Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

Cluster de volatilidade no mercado de taxas de câmbio USD/GBP

Mestrado em Controlo de Gestão e dos Negócios

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

5' and 3' UTR thymidylate synthase polymorphisms modulate the risk of colorectal cancer independently of the intake of methyl group donors

Thymidylate synthase, as a rate-limiting step in DNA synthesis, catalyses the conversion of dUMP into dTMP using 5,10-methylenotetrahydrofolate as the methyl donor. Two polymorphisms have been described in this gene: a repeat polymorphism in the 5' promoter enhancer region (3R versus 2R) and a 6 bp deletion in the 3' unstranslated region. Both of these may affect protein levels. The present case control study was aimed at investigating the influence of these two polymorphisms on the development of colorectal cancer (CRC), as well as their potential interaction with folate, vitamin B6 and vitamin B12 intake. A total of 196 cases and 200 controls, matched for age and sex distribution, were included in the study. No association was found between CRC and the 28 bp repeat polymorphism, but it was observed that individuals with the 6 bp/del and del/del genotypes had a significantly lower risk of developing the disease (OR=0.47; 95% CI 0.30-0.72). A combined genotype (2R/2R; 6 bp/del+del/del) was also found, which was associated with an even lower risk of developing of the disease (OR=0.42; 95% CI 0.26-0.69). No significant interaction between these polymorphisms and vitamin intake was observed. These results indicate for the first time that the 6 bp/del allele might be a protective factor in the development of CRC, independent of the intake of methyl group donors.

The impact of financial disclosures in the measurement of notional interest rate swaps in the period of 2007-2012

Mestrado em Contabilidade

Rate regulated activities: a problemática do relato financeiro e da sua auditoria: o caso da navegação aérea no contexto europeu

A navegação aérea, enquanto atividade regulada, está sujeita a legislação específica, dependendo o seu exercício de autorização própria atribuída por uma entidade supervisora, que também verifica as tarifas a aplicar. O regulamento (CE) N.º 550/2004 identifica os requisitos comuns para a prestação de serviços de navegação aérea na Europa, dando particular importância à transparência do relato financeiro ao exigir a sua elaboração segundo as normas internacionais de contabilidade e a verificação por uma auditoria independente. Adicionalmente, o Regulamento (EU) N.º 1191/2010, que alterou o Regulamento (CE) N.º 1794/2006, estabelece o regime comum de tarifação de tais serviços, nomeadamente a recuperabilidade de desvios relativos ao volume de tráfego e aos gastos controláveis e não controláveis. Ao nível do enquadramento contabilístico, as atividades reguladas não têm uma norma específica. Existem dois projetos do IASB – um de 2009, que foi suspenso, e um de 2013, relativo à implementação de uma norma transitória que incentive a adoção das normas internacionais por entidades que exerçam atividades reguladas. Existe, ainda, uma norma do FASB não aplicável no espaço europeu. Os R&C de várias entidades evidenciam a existência de diferentes referenciais contabilísticos e que a generalidade dos relatórios de auditoria não tem reservas ou ênfases. Enquanto algumas entidades apenas divulgam os montantes dos desvios, outras entidades consideram que tais montantes se qualificam, reconhecendo-os. Tal facto decorre da inexistência de uma norma internacional que põe em causa a comparabilidade da informação financeira e dificulta o julgamento do auditor quanto à adequação ou não dos procedimentos adotados pela entidade.

Fungal burden in waste industry: an occupational risk to be solved

High loads of fungi have been reported in different types of waste management plants. This study intends to assess fungal contamination in one waste-sorting plant before and after cleaning procedures in order to analyze their effectiveness. Air samples of 50 L were collected through an impaction method, while surface samples, taken at the same time, were collected by the swabbing method and subject to further macro- and microscopic observations. In addition, we collected air samples of 250 L using the impinger Coriolis μ air sampler (Bertin Technologies) at 300 L/min airflow rate in order to perform real-time quantitative PCR (qPCR) amplification of genes from specific fungal species, namely Aspergillus fumigatus and Aspergillus flavus complexes, as well as Stachybotrys chartarum species. Fungal quantification in the air ranged from 180 to 5,280 CFU m−3 before cleaning and from 220 to 2,460 CFU m−3 after cleaning procedures. Surfaces presented results that ranged from 29 × 104 to 109 × 104 CFU m−2 before cleaning and from 11 × 104 to 89 × 104 CFU m−2 after cleaning. Statistically significant differences regarding fungal load were not detected between before and after cleaning procedures. Toxigenic strains from A. flavus complex and S. chartarum were not detected by qPCR. Conversely, the A. fumigatus species was successfully detected by qPCR and interestingly it was amplified in two samples where no detection by conventional methods was observed. Overall, these results reveal the inefficacy of the cleaning procedures and that it is important to determine fungal burden in order to carry out risk assessment.