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.

An Extension of Gompertzian Growth Dynamics Weibull and Frechet Models

In this work a new probabilistic and dynamical approach to an extension of the Gompertz law is proposed. A generalized family of probability density functions, designated by Beta* (p, q), which is proportional to the right hand side of the Tsoularis-Wallace model, is studied. In particular, for p = 2, the investigation is extended to the extreme value models of Weibull and Frechet type. These models, described by differential equations, are proportional to the hyper-Gompertz growth model. It is proved that the Beta* (2, q) densities are a power of betas mixture, and that its dynamics are determined by a non-linear coupling of probabilities. The dynamical analysis is performed using techniques of symbolic dynamics and the system complexity is measured using topological entropy. Generally, the natural history of a malignant tumour is reflected through bifurcation diagrams, in which are identified regions of regression, stability, bifurcation, chaos and terminus.

Does the intake of LC-PUFAS during pregnancy affect the body composition of term neonates? Preliminary results

Background: The effect of the intake of polynsaturated long chain fatty acids (LCPUFAs) during pregnancy on fetal body composition has been assessed by studies using mostly neonatal anthropometry. Their results have been inconsistent, probably because neonatal anthropometry has several validity limitations. Air displacement plethismography (ADP) is a recently validated non-invasive method for assessing body composition in neonates. Objective: To determine the effect of the intake of LCPUFAs during pregnancy on the body composition of term neonates, measured by ADP. Methods: Cross-sectional study of a convenience sample of healthy full-term neonates and their mothers. The diet during pregnancy was assessed using a validated semi-quantitative food frequency questionnaire; Food Processor Plus® was used to convert food intake into nutritional values. Body composition was estimated by anthropometry and measured by ADP using Pea Pod™ Life Measurements Inc (fat mass - FM, fat-free mass and %FM) within the first 72h after birth. Univariate and multivariate analysis (linear regression model) were performed. Results: 54 mother-neonate pairs were included. Multivariate analysis adjusted to the maternal body mass index shows positive association between LCPUFAs intake and neonatal mid-arm circumference (= 0,610, p = 0,019) and negative association between n-6:n-3 ratio intake and neonatal %FM (= -2,744, p=0,066). Conclusion: To the best of our knowledge, this is the first study on this subject using ADP and showing a negative association between LCPUFAs n-6:n-3 ratio intake in pregnancy and neonatal %FM. This preliminary finding requires confirmation increasing the study power with a greater sample and performing interventional studies.

Empresas familiares vs. Empresas não familiares : evidência empírica em Portugal numa ótica de desempenho e do órgão de gestão

Mestrado em Contabilidade e Análise Financeira

Análise estática não linear de um edifício em betão armado

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Civil