors of holding companies are Esun Financial Holding, Chinatrust Financial Holding, Taishin Financial Holding and Cathay Financial Holding; the smallest ones are Waterland Financial Holding, Sino Financial Holding, First Financial Holding and Yuanta Financial Holding. We also find out that when loss probability is 1%, predicting ∆CoVaR after two seasons is better; when loss probability is 5%, predicting ∆CoVaR after three seasons is more significant. It shows that when the tail is different, the effect time is also different.

Background: Almost all foals develop transient diarrhoea within the first weeks of life. Studies indicated different viral, bacterial, and parasitic causes, such as rotavirus, Clostridium perfringens, Escherichia coli, and Cryptosporidium are discussed. But little is known about the development of intestinal microflora in foals. The present study investigated whether the supplementation with Bacillus cereus var. toyoi would modify the developing intestinal microflora and consequently reduce diarrhoea in foals. From birth, the foals were randomly assigned to three treatment groups: placebo (10 mL isotonic NaCl, n = 8), low dosage (LD; 5 × 108 cfu B. cereus var. toyoi, n = 7) and high dosage (HD; 2 × 109 cfu B. cereus var. toyoi, n = 10). Treatment groups were supplemented orally once a day for 58 days. Faeces scoring and sampling were performed within the first 24 h after birth and on day 9, 16, 23, 30, 44, 58 of the foal’s life and also on the first day of diarrhoea. Culture-plate methods were used to analyse the bacterial microflora. Results: Eighty-eight per cent of the foals developed diarrhoea (placebo 7/8, LD 5/7, HD 10/10) during the first 58 days of life. Bacillus cereus var. toyoi supplementation had no effect on bacterial microflora. Clostridium perfringens and enterobacteria were equally prevalent in foals with diarrhoea and those who were not afflicted. Conclusions: We conclude that the supplementation of B. cereus var. toyoi had no effect on the occurrence of diarrhoea and health status in the foals.

Le Bti est un bioinsecticide mondialement utilisé dans la lutte contre les moustiques. La toxicité du Bti est due à un cristal, constitué de quatre toxines principales, produit par la bactérie Bacillus thuringiensis subsp. israelensis. Le Bti représente une bonne alternative aux insecticides chimiques car il est peu persistant dans l’environnement et spécifique des insectes ciblés. La sélection d’une souche de moustique (Aedes aegypti) de laboratoire au Bti a entrainé une résistance modérée au Bti (3.5 fois) mais plus élevée aux toxines testées séparément (jusqu’à 60 fois). Ce résultat suggère que l’adaptation des moustiques au Bti en populations naturelles peut être corrélée à une résistance accrue à chacune des toxines. Pour pouvoir détecter une adaptation au Bti, il est donc nécessaire de mieux caractériser la résistance à chaque toxine qui compose le Bti.Cette thèse se structure en trois axes. 1. L’analyse du transcriptome par RNA-seq des souches résistantes à chaque toxine et au Bti a permis de mettre en évidence plusieurs gènes candidats potentiellement impliqués dans la résistance. La résistance développée au laboratoire est complexe, combinant des mécanismes de résistances spécifiques de chaque toxine et généralistes. 2. L’analyse du transcriptome d’une souche sensible exposée au Bti a permis d’identifier des gènes impliqués dans la réponse à l’intoxication, notamment les phosphatases alcalines. De plus, l’exposition à chaque toxine et au Bti induit une modification de l’expression de ces gènes bien plus importante chez les souches résistantes que chez la souche sensible. 3. L’implication de la réponse immunitaire dans la résistance et dans la réponse à une exposition au Bti est discutée. L’exposition au Bti accroit la compétence vectorielle d’A. aegypti pour deux maladies tropicales (Dengue et Chikungunya), différemment selon si la souche est sensible ou résistante au Bti. Cette thèse permet de mieux comprendre les mécanismes de résistances au Bti et à ses toxines ; ces connaissances sont nécessaires pour mieux anticiper la résistance sur le terrain. / Bti is a bioinsecticide used worldwide for mosquito control. Bti toxicity is due to a crystal, composed of four main toxins, produced by the bacteria Bacillus thuringiensis subsp. israelensis. Bti represents a good alternative to chemical insecticides because it is known to have a low persistence in the environment and to be specific to the targeted insects. The selection of a laboratory mosquito (Aedes aegypti) strain with a persistent form of Bti led to moderate resistance to Bti (3.5-fold) but to higher resistance (up to 60-fold) to Bti toxins tested separately. This result suggests that the adaptation of mosquitoes to Bti in the field may be correlated to a higher resistance to each toxin. In order to detect an adaptation to Bti, it is thus necessary to characterize better the resistance against each Bti toxin.This thesis is organized in three parts. 1. The transcritpome analysis of strains resistant to each toxin and to Bti using RNA-seq technique enabled to highlight genes and mechanisms potentially involved in the resistance. The resistance developed in the laboratory is complex, combining generalist and specific mechanisms to resist to each toxin. 2. The transcriptome analysis of a susceptible strain exposed to Bti enabled identifying genes involved in the response to the intoxication, especially alkaline phosphatases. Furthermore, exposure to Bti and to each toxin resulted in gene expression modification being far higher in resistant strains than in susceptible strain. 3. The role of immunity in the resistance and in the response to Bti exposure is discussed. The Bti exposure increases the vector competence of A. aegypti for two tropical diseases (Dengue and Chikungunya) differently, depending on the strain being susceptible or resistant to Bti. This thesis enables better understanding of resistance mechanisms to Bti and its toxins; this knowledge is necessary for anticipating field resistance development.

Nous analysons dans cette thèse le pouvoir de contribution du marché d’options à l’efficience informationnelle et à la stabilité du marché des actions françaises cotées sur Euronext-LIFFE pour la période 1996-2006.Nous nous proposons, en outre, de définir dans quelle mesure la fusion d’Euronext avec le Liffe en 2002 et les conditions macroéconomiques de 1996-2006, influencent cette contribution.L’étude de l’introduction d’options sur les caractéristiques des actions met en évidence, (i) l’absence d’impact aussi bien sur la volatilité que sur le risque systématique des actions mesuré par le bêta, (ii) un effet prix négatif qui reste statistiquement non significatif dans la majorité des séances, (iii) une hausse significative du volume, (iv) une baisse de la fourchette de prix. La modélisation VAR montre que l’introduction de l’option ne renforce l’ajustement du volume par rapport à la volatilité des actions significativement qu’au seuil de 10%. En outre, la proportion des agents informés sur le marché des actions n’est pas plus importante à la suite de la création d’options.La modélisation Log-ACD (Autoregressive Conditionnel Duration) augmentée par l’introduction de la liquidité comme variable explicative ne détecte aucun effet de l’introduction de l’option sur le renfort informationnel des actions.Par ailleurs, notre étude met en évidence que l’objectif du marché d’options est la couverture (respectivement la spéculation et/ou arbitrage) en période de forte volatilité (respectivement faible). La fusion d’Euronext avec le Liffe en 2002 n’introduit pas de changement significatif au niveau de l’amélioration du processus d’ajustement des prix aux nouvelles. Le résultat global de l’absence d’effet de l’introduction de l’option sur les actions, s’explique par le trading fondé, actuellement en France, sur la volatilité. Ce qui amenuise le pouvoir prédictif des options. / We investigate the impact of option listing on the underlying stock dynamics and the informational efficiency of the stock market, using data from the French Euronext Paris stock market about new option listing that occurred over the period 1996 – 2006. We take into account the implementation of a new trading system after the Euronext merger with the Liffe market in 2002 and the macroeconomic changes over the period.Considering different characteristics of stocks, we observe (i) no effect on both volatility and systematic risk measured by the beta, (ii) a negative price effect, although insignificant at the majority of times, (iii) a significant rise in the volume and, finally (iv), a significant decrease in the spread bid-ask. By estimating a VAR model, we highlight a better adjustment to new information, observable jointly through contemporaneous and delayed relations between volume and volatility. However, when decomposing volatility into the contributions of informed and non-informed agents, we cannot document any migration of informed traders to the underlying stock market after option listing. We confirm the absence of impact of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamics, using a modified Log-ACD model that accounts for liquidity captured by trade size.On the other hand, we show that in high volatility periods (low volatility periods), the option market plays a hedging role (speculation and/or arbitrage). The implementation of the new trading system after the Euronext merger with the Liffe market in 2002 appears to have no significant impact on the underlying stock. The global result about the absence impact of option listing is justified by the underlying stock’s volatility-driven trading. These strategies disturb the connection between option and underlying stock markets and the predictive power of option prices.

As entidades fechadas de previdência complementar (EFPC) possuem significativa relevância na economia brasileira com seus ativos dos fundos de pensão representando 16,8% do PIB em dezembro de 2009. O sistema de gerenciamento de risco dos fundos de pensão ainda não evoluiu na mesma proporção em que evoluiu em outros segmentos do mercado financeiro brasileiro. Para atender suas demandas de gerenciamento de risco, os fundos de pensão têm utilizado os modelos propostos para as instituições financeiras; tais modelos, contudo, não chegam a atender integralmente às suas necessidades. Os órgãos reguladores do setor têm estimulado os fundos de pensão a utilizarem seus próprios modelos para estimar a volatilidade e o Value at Risk (VaR). O objetivo do trabalho é propor uma modelagem de risco a partir da volatilidade estocástica (SV) para o cálculo do Value at Risk (VaR), comparando-a com a volatilidade calculada pela EWMA, proposta pelo Risk Metrics . A aplicação empírica do modelo foi efetuada a partir de uma amostra de uma série de retornos da carteira de uma entidade fechada de previdência complementar (EFPC) - fundo de pensão, a Indusprevi - Sociedade de Previdência Privada do Rio Grande do Sul. A amostra utilizada corresponde às cotas diárias entre o período de 01 de abril de 2004 até 31 de dezembro de 2009, representando 1.439 observações diárias. Os resultados apurados para a amostra demonstraram que a volatilidade estocástica (SV) tende a gerar um Value at Risk (VaR) mais conservador que o calculado a partir da metodologia do EWMA, quando testado pelo Teste de Kupiec (1995) e pela realização de Back testing. Tal fato, no entanto, torna o modelo mais adequado à realidade da Indusprevi e de uma grande maioria de outros fundos, que tendem a adotar políticas de investimentos mais conservadoras. / Pension funds have significant relevance to the Brazilian economy with assets representing, in December 2009, 16.8% of GDP. The pension funds risk management system has not evolved in the same pace as other sectors of the Brazilian financial market. To meet their demands for risk management, pension funds have employed the models proposed for financial institutions. Such models, however, fail to fully satisfy their needs. Government regulators have encouraged pension funds to use their own models so as to estimate volatility and Value at Risk (VaR). The main objective of this thesis is to propose a model of risk based on stochastic volatility (SV) to calculate the Value at Risk (VaR), as well as comparing it with the volatility estimated by EWMA, proposed by Risk MetricsTM. The empirical application of the model was made on a sample of portfolio returns of the pension fund Indusprevi - Sociedade de Previdência Privada do Rio Grande do Sul. The sample comprises 1439 daily quotes during the period April 1, 2004 to December 31, 2009. The results showed that the stochastic volatility (SV) tends to generate a more conservative Value at Risk (VaR) than the EWMA method when applying both the Kupiec (1995) test and back testing. This fact, therefore, makes the model more suitable to the principles of Indusprevi as well as a large majority of other funds, which tend to adopt more conservative investment policies.

Submitted by MATHEUS SARAIVA BIANCO null (matbianco2004@yahoo.com.br) on 2016-01-15T20:04:26Z No. of bitstreams: 1 TESE DOUTORADO MATHEUS BIANCO.pdf: 1015406 bytes, checksum: a764665f12062dbcf01f07c520fbf038 (MD5) / Approved for entry into archive by Juliano Benedito Ferreira (julianoferreira@reitoria.unesp.br) on 2016-01-18T16:13:35Z (GMT) No. of bitstreams: 1 bianco_ms_dr_jabo.pdf: 1015406 bytes, checksum: a764665f12062dbcf01f07c520fbf038 (MD5) / Made available in DSpace on 2016-01-18T16:13:35Z (GMT). No. of bitstreams: 1 bianco_ms_dr_jabo.pdf: 1015406 bytes, checksum: a764665f12062dbcf01f07c520fbf038 (MD5) Previous issue date: 2015-12-21 / Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) / O cultivo consorciado de hortaliças é um sistema de produção alternativo à monocultura, e quando manejado adequadamente pode incrementar o lucro da atividade agrícola e diminuir impactos ambientais. Foi realizado um experimento com o objetivo de avaliar o efeito de épocas de transplante do espinafre em consórcio com a couve, sobre a produtividade das culturas e o índice de eficiência do uso da área (EUA). O delineamento utilizado foi de blocos casualizados, com 17 tratamentos e quatro repetições. Os tratamentos constaram da combinação dos fatores: sistema de cultivo (consórcio e monocultura) e épocas de transplante do espinafre (0, 14, 28, 42, 56, 70, 84 e 98 dias após o transplante (DAT)) em relação à couve. Foram utilizadas as cultivares ‘Top Bunch’ (couve) e ‘Nova Zelândia’ (espinafre). As produtividades totais (PT) e por colheita (PC) da couve em monocultura não diferiram das obtidas em consórcio, independente da época de transplante do espinafre. A PT do espinafre foi influenciada pela época de transplante, sendo maior quanto mais cedo foi o transplante. A PC do espinafre somente foi influenciada pelo sistema de cultivo, sendo que em cultivo solteiro a PC foi cerca de 27% maior do que em cultivo consorciado. O índice de eficiência do uso da área não foi influenciado pela época de transplante, e teve valor médio de 1,71, indicando a viabilidade do consórcio. Os índices Coeficiente de Competitividade, Agressividade, Perda de Produtividade e Vantagem do Consórcio mostraram que, independente da época em que o espinafre for transplantado, a couve é a espécie dominadora e espinafre a dominada. O custo operacional total de um hectare do consórcio de couve e espinafre ‘Nova Zelândia’ é de R$ 13.049,23, enquanto um hectare de couve e do espinafre ‘Nova Zelândia’, em monoculturas, são de R$ 12.797,22 e R$ 10.418,90, respectivamente. / The intercropping of vegetables is an alternative production system to monoculture, and when handled properly can increase the income of agricultural activity and reduce environmental impacts. An experiment was conducted in order to evaluate the effect of spinach transplant times in consortium with kale on crop productivity and the area use efficiency index (USA). The design was a randomized block with 17 treatments and four replications. Treatments consisted of a combination of factors: cropping system (intercropping and monoculture) and Spinach transplant times (0, 14, 28, 42, 56, 70, 84 and 98 days after transplanting (DAT)) relative to kale. The cultivars 'Top Bunch' (kale) and 'New Zealand' (spinach) were used. The total productivity (TP) and productivity per harvest (PH) of kale in monoculture did not differ from those obtained in consortium, regardless of spinach transplant time. The spinach PT was influenced by the time of transplant, the higher the transplante. The Spinach PH was only influenced by the cropping system, and PH was about 27% higher monoculture than in intercropping. The area use efficiency index was not affected by the time of transplant, and had average value of 1.71, indicating the consortium’s viability. The Coefficient Competitiveness, Aggressiveness, Productivity Loss and Consortium Advantage showed that, regardless of the time when the spinach is transplanted, kale is the dominant species and the spinach dominated. The total operating cost of one hectare of kale and 'New Zealand' spinach consortium is R$ 13,049.23, while one hectare of kale and 'New Zealand' spinach in monoculture cost R$ 12,797.22 and R$ 10,418.90, respectively. / CNPq: 140617/2012-4