A gestão baseada no valor: Métricas tradicionais e medidas de performance ajustada ao risco. Risk Adjusted Return on Capital (RAROC) - Aplicação prática à actividade bancária

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Criação de valor, gestão de risco e as medidas de performance ajustadas ao risco: aplicação do RAROC - Risk Adjustment Return on Capital - ao grupo crédito agrícola

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Riscos e incerteza das fontes renováveis na produção de energia elétrica

Dissertação para a obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

A assimetria na volatilidade das rendibilidades do preço do crude

Dissertação de Mestrado em Contabilidade e Análise Financeira

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.

The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder.

Haptoglobin, acid phosphatase and demographic factors: obesity risk

The aim of this work is to study the risk of obesity posed by two genetic factors: haptoglobin phenotype and acid phosphatase phenotype, one enzymatic activity: acid phosphatase activity (ACP1), age and gender. Haptoglobin (Hp) is a protein of the immune system, and three phenotypes of Hp are found in humans: Hp1-1, Hp2-1, and Hp2-2. This protein is associated with a susceptibility to common pathological conditions, such as obesity. ACP1 is an intracellular enzyme The phenotypes of ACP1 (AA, AB, AC, BB, BC, CC) are also considered. We took a sample of 127 subjects with complete data from 714 registers. Since we intend to identify risk factors for obesity, an ordinal regression model is adjusted, using the Body Mass Index, BMI, to define weight categories. Haptoglobin phenotype, enzymatic activity of ACP1, acid phosphatase phenotype, age and gender are considered as regressor variables. We found three factors associated with an increased risk of obesity: phenotype Hp2-1 of haptoglobin (estimated odds ratio OR 11.54), phenotype AA of acid phosphatase (OR 33.788) and age (OR 1.39). The interaction between phenotype Hp2-1 and phenotype AC is associated with a decreased risk of obesity (OR 0.032); The interaction between phenotype AA and ACP1 activity is associated with a decreased risk of obesity (OR 0.954).

Educating for earthquake science and risk in a tectonically slowly deforming region

Over the past decade, scientists have been called to participate more actively in public education and outreach (E&O). This is particularly true in fields of significant societal impact, such as earthquake science. Local earthquake risk culture plays a role in the way that the public engages in educational efforts. In this article, we describe an adapted E&O program for earthquake science and risk. The program is tailored for a region of slow tectonic deformation, where large earthquakes are extreme events that occur with long return periods. The adapted program has two main goals: (1) to increase the awareness and preparedness of the population to earthquake and related risks (tsunami, liquefaction, fires, etc.), and (2) to increase the quality of earthquake science education, so as to attract talented students to geosciences. Our integrated program relies on activities tuned for different population groups who have different interests and abilities, namely young children, teenagers, young adults, and professionals.