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A robustez de um sistema de distribuição e a alocação de medidores de qualidade da energia elétrica frente aos afundamentos de tensão; The robustness of a distribution system and an allocation of power quality monitors in the face of the voltage sags

Kempner, Thais Reggina
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 23/03/2012 PT
Relevância na Pesquisa
65.52%
Esta dissertação tem como objetivo inicial reapresentar e difundir o Método das Posições de Falta (MPF) como um meio analítico para se determinar as tensões remanescentes, em todas as barras constituintes de um Sistema de Distribuição (SD), quando da ocorrência de afundamentos de tensão. Pela aplicação de tal método, é possível construir a Matriz de Tensão Durante a Falta (MTDF), denotando assim, a influência e a propagação dos afundamentos de tensão sobre toda a rede. A fim de validar o MPF, será realizada uma comparação dos resultados obtidos com os provenientes de simulações computacionais dispondo do software ATP (Alternative Transients Program). Desta comparação, ilustra-se que a ferramenta indicada mantém a previsão dos resultados em limites aceitáveis, mesmo considerando certa simplificação nos procedimentos de cálculo e na modelagem computacional dos componentes do sistema. A partir dos resultados encontrados, é realizado um mapeamento das áreas de risco que equipamentos eletroeletrônicos sensíveis estarão submetidos, através da delimitação e análise da área afetada e da área exposta ou de vulnerabilidade. Em complementação ao trabalho, é apresentada uma proposta baseada em um algoritmo branch and bound que determinará o número ótimo de medidores de qualidade de energia...

A Repartição de riscos em contratos regidos pela Lei nº 8.666/93

Silva, João Paulo da Silveira Ribeiro da
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Outros
PT_BR
Relevância na Pesquisa
55.71%
O estudo discute a repartição de riscos entre o setor público e o setor privado em contratos administrativos regidos pela Lei nº 8.666/93. Na primeira parte, ressaltam-se os novos paradigmas do Estado e as evoluções do direito administrativo no Brasil. Na segunda parte, descreve-se o modelo tradicional de contratação pública no Brasil. Na terceira parte, discute-se a constitucionalidade da repartição objetiva de riscos em contratos administrativos. Na quarta parte, delineiam-se as diretrizes a serem seguidas pelo administrador público na repartição de riscos, segundo ditames de eficiência.; This paper addresses the issue of risk allocation between the government and the private sector in public procurements governed by Law 8.666/93. The first part of the study highlights the new paradigms of state and the evolution of administrative law in Brazil. The second part describes the traditional model of public procurement in Brazil. The third part discusses the constitutionality of the objective allocation of risks in public procurements. The fourth part provides some guidelines for risk allocation in public procurements in accordance with efficiency considerations.

The Portuguese shadow toll concessions : analysis of allocation and valuation

Camuamba, Elsa Natália Hilário
Fonte: Universidade Católica Portuguesa Publicador: Universidade Católica Portuguesa
Tipo: Dissertação de Mestrado
Publicado em 04/06/2012 ENG
Relevância na Pesquisa
55.77%
As more countries are relying on the private sector for provision of public services, Public-Private Partnerships (PPPs) are at the center of this growing trend. Optimal risk allocation through risk transfer to the private sector is the critical issue for the success of these partnerships in achieving best value-for-money (VfM) for the public sector. Using the Portuguese shadow toll concessions (SCUT), this study aims to analyze and evaluate their allocation of risk between the public and private sectors. Accordingly, the first part of the paper examines how risks in the SCUT concessions were allocated. Our analysis indicates that for the most part, with the exception of demand risk, risks were well allocated. The second part of the paper identifies and evaluates the main risks transferred to the private sector. It also goes further in assessing gains before and after risk transfer, if any, to the private sector. We find that risks transferred to the private sector account for a very small share of public sector payments. This paper also concludes that the costs to the public sector, through the payment obligations, far outweigh those assumed by the private sector. Consequently, this paper examines whether the SCUT concessions were successful in regards to achieving VfM. The high gains to the private sector may suggest otherwise. However...

Intergenerational Risk Sharing in the Spirit of Arrow, Debreu, and Rawls, with Applications to Social Security Design

Ball, Laurence; Mankiw, N. Gregory
Fonte: University of Chicago Press Publicador: University of Chicago Press
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
55.72%
This paper examines the optimal allocation of risk in an overlapping‐generations economy. It compares the allocation of risk the economy reaches naturally to the allocation that would be reached if generations behind a Rawlsian “veil of ignorance” could share risk with one another through complete Arrow‐Debreu contingent‐claims markets. The paper then examines how the government might implement optimal intergenerational risk sharing with a social security system. One conclusion is that the system must either hold equity claims to capital or negatively index benefits to equity returns.; Economics

A Dynamic Model of Extreme Risk Coverage : Resilience and Efficiency in the Global Reinsurance Market

Lemoyne de Forges, Sabine; Bibas, Ruben; Hallegatte, Stephane
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
55.7%
This paper presents a dynamic model of the reinsurance market for catastrophe risks. The model is based on the classical capacity-constraint assumption. Reinsurers choose every year the quantity of risk they cover and the level of external capital they raise to cover these risks. The model exhibits time dependency and reproduces a market dynamics that shares many features with the real market. In particular, market price increases and reinsurance coverage decreases after large shocks, and a series of smaller losses may have a deeper impact than one larger loss. There is a significant oligopoly effect reducing reinsurance supply, and the market is segregated into strategic large actors that influence market prices and price-taker smaller firms. A regulation trade-off between market efficiency and resilience is identified and quantified: improving the ability of the market to cope with exceptional events increases the cost of reinsurance. This model provides an interesting basis to analyze further capacity needs for the insurance industry in view of growing worldwide exposure to catastrophic risks and climate change.

Challenges of the Mandatory Funded Pension System in the Russian Federation

Rudolph, Heinz P.; Holtzer, Peter
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
55.69%
The overwhelming number of contributors that have been allocated into the default option is one of the main characteristics of the Russian second pillar. This finding confirms that the level of financial literacy for most of the participants is not sufficient to make informed portfolio selections. The authors argue that the current system is perfectly consistent with a solid second pillar, but the authorities should focus their attention in the strategic asset allocation of pension funds. Since in the short and medium term it is unlikely to see improvements in financial literacy of individuals that may overcome the complexity of these decisions, the authorities can play an important role in designing default investment portfolios that can be aligned with expected replacement rates for the contributors. The current investment regulation of the default option induces investment in inefficient portfolios that are unlikely to bring returns above inflation, and probably will result in very low replacement rates for contributors. Further liberalization of the investments of the pension portfolio; improvements in the governance and supervision of the pension system; and greater certainty about the ownership of the funds are necessary steps to complete the pension reform launched in 2002.

Risk-Based Supervision of Pension Funds : A Review of International Experience and Preliminary Assessment of the First Outcomes

Brunner, Gregory; Hinz, Richard; Rocha, Roberto
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
55.71%
This paper provides a review of the design and experience of risk-based pension fund supervision in several countries that have been leaders in the development of these methods. The utilization of risk-based methods originates primarily in the supervision of banks. In recent years it has increasingly been extended to other types of financial intermediaries including pension funds and insurers. The trend toward risk-based supervision of pensions is closely associated with movement toward the integration of pension supervision with that of banking and other financial services into a single national authority. Although similar in concept to the techniques developed in banking, the application to pension funds has required modifications, particularly for defined contribution funds that transfer investment risk to fund members. The countries examined provide a range of experiences that illustrate both the diversity of pension systems and approaches to risk-based supervision, but also a commonality of the focus on sound risk management and effective supervisory outcomes. The paper provides a description of pension supervision in Australia...

Applications of Negotiation Theory to Water Issues

Carraro, Carlo; Marchiori, Carmen; Sgobbi, Alessandra
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
55.67%
The authors review the applications of noncooperative bargaining theory to water related issues-which fall in the category of formal models of negotiation. They aim to identify the conditions under which agreements are likely to emerge and their characteristics, to support policymakers in devising the "rules of the game" that could help obtain a desired result. Despite the fact that allocation of natural resources, especially trans-boundary allocation, has all the characteristics of a negotiation problem, there are not many applications of formal negotiation theory to the issue. Therefore, the authors first discuss the noncooperative bargaining models applied to water allocation problems found in the literature. Key findings include the important role noncooperative negotiations can play in cases where binding agreements cannot be signed; the value added of politically and socially acceptable compromises; and the need for a negotiated model that considers incomplete information over the negotiated resource.

Potential Benefits and Risks of Increased Aid Flows to Burundi

Nielsen, Hannah; Madani, Dorsati
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
55.64%
Burundi has experienced a significant increase in aid flows in recent years. Currently, about half of the budget is funded by aid, mostly grants. The high external assistance has, however, not yet translated into high and sustainable growth rates. This paper analyzes (i) the policy response of the government to the aid surge and its impact on macroeconomic variables; and (ii) the allocation of external assistance and its implications for growth. Since not all aid affects economic development in the same way, aid disbursements are disaggregated by sector as well as by their lag in impacting growth. The analysis shows that Burundi has mostly spent and absorbed increased aid flows, but has until now not suffered significantly from the possible negative effects of an appreciating exchange rate and the related loss of competitiveness, but the possibility of a Dutch disease effect remains a risk. The country s low growth performance, despite high aid inflows, is not necessarily a sign that aid is ineffective or exceeding Burundi s absorptive capacity. It reflects that a large share of aid has been allocated to either humanitarian and emergency aid or long-run growth enhancing sectors. Therefore...

Capital allocation in insurance: Economic capital and the allocation of the default option value

Sherris, Michael; van der Hoek, John
Fonte: Society of Actuaries Publicador: Society of Actuaries
Tipo: Conference paper
Publicado em //2004 EN
Relevância na Pesquisa
65.69%
The determination and allocation of economic capital is important for pricing, risk management and related insurer financial decision making. This paper considers the allocation of economic capital to lines of business in insurance. We show how to derive closed form results for the complete markets, arbitrage-free allocation of the insurer default option value, also referred to as the insolvency exchange option, to lines of business. We assume that individual lines of business and the surplus ratio are joint log-normal although the method we adopt allows other assumptions. The allocation of the default option value is required for fair pricing in the multi-line insurer. We illustrate some other methods of capital allocation and give numerical examples for the capital allocation of the default option value based on explicit payoffs by line.; http://www.soa.org/Library/Journals/NAAJ/2006/april/naaj0602_3.aspx; Michael Sherris and John van der Hoek

Capital alloction in insurance: Economic capital and the allocation of the default option value

Sherris, M.; van der Hoek, John
Fonte: Society of Actuaries Publicador: Society of Actuaries
Tipo: Artigo de Revista Científica
Publicado em //2006 EN
Relevância na Pesquisa
55.67%
The determination and allocation of economic capital is important for pricing, risk management and related insurer financial decision making. This paper considers the allocation of economic capital to lines of business in insurance. We show how to derive closed form results for the complete markets, arbitrage-free allocation of the insurer default option value, also referred to as the insolvency exchange option, to lines of business. We assume that individual lines of business and the surplus ratio are joint log-normal although the method we adopt allows other assumptions. The allocation of the default option value is required for fair pricing in the multi-line insurer. We illustrate some other methods of capital allocation and give numerical examples for the capital allocation of the default option value based on explicit payoffs by line.

Towards the integration of risk and value management

Ranesh, A.; Zillante, G.; Chileshe, N.
Fonte: University of Technology, Sydney Publicador: University of Technology, Sydney
Tipo: Artigo de Revista Científica
Publicado em //2012 EN
Relevância na Pesquisa
75.56%
Governments are increasingly faced with the challenge of delivering infrastructure developments under difficult budget constraints. Public Private Partnerships (PPPs) are being used widely as a means of meeting public infrastructure demands through private finance. The aim is to achieve value for money (VfM) through the allocation of risks to the party who can manage them more effectively. If project risks are not well managed, the project will face cost, quality and time overruns thereby affecting the viability of the project. Both Risk Management (RM) and Value Management (VM) are considered to be best practice in project management and enable organisations to define objectives when delivering complex projects whilst reducing risk and maximising value. Over the years researchers and practitioners have argued that the integration of RM and VM in a single study would avoid duplication of work and deliver better value for money thereby leading to better project outcomes. As part of an on-going doctoral study into the integration of risk management and value management in PPP projects, this paper attempts to examine the application of risk and value management practice in infrastructure development projects, predominantly in PPP projects...

Allocation of risk through construction contract provisions and practice.

McClelland, Troy M.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Tese de Doutorado
EN_US
Relevância na Pesquisa
55.82%
General conditions used by forty-four owners when contracting for construction services were obtained and studied for risk allocation techniques. Additionally, interviews were conducted with twenty-five construction professionals to study how risk is allocated during actual project completion. The study provides a broad view of risk allocation techniques used in specific clauses and of risk allocation in actual practice. The study does not profile the prevalence of risk allocation between contractor and owner, rather, the sole purpose of the study is to identify common contract provisions where risk allocation varies and actual practices that place varying amounts of risk on contractors

Optimal allocation of interest rate risk

Samartín Sáenz, Margarita
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /02/1997 ENG
Relevância na Pesquisa
55.68%
Based on the work of Hellwig (1994), this paper characterizes the optimal allocation of technology-induced interest rate risk in a competitive system of financial intermediation and its interdependence with the provision of liquidity. The analysis is carried out under the assumptions of complete and incomplete information respectively. The implementation of the second best allocation by a financial intermediary is compared to the one achieved in an equity economy in which individuals hold the assets directly.

Development of a decision support tool to inform resource allocation for critical infrastructure protection in Homeland Security

Al Mannai, Waleed I.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Formato: xiv, 85 p. ; 28 cm.
Relevância na Pesquisa
55.79%
Analysis of risk in critical infrastructure is one of the major problems facing Homeland Security today. Defining risk and applying it to systems, as opposed to individual assets, is a relatively new idea in Homeland Security policy. Thus, there is a need for a decision support tool to inform decision makers in Homeland Security of resource allocation strategies to harden assets that reduce overall network risk. Model Based Risk Assessment (MBRA) is a quantitative method designed to (1) identify the most critical assets of the network in such a way as to reduce expected loss over the entire network, (2) quantify allocation strategies that strategic planners and risk managers can apply across multi-sector systems, and (3) compute vulnerability and total risk reduction of the network. We formalized the definition of network risk in terms of the connectivity of the network as an extension to the accepted risk equation R=f(T,V,C). We use node degree as a heuristic for criticality of an asset to the overall function of the network. We then modeled the relationship between budget and vulnerability reduction and show how an exponential reduction model compares to a linear or random model. Using the stated definition of network risk...

Petroleum Exploration and Production Rights : Allocation Strategies and Design Issues

Tordo, Silvana; Johnston, David; Johnston, Daniel
Fonte: World Bank Publicador: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
ENGLISH
Relevância na Pesquisa
55.77%
Petroleum has become an integral part of today's global economy and a key component of many national economies. Hence, the presence of petroleum in meaningful quantities can have important economic, developmental, and strategic consequences for a country. While a country's petroleum resource base is a gift of nature, translating this resource into saleable crude oil requires investment and effort. Whether governments choose to invest directly or allow private investors to do so, their primary concern should be to maximize the social benefits derived from the exploitation of the resource base. In practice, however, defining what constitutes maximum social welfare is essentially a political question, which helps explain the variety of objectives pursued by governments over time. In order to exploit their natural resources efficiently, many governments rely on private oil companies. Governments have a challenging task in deciding which companies should be awarded the exclusive rights to explore, develop, and produce their resources...

Republic of Panama : Public Expenditure and Financial Accountability; Panama - Informe del desempeno de la gestion de las finanzas publicas (PEFA)

World Bank; Inter-American Development Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review
ENGLISH; EN_US
Relevância na Pesquisa
55.61%
Panama's public financial management (PFM) system displays several strengths with respect to the fiscal position, debt management, and payroll administrative controls, but from a systemic perspective budget preparation and budget credibility issues undermine the efficiency of sectoral investment plans and make it difficult to advance on other improvements in the public sector. An efficient and transparent allocation of budgetary resources allows the government to achieve value for money in delivering public services. This assessment is undertaken at the request of the Government of Panama (GoP) which is in the process of reforming and modernizing its public finances, and is therefore interested in establishing both a baseline for future PFM performance measures and the degree of management alignment to internationally accepted best practices. The public expenditure and financial accountability (PEFA) methodology provides relevant information on current management and will allow establishment or adjustment of a reform strategy to improve PFM quality. This PEFA assessment provides a reference and a baseline for two projects and a baseline for the GoP to measure progress of the current reform. The projects are: (i) the program to strengthen fiscal management financed by Inter-American Development Bank (IADB)...

Performance of Renewable Energy Auctions : Experience in Brazil, China and India

Elizondo Azuela, Gabriela; Barroso, Luiz; Khanna, Ashish; Wang, Xiaodong; Wu, Yun; Cunha, Gabriel
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
55.66%
This paper considers the design and performance of auction mechanisms used to deploy renewable energy in three emerging economies: Brazil, China, and India. The analysis focuses on the countries' experience in various dimensions, including price reductions, bidding dynamics, coordination with transmission planning, risk allocation strategies, and the issue of domestic content. Several countries have turned to public competitive bidding as a mechanism for developing the renewable generation sector in recent years, with the number of countries implementing some sort of auction procedure rising from nine in 2009 to 36 by the end of 2011 and about 43 in 2013. In general, the use of auctions makes sense when the contracting authority expects a large volume of potentially suitable bids, so that the gains from competition can offset the costs of implementation. A study of the successes and failures of the particular auction design schemes described in this paper can be instrumental in informing future policy making.

On some aspects of coherent risk measures and their applications

Assa, Hirbod
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
EN
Relevância na Pesquisa
55.82%
Le sujet principal de cette thèse porte sur les mesures de risque. L'objectif général est d'investiguer certains aspects des mesures de risque dans les applications financières. Le cadre théorique de ce travail est celui des mesures cohérentes de risque telle que définie dans Artzner et al (1999). Mais ce n'est pas la seule classe de mesure du risque que nous étudions. Par exemple, nous étudions aussi quelques aspects des "statistiques naturelles de risque" (en anglais natural risk statistics) Kou et al (2006) et des mesures convexes du risque Follmer and Schied(2002). Les contributions principales de cette thèse peuvent être regroupées selon trois axes: allocation de capital, évaluation des risques et capital requis et solvabilité. Dans le chapitre 2 nous caractérisons les mesures de risque avec la propriété de Lebesgue sur l'ensemble des processus bornés càdlàg (continu à droite, limité à gauche). Cette caractérisation nous permet de présenter deux applications dans l'évaluation des risques et l'allocation de capital. Dans le chapitre 3, nous étendons la notion de statistiques naturelles de risque à l'espace des suites infinies. Cette généralisation nous permet de construire de façon cohérente des mesures de risque pour des bases de données de n'importe quelle taille. Dans le chapitre 4...

Aspects of volatility targeting for South African equity investors

Khuzwayo,Bhekinkosi; Maré,Eben
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2014 EN
Relevância na Pesquisa
55.64%
We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.