Valor em risco (VAR - value at risk): metodologias não paramétricas

O VAR (Value at Risk) ,valor em risco, é a perda máxima provável de uma carteira para um nível de confiança determinado, num horizonte temporal especificado.

Abordagem ao risco de crédito no âmbito do acordo de Basileia III em Portugal

Dissertação para a obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Adalmiro Álvaro Malheiro de Castro Andrade Pereira

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

A regulatory framework for short-term stochastic maintenance outage scheduling in smart grids

The current regulatory framework for maintenance outage scheduling in distribution systems needs revision to face the challenges of future smart grids. In the smart grid context, generation units and the system operator perform new roles with different objectives, and an efficient coordination between them becomes necessary. In this paper, the distribution system operator (DSO) of a microgrid receives the proposals for shortterm (ST) planned outages from the generation and transmission side, and has to decide the final outage plans, which is mandatory for the members to follow. The framework is based on a coordination procedure between the DSO and other market players. This paper undertakes the challenge of optimization problem in a smart grid where the operator faces with uncertainty. The results show the effectiveness and applicability of the proposed regulatory framework in the modified IEEE 34- bus test system.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

O Controlo interno e a gestão de risco nas empresas da área metropolitana do Porto

Dissertação de Mestrado apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria, sob orientação da Doutora Alcina Augusta de Sena Portugal Dias

Response of high-risk of recurrence/progression bladder tumours expressing sialyl-Tn and sialyl-6-T to BCG immunotherapy

High risk of recurrence/progression bladder tumours is treated with Bacillus Calmette-Guérin (BCG) immunotherapy after complete resection of the tumour. Approximately 75% of these tumours express the uncommon carbohydrate antigen sialyl-Tn (Tn), a surrogate biomarker of tumour aggressiveness. Such changes in the glycosylation of cell-surface proteins influence tumour microenvironment and immune responses that may modulate treatment outcome and the course of disease. The aim of this work is to determine the efficiency of BCG immunotherapy against tumours expressing sTn and sTn-related antigen sialyl-6-T (s6T). METHODS: In a retrospective design, 94 tumours from patients treated with BCG were screened for sTn and s6T expression. In vitro studies were conducted to determine the interaction of BCG with high-grade bladder cancer cell line overexpressing sTn. RESULTS: From the 94 cases evaluated, 36 had recurrence after BCG treatment (38.3%). Treatment outcome was influenced by age over 65 years (HR=2.668; (1.344-5.254); P=0.005), maintenance schedule (HR=0.480; (0.246-0.936); P=0.031) and multifocality (HR=2.065; (1.033-4.126); P=0.040). sTn or s6T expression was associated with BCG response (P=0.024; P<0.0001) and with increased recurrence-free survival (P=0.001). Multivariate analyses showed that sTn and/or s6T were independent predictive markers of recurrence after BCG immunotherapy (HR=0.296; (0.148-0.594); P=0.001). In vitro studies demonstrated higher adhesion and internalisation of the bacillus to cells expressing sTn, promoting cell death. CONCLUSION: s6T is described for the first time in bladder tumours. Our data strongly suggest that BCG immunotherapy is efficient against sTn- and s6T-positive tumours. Furthermore, sTn and s6T expression are independent predictive markers of BCG treatment response and may be useful in the identification of patients who could benefit more from this immunotherapy.

Técnicas de rating em contexto de crise no setor bancário português

Dissertação para a obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Adalmiro Álvaro Malheiro de Castro Andrade Pereira

Common genetic polymorphisms in the ABCB1 gene are associated with risk of major depressive disorder in male Portuguese individuals

Major depressive disorder (MDD) is a highly prevalent disorder, which has been associated with an abnormal response of the hypothalamus–pituitary–adrenal (HPA) axis. Reports have argued that an abnormal HPA axis response can be due to an altered P-Glycoprotein (P-GP) function. This argument suggests that genetic polymorphisms in ABCB1 may have an effect on the HPA axis activity; however, it is still not clear if this influences the risk of MDD. Our study aims to evaluate the effect of ABCB1 C1236T, G2677TA and C3435T genetic polymorphisms on MDD risk in a subset of Portuguese patients. DNA samples from 80 MDD patients and 160 control subjects were genotyped using TaqMan SNP Genotyping assays. A significant protection for MDD males carrying the T allele was observed (C1236T: odds ratio (OR) = 0.360, 95% confidence interval [CI]: [0.140– 0.950], p = 0.022; C3435T: OR= 0.306, 95% CI: [0.096–0.980], p = 0.042; and G2677TA: OR= 0.300, 95% CI: [0.100– 0.870], p = 0.013). Male Portuguese individuals carrying the 1236T/2677T/3435T haplotype had nearly 70% less risk of developing MDD (OR = 0.313, 95% CI: [0.118–0.832], p = 0.016, FDR p = 0.032). No significant differences were observed regarding the overall subjects. Our results suggest that genetic variability of the ABCB1 is associated with MDD development in male Portuguese patients. To the best of our knowledge, this is the first report in Caucasian samples to analyze the effect of these ABCB1 genetic polymorphisms on MDD risk.

Cardiorespiratory fitness is negatively associated with metabolic risk factors independently of the adherence to a healthy dietary pattern

Background and aim: Cardiorespiratory fitness (CRF) and diet have been involved as significant factors towards the prevention of cardio-metabolic diseases. This study aimed to assess the impact of the combined associations of CRF and adherence to the Southern European Atlantic Diet (SEADiet) on the clustering of metabolic risk factors in adolescents. Methods and Results: A cross-sectional school-based study was conducted on 468 adolescents aged 15-18, from the Azorean Islands, Portugal. We measured fasting glucose, insulin, total cholesterol (TC), HDL-cholesterol, triglycerides, systolic blood pressure, waits circumference and height. HOMA, TC/HDL-C ratio and waist-to-height ratio were calculated. For each of these variables, a Z-score was computed by age and sex. A metabolic risk score (MRS) was constructed by summing the Z scores of all individual risk factors. High risk was considered when the individual had 1SD of this score. CRF was measured with the 20 m-Shuttle-Run- Test. Adherence to SEADiet was assessed with a semi-quantitative food frequency questionnaire. Logistic regression showed that, after adjusting for potential confounders, unfit adolescents with low adherence to SEADiet had the highest odds of having MRS (OR Z 9.4; 95%CI:2.6e33.3) followed by the unfit ones with high adherence to the SEADiet (OR Z 6.6; 95% CI: 1.9e22.5) when compared to those who were fit and had higher adherence to SEADiet.

Risk criteria in occupational environments: critical overview and discussion

The current work can be seen as a starting point for the discussion of the problematic on risk acceptance criteria in occupational environments. Some obstacles to the quantitative acceptance criteria formulation and use were analyzed. A look to the long tradition of major hazards accidents was also performed. This work shows that organizations can have several difficulties in acceptance criteria formulation and that the use of pre-defined acceptance criteria in risk assessment methodologies can be inadequate in some cases. It is urgent to define guidelines that can help organizations in the formulation of risk acceptance criteria for occupational environments.

Legal and political regulation of higher education in Portugal: an evolutionary perspective on the current policy issues and the problem of order

The higher education system in Europe is currently under stress and the debates over its reform and future are gaining momentum. Now that, for most countries, we are in a time for change, in the overall society and the whole education system, the legal and political dimensions have gained prominence, which has not been followed by a more integrative approach of the problem of order, its reform and the issue of regulation, beyond the typical static and classical cost-benefit analyses. The two classical approaches for studying (and for designing the policy measures of) the problem of the reform of the higher education system - the cost-benefit analysis and the legal scholarship description - have to be integrated. This is the argument of our paper that the very integration of economic and legal approaches, what Warren Samuels called the legal-economic nexus, is meaningful and necessary, especially if we want to address the problem of order (as formulated by Joseph Spengler) and the overall regulation of the system. On the one hand, and without neglecting the interest and insights gained from the cost-benefit analysis, or other approaches of value for money assessment, we will focus our study on the legal, social and political aspects of the regulation of the higher education system and its reform in Portugal. On the other hand, the economic and financial problems have to be taken into account, but in a more inclusive way with regard to the indirect and other socio-economic costs not contemplated in traditional or standard assessments of policies for the tertiary education sector. In the first section of the paper, we will discuss the theoretical and conceptual underpinning of our analysis, focusing on the evolutionary approach, the role of critical institutions, the legal-economic nexus and the problem of order. All these elements are related to the institutional tradition, from Veblen and Commons to Spengler and Samuels. The second section states the problem of regulation in the higher education system and the issue of policy formulation for tackling the problem. The current situation is clearly one of crisis with the expansion of the cohorts of young students coming to an end and the recurrent scandals in private institutions. In the last decade, after a protracted period of extension or expansion of the system, i. e., the continuous growth of students, universities and other institutions are competing harder to gain students and have seen their financial situation at risk. It seems that we are entering a period of radical uncertainty, higher competition and a new configuration that is slowly building up is the growth in intensity, which means upgrading the quality of the higher learning and getting more involvement in vocational training and life-long learning. With this change, and along with other deep ones in the Portuguese society and economy, the current regulation has shown signs of maladjustment. The third section consists of our conclusions on the current issue of regulation and policy challenge. First, we underline the importance of an evolutionary approach to a process of change that is essentially dynamic. A special attention will be given to the issues related to an evolutionary construe of policy analysis and formulation. Second, the integration of law and economics, through the notion of legal economic nexus, allows us to better define the issues of regulation and the concrete problems that the universities are facing. One aspect is the instability of the political measures regarding the public administration and on which the higher education system depends financially, legally and institutionally, to say the least. A corollary is the lack of clear strategy in the policy reforms. Third, our research criticizes several studies, such as the one made by the OECD in late 2006 for the Ministry of Science, Technology and Higher Education, for being too static and neglecting fundamental aspects of regulation such as the logic of actors, groups and organizations who are major players in the system. Finally, simply changing the legal rules will not necessary per se change the behaviors that the authorities want to change. By this, we mean that it is not only remiss of the policy maker to ignore some of the critical issues of regulation, namely the continuous non-respect by academic management and administrative bodies of universities of the legal rules that were once promulgated. Changing the rules does not change the problem, especially without the necessary debates form the different relevant quarters that make up the higher education system. The issues of social interaction remain as intact. Our treatment of the matter will be organized in the following way. In the first section, the theoretical principles are developed in order to be able to study more adequately the higher education transformation with a modest evolutionary theory and a legal and economic nexus of the interactions of the system and the policy challenges. After describing, in the second section, the recent evolution and current working of the higher education in Portugal, we will analyze the legal framework and the current regulatory practices and problems in light of the theoretical framework adopted. We will end with some conclusions on the current problems of regulation and the policy measures that are discusses in recent years.

Credit risk measures: a case of renewable energy companies

The Basel III will have a significant impact on the European banking sector. In September 2010, supervisors of various countries adopted the new rules proposed by the prudential Committee on Banking Supervision to be applied to the business of credit institutions (hereinafter called ICs) in a phased manner from 2013, assuming to its full implementation by 2019. The purpose of this new regulation is to limit the excessive risk that these institutions took on the period preceding the global financial crisis of 2008. This new regulation is known in slang by Basel III. Depending on the requirement of Basel II for banks and their supervisors to assess the soundness and adequacy of internal risk measurement and credit management systems, the development of methodologies for the validation of internal and external evaluation systems is clearly an important issue . More specifically, there is a need to develop tools to validate the systems used to generate the parameters (such as PD, LGD, EAD and ratings of perceived risk) that serve as starting points for the IRB approach for credit risk. In this context, the work is composed of a number of approaches and tools used to evaluate the robustness of these elements IRB systems.

Assessment of direct radiological risk and indirect associated toxic risks originated by Coal-Fired Power Plants

Over the past few decades there has been some discussion concerning the increase of the natural background radiation originated by coal-fired power plants, due to the uranium and thorium content present in combustion ashes. The radioactive decay products of uranium and thorium, such as radium, radon, polonium, bismuth and lead, are also released in addition to a significant amount of 40K. Since the measurement of radioactive elements released by the gaseous emissions of coal power plants is not compulsory, there is a gap of information concerning this situation. Consequently, the prediction of dispersion and mobility of these elements in the environment, after their release, is based on limited data and the radiological impact from the exposure to these radioactive elements is unknown. This paper describes the methodology that is being developed to assess the radiological impact due to the raise in the natural background radiation level originated by the release and dispersion of the emitted radionuclides. The current investigation is part of a research project that is undergoing in the vicinity of Sines coal-fired power plant (south of Portugal) until 2013. Data from preliminary stages are already available and possible of interpretation.