Quadratic Portfolio Credit Risk models with Shot-noise Effects

We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities can be represented in general exponential quadratic forms, despite the fact that the intensity is allowed to jump producing shot-noise effects. In addition, we show how to price defaultable digital puts, CDSs and options on defaultable bonds. Further on, we study a model for portfolio credit risk where we consider both firm specific and systematic risks. The model generalizes the attempt from Duffie and Garleanu (2001). We find that the model produces realistic default correlation and clustering of defaults. Then, we show how to price first-to-default swaps, CDOs, and draw the link to currently proposed credit indices.Credit risk; reduced-form models; CDS; CDO; quadratic term structures; shot-noise

CDOs in the light of the current crisis

This paper proposes a top-down model for pricing Collateralized Debt Obligation (CDOs). Our proposal is both treatable and realistic, in the sense we are able to obtain closed-form solutions to single tranche CDOs and capturing extreme credit events. We use as key ingredients the so-called (T, x)-bonds, as proposed in Filipovic, Overbeck, and Schmidt (2008), but generalize their affine specificationby including shot-noise processes. Our claim is that affine diffusions combined with shot-noise processes lead to an improved modeling of CDO spreads in comparison to existing affine jump-diffusion models. The proposed approach allows in particular for better capturing the possibility of extreme events, like the ones underlying the current crisis. We illustrate our results with a very concrete (simple) instance of our class of models. Finally, we identify the connections between the top-down and bottom-up approaches for modeling credit risk, within our class of models. Concretely, we show that even when taking a bottom-up approach the aggregate loss process would be a process of affine shot-noise type

On the pricing of CDOs

This chapter addresses the pricing of two popular portfolio credit derivatives: first-to-default swaps and collateralized debt obligations (CDOs). We use the recent model of Gaspar and Schmidt (2007) for the pricing of theses portfolio credit derivatives. This approach combines general quadratic models for term structures with shot-noise models and therefore naturally solves a number of important issues in credit portfolio risk. First, resulting pricing formulas are in closed form and therefore the model implementation is straightforward. Second, this class of models is able to incorporate well-known features of credit risky markets: realistic default correlations, default clustering and correlation between short-rate and credit spreads. Third, the recent turbulence in credit spreads caused by the U.S. subprime mortgage turmoil can be captured well.info:eu-repo/semantics/publishedVersio

Survival of salmonella in anaerobic system for the treatment of pig waste

A utilização de biodigestores no meio rural tem aumentado em função de sua capacidade de tratar os dejetos de origem animal, associada à geração de energia. Entretanto, uma vez que a destinação dos efluentes destes sistemas é o uso como fertilizantes do solo, faz-se necessária a investigação da capacidade de sobrevivência de agentes potencialmente patogênicos aos animais e ao homem nestes sistemas. Considerando que os suínos são portadores assintomáticos de salmonelas e que este microrganismo tem capacidade de sobreviver no solo, o objetivo do presente trabalho foi avaliar a sobrevivência de bactérias do gênero Salmonella em sistema anaeróbio para o tratamento de dejetos suínos. Em um sistema constituído por um reator anaeróbio acidogênico com capacidade para 20 L seguido por um reator anaeróbio metanogênico com capacidade para 40 L, ambos em acrílico, carregado com dejetos provenientes de uma granja negativa para salmonelas, inocularam-se 106ufc de Salmonella Typhimurium por mL de dejeto. Em amostras do dejeto antes deste ser transferido ao sistema anaeróbio de tratamento e no efluente do sistema, depois de decorridos sete dias de tratamento, determinou-se o Número Mais Provável (NMP) de salmonelas. Verificou-se redução no número médio de salmonelas após o tratamento, verificando-se NMP médio de 4,14Log10 no material de carga do sistema e 2,73 Log10 NMP no efluente. O uso de reatores anaeróbicos deve ser entendido como parte de um sistema integrado para o tratamento de resíduos orgânicos de origem animal, possibilitando segurança na destinação dos efluentes ao ambiente.The use of biodigesters in rural areas has increased due to its ability to treat animal waste, associated with energy generation. However, since the destination of the effluents from these systems is to be used as soil fertilizers, it is necessary to investigate the survival capacity of potentially pathogenic agents to animals and man in these systems. Considering that pigs are asymptomatic carriers of salmonella and that this microorganism has the ability to survive in the soil, the objective of the present work was to evaluate the survival of bacteria of the genus Salmonella in anaerobic system for the treatment of swine manure. In a system consisting of an acidogenic anaerobic reactor with a capacity of 20 L followed by a methanogenic anaerobic reactor with a capacity of 40 L, both in acrylic, loaded with waste from a negative farm for salmonella, 106ufc of Salmonella Typhimurium was inoculated per mL of waste. In samples of the manure before it was transferred to the anaerobic treatment system and in the system effluent, after seven days of treatment, the Most Likely Number (PWN) of salmonella was determined. There was a reduction in the average number of salmonella after treatment, with an average NMP of 4.14Log10 in the system loading material and 2.73 Log10 NMP in the effluent. The use of anaerobic reactors must be understood as part of an integrated system for the treatment of organic residues of animal origin, enabling safety in the disposal of effluents to the environment

The influence of innovation environments in R&D results

En Brasil y en el mundo, incubadoras y parques científicos y tecnológicos (IPCTs) son continuamente adoptados para fomentar el desarrollo regional. Sin embargo, la incongruencia entre el creciente número de IPCTs y la inconclusividad de sus resultados produce preocupaciones en cuanto a su efectividad y cuestiones sobre cómo ocurre el proceso de innovación en estos ambientes. Aunque haya indicaciones de que estudios cuantitativos son posibles y necesarios para el adecuado análisis de IPCTs, en pocos trabajos se adoptó este abordaje. El objetivo en este artículo es examinar la influencia de los recursos promovidos por IPCTs en los resultados de I + D de las organizaciones hospedadas. Se llevó a cabo un estudio cuantitativo con análisis de sesgo. El mayor grado de especificidad en la observación y análisis del ambiente empírico contribuye al avance de la literatura en el sentido de plantear una estructura para clasificación de los recursos de IPCTs e identificar qué tipos de recursos están relacionados con los resultados de proyectos de I + D.No Brasil e no mundo, incubadoras e parques científico-tecnológicos (ISTPs) são continuamente adotados para fomentar o desenvolvimento regional. Entretanto, a incongruência entre o crescente número de ISTPs e a inconclusividade dos seus resultados motivam preocupações quanto à sua efetividade e suscitam questionamentos sobre como ocorre o processo de inovação nesses ambientes. Apesar das indicações da crescente possibilidade e necessidade de pesquisas quantitativas para o estudo desses habitats, poucas investigações adotaram essa abordagem. O objetivo deste trabalho é analisar a influência dos recursos promovidos por ISTPs nos resultados de P&D das organizações por eles hospedadas. Foi realizada uma pesquisa quantitativa, composta por um levantamento de corte transversal. O maior grau de especificidade na observação e análise do ambiente empírico contribuiu para o avanço da literatura no sentido de propor uma estrutura para classificação dos recursos promovidos pelas ISTPs e identificar que tipos de recursos estão associados aos resultados de projetos de P&D.In Brazil, as well as worldwide, incubators and science and technology parks (ISTPs) are continually used to foster regional development. However, the incongruence between the growing number of ISTPs and the inconclusiveness of their results raised preoccupations regarding their effectiveness and doubts on how they promote innovation. In spite of the growing possibility and need for quantitative research, few studies have adopted this methodological perspective. The objective of this study is to analyze the influence of resources promoted by ISTPs on the results of their tenant's R&D projects. A quantitative cross-sectional design was used in this study. A higher specificity in the observation and analysis of ISTPs contributed to the advance of literature, so that a taxonomy of resources promoted by ISTPs was proposed and the key resources associated to R&D results could be identified

Cluster life cycle : a study in the vale dos sinos footwear cluster

This paper aims at analyzing the stages of the lifecycle of clusters, based on four dimensions: diffusion of knowledge in the cluster, competitive advantage, structure of cluster and policies for clusters. For that, the Footwear Cluster of Vale dos SinosParanhana in Rio Grande do Sul was chosen as a study object. The results point out that the cluster is little collaborative and little innovative. The cluster is still recognized as a great footwear producer, but the own identity of the people with the cluster is being lost. The local culture does not promote the diffusion of knowledge due the companies are closed. This research contributes with the comprehension of how the clusters develop, for this purpose, the flow of knowledge will have a central role in the renewal of the cluster. As a practical implication, the awareness of the difficulties and the necessary mechanisms to renovate a cluster are important so that it is possible to work on sectoral policies and of cluster. As theoretical contribution, the study reinforces that the lack of new knowledge influences the imprisonment, resulting from its dependent trajectory, leading it to the decline.Esta pesquisa tem como objetivo analisar a relação entre fluxo de conhecimento, o lock-in e o estágio do ciclo de vida de um cluster. Para tanto, o Cluster Calçadista do Vale dos Sinos-Paranhana no Rio Grande do Sul foi escolhido como objeto de estudo. Os resultados apontam que o cluster é pouco colaborativo e inovativo. O cluster ainda é reconhecido como um grande produtor de calçados, mas a própria identidade das pessoas com o cluster está se perdendo. A cultura local não promove a difusão do conhecimento, uma vez que as empresas são fechadas. Esta pesquisa contribui com a compreensão de como os clusters se desenvolvem, para tanto, o fluxo de conhecimento terá um papel central na renovação do cluster. Como implicação prática, a consciência das dificuldades e dos mecanismos necessários para renovar um cluster são importantes para que seja possível trabalhar as políticas setoriais e de cluster. Como contribuição teórica, o estudo reforça que a falta de novos conhecimentos influencia o aprisionamento, o qual é decorrente da dependência de trajetória, levando-o ao declínio

Tradução do Conhecimento para o avanço das práticas em saúde e enfermagem

não se aplic

The Contribution of the Dynamic Capabilities to Promote Sustainability in Industrial and Service Companies

The objective of this research is to identify the contribution of dynamic capabilities to promote sustainability in companies located in the regions of Vale do Sinos and Paranhana, in the state Rio Grande do Sul, Brazil. The study is an exploratory and qualitative research through a study of multiple cases. The primary and secondary data collected were analyzed using qualitative content analysis. It was found that dynamic capabilities can be addressed through the six subcapacities of Day and Schoemaker (2016) and operationalized by elements presented by Teece, Pisano and Shuen (1997) and Teece (2007, 2014) as trajectory, position and organizational processes. Sustainability practices performed by the investigated companies were identified and they relate to each one of the six sub-capabilities. The companies operate directly with the three pillars of sustainability by performing actions in order to reach each one of them and maximise its sustainability results. By exposing the context, the vision of the future, training and self-responsibility are characterized in an exploratory and constructive way for the process of development of sustainability.O objetivo dessa pesquisa consiste em identificar a contribuição das capacidades dinâmicas para promover a sustentabilidade em empresas situadas nas regiões do Vale do Sinos e Paranhana no Rio Grande do Sul. O estudo trata-se de uma pesquisa exploratória e qualitativa por meio de um estudo de casos múltiplos. Os dados primários e secundários foram analisados por meio da análise de conteúdo qualitativa. Constatou-se que as capacidades dinâmicas podem ser abordadas por meio das seis subcapacidades de Day e Schoemaker (2016) e operacionalizadas pelos elementos apresentados por Teece, Pisano e Shuen (1997) e Teece (2007, 2014) como trajetória, posição e processos organizacionais. Foram identificadas práticas de sustentabilidade executadas pelas empresas pesquisadas que se relacionam com cada uma das seis subcapacidades. As empresas investigadas atuam diretamente com os três pilares de sustentabilidade, realizando ações para atender cada pilar e potencializar seus resultados de sustentabilidade. Com o contexto exposto, a visão de futuro, o treinamento e a autoresponsabilização caracterizam-se de forma exploratória e construtiva para o processo de desenvolvimento da sustentabilidade

The Contribution of the Dynamic Capabilities to Promote Sustainability in Industrial and Service Companies

The objective of this research is to identify the contribution of dynamic capabilities to promote sustainability in companies located in the regions of Vale do Sinos and Paranhana, in the state Rio Grande do Sul, Brazil. The study is an exploratory and qualitative research through a study of multiple cases. The primary and secondary data collected were analyzed using qualitative content analysis. It was found that dynamic capabilities can be addressed through the six subcapacities of Day and Schoemaker (2016) and operationalized by elements presented by Teece, Pisano and Shuen (1997) and Teece (2007, 2014) as trajectory, position and organizational processes. Sustainability practices performed by the investigated companies were identified and they relate to each one of the six sub-capabilities. The companies operate directly with the three pillars of sustainability by performing actions in order to reach each one of them and maximise its sustainability results. By exposing the context, the vision of the future, training and self-responsibility are characterized in an exploratory and constructive way for the process of development of sustainability.O objetivo dessa pesquisa consiste em identificar a contribuição das capacidades dinâmicas para promover a sustentabilidade em empresas situadas nas regiões do Vale do Sinos e Paranhana no Rio Grande do Sul. O estudo trata-se de uma pesquisa exploratória e qualitativa por meio de um estudo de casos múltiplos. Os dados primários e secundários foram analisados por meio da análise de conteúdo qualitativa. Constatou-se que as capacidades dinâmicas podem ser abordadas por meio das seis subcapacidades de Day e Schoemaker (2016) e operacionalizadas pelos elementos apresentados por Teece, Pisano e Shuen (1997) e Teece (2007, 2014) como trajetória, posição e processos organizacionais. Foram identificadas práticas de sustentabilidade executadas pelas empresas pesquisadas que se relacionam com cada uma das seis subcapacidades. As empresas investigadas atuam diretamente com os três pilares de sustentabilidade, realizando ações para atender cada pilar e potencializar seus resultados de sustentabilidade. Com o contexto exposto, a visão de futuro, o treinamento e a autoresponsabilização caracterizam-se de forma exploratória e construtiva para o processo de desenvolvimento da sustentabilidade

Effects of Co substitution on the structural and magnetic properties of Sr(Ni1−x_{1-x}Cox_x)2_2P2_2

Although SrNi$_2$P$_2$ adopts the common ThCr$_2$Si$_2$ structure for $T\geq 325$ K, being in an uncollapsed tetragonal (ucT) state, on cooling below 325 K it adopts a one-third collapsed orthorhombic (tcO) phase where one out of every three P-rows bond across the Sr layers. On the other hand, SrCo$_2$P$_2$ only exhibits the uncollapsed ThCr$_2$Si$_2$ structure from room temperature down to 1.8 K. Neither SrNi$_2$P$_2$ nor SrCo$_2$P$_2$ manifest magnetic transitions down to 50 mK and 2 K, respectively. In this work we report the effects of Co substitution in Sr(Ni$_{1-x}$Co$_x$)$_2$P$_2$, which allows for tuning the transition between the one-third collapsed and the uncollapsed structure. We find a rapid decrease of the one-third collapsed structural transition temperature with increasing Co fraction, until reaching full suppression for $x \geq 0.1$. Substitution levels in the range $0.11\leq x\leq 0.58$ show no signs of any transition down to 1.8 K in the magnetization or resistance measurements in the range $1.8\ \text{K}\leq T\leq 300\ \text{K}$. However, different magnetically ordered states emerge for $x\geq 0.65$, and disappear for $x\geq 0.99$, recovering the known paramagnetic properties of the parent compound SrCo$_2$P$_2$. These results are summarized in a phase diagram, built upon the characterization done on single crystals with different Co fraction. Both the magnetic and structural properties are compared to other systems with ThCr$_2$Si$_2$ structure that exhibit magnetic ordering and collapsed tetragonal transitions. The magnetic ordering and moment formation are well described by Takahashi's spin fluctuation theory of itinerant electron magnetism.Comment: 17 pages, 20 figure