Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

Mobi_System: A Personal Travel Assistance for Electrical Vehicles in Smart Cities

In this work it is proposed the design of a mobile system to assist car drivers in a smart city environment oriented to the upcoming reality of Electric Vehicles (EV). Taking into account the new reality of smart cites, EV introduction, Smart Grids (SG), Electrical Markets (EM), with deregulation of electricity production and use, drivers will need more information for decision and mobility purposes. A mobile application to recommend useful related information will help drivers to deal with this new reality, giving guidance towards traffic, batteries charging process, and city mobility infrastructures (e. g. public transportation information, parking places availability and car & bike sharing systems). Since this is an upcoming reality with possible process changes, development must be based on agile process approaches (Web services).

A student personal system for Bologna process mobility

The Bologna Process aimed to build a European Higher Education Area with the objective of promoting students mobility. The adoption of Bologna Declaration directives requires a decentralized approach that accelerates student's mobility, based on frequently updated legislation. This paper proposes a student personal system to manage student's academic information. This system is supported by a flexible model that integrates, for instance, knowledge about the student attended courses or about a course that the student wishes to apply. Essentially, this model holds a (i) Student's Academic Record with skills acquired in academic course units, professional experience or training and an (ii) Individual Studies Plan, which places the student in a particular (iii) Course Plan setting the curricular structure that the student wishes to apply.

An Interface to Retrieve Personal Memories Using an Iconic Visual Language

Relevant past events can be remembered when visualizing related pictures. The main difficulty is how to find these photos in a large personal collection. Query definition and image annotation are key issues to overcome this problem. The former is relevant due to the diversity of the clues provided by our memory when recovering a past moment and the later because images need to be annotated with information regarding those clues to be retrieved. Consequently, tools to recover past memories should deal carefully with these two tasks. This paper describes a user interface designed to explore pictures from personal memories. Users can query the media collection in several ways and for this reason an iconic visual language to define queries is proposed. Automatic and semi-automatic annotation is also performed using the image content and the audio information obtained when users show their images to others. The paper also presents the user interface evaluation based on tests with 58 participants.

Establishment of optimal physical assets inspection frequency based on risk principles

Risk Based Inspection (RBI) is a risk methodology used as the basis for prioritizing and managing the efforts for an inspection program allowing the allocation of resources to provide a higher level of coverage on physical assets with higher risk. The main goal of RBI is to increase equipment availability while improving or maintaining the accepted level of risk. This paper presents the concept of risk, risk analysis and RBI methodology and shows an approach to determine the optimal inspection frequency for physical assets based on the potential risk and mainly on the quantification of the probability of failure. It makes use of some assumptions in a structured decision making process. The proposed methodology allows an optimization of inspection intervals deciding when the first inspection must be performed as well as the subsequent intervals of inspection. A demonstrative example is also presented to illustrate the application of the proposed methodology.