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.

Gestão de stocks e a sua envolvente – estudo de caso de uma PME da indústria de calçado ortopédico

Dissertação apresentada ao Instituto Superior de Contabilidade para a obtenção do Grau de Mestre em Auditoria Professor orientador: Mestre Manuel Gregório

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Controlo interno na Administração Local implantação de um novo procedimento numa Autarquia

Trabalho de Projeto Apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria, sob orientação do Mestre Carlos Mendes e coorientação da Engª Sónia Rodrigues

O sistema de controlo interno nas autarquias locais: o caso do Município de Espinho

Dissertação de Mestrado Apresentada ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria Orientador: Doutor Carlos Mota Coorientadora: Doutora Ana Paula Lopes

A contabilidade de gestão nas autarquias locais: o caso do Município de Espinho

Trabalho de Projeto apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria Orientação: Doutora Alcina Augusta de Sena Portugal Dias Coorientação: Doutora Amélia Cristina Ferreira Silva

O auditor interno e a gestão do risco empresarial

O objetivo central deste estudo consiste em demonstrar de que forma o trabalho do auditor interno contribui no processo de gestão de riscos empresariais. Neste sentido, faz-se uma abordagem sobre o conceito de Auditoria Interna, sendo uma atividade destinada a acrescentar valor à organização na medida em que a auxilia na consecução dos seus objetivos, proporcionando-lhe informações oportunas e relevantes para a tomada de decisão. Faz também considerações ao Controlo Interno, no sentido de que as organizações vão sentir diferentes necessidades de controlo interno dependendo da sua dimensão e complexidade do negócio. O controlo interno é um processo desenvolvido pelos Orgãos de Gestão com o propósito de garantir uma segurança razoável no cumprimento dos objetivos estabelecidos. Cabe ao auditor interno auxiliar nesse sentido, ou seja, debruçar-se sobre a avaliação da adequação e eficiência do Sistema de Controlo Interno. Por fim é abordada a importância da Gestão do Risco, neste contexto as organizações têm como compromisso prioritário a implementação de mecanismos de avaliação e gestão dos riscos que possam afetar as suas operações e o cumprimento dos objetivos estratégicos definidos. A Auditoria Interna vai fornecer segurança acerca da eficácia das atividades de gestão do risco das organizações para assegurar que os principais riscos de negócio estão a ser geridos de forma apropriada bem como os sistemas de controlo interno estão a funcionar eficazmente. Ainda na gestão do risco é abordado o modelo COSO ERM, instrumento importante para as organizações na medida em que melhoram a performance e o desempenho dos controlos internos implementados e progridem para um processo de gestão do risco. Faz-se também uma breve referência sobre a Lei Sox, que veio promover uma profunda reforma na elaboração dos relatórios financeiros, no detalhe minucioso sobre os aspetos do controlo interno nas organizações e na transparência das informações divulgadas pelas organizações.

Auditoria aos municípios estudo de caso: uma aplicação à área Metropolitana do Porto

Dissertação de Mestrado apresentada ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria , sob orientação do Mestre Fernando Teixeira Pinto e co-orientação da Doutora Alcina Augusta de Sena Portugal Dias.

Perspectives of the Internal Public in a Cultural Event: the Case of Noc Noc, Guimarães - Portugal

Given the significant impact that cultural events may have in local communities and the inherent organization complexity, it is important to understand their specificities. Most of the times cultural events disregard marketing and often marketing is distant from art. Thus an analysis of an inside perspective might bring significant returns to the organization of such an event. This paper considers the three editions (2011, 2012 and 2013) of a cultural event – Noc Noc – organized by a local association in the city of Guimarães, Portugal. Its format is based in analogous events, as Noc Noc intends to convert everyday spaces (homes, commercial outlets and a number of other buildings) into cultural spaces, processed and transformed by artists, hosts and audiences. By interviewing a sample of people (20) who have hosted this cultural event, sometimes doubling as artists, and by experiencing the three editions of the event, this paper illustrates how the internal public understands this particular cultural event, analyzing specifically their motivations, ways of acting and participating, as well as their relationship with the public, with the organization of the event and with art in general. Results support that artists and hosts motivations must be identified in a timely and appropriate moment, as well as their views of this particular cultural event, in order to keep them participating, since low budget cultural events such as this one may have a key role in small scale cities.

Foraging at the Edge of Chaos: Internal Clock versus External Forcing

Activity rhythms in animal groups arise both from external changes in the environment, as well as from internal group dynamics. These cycles are reminiscent of physical and chemical systems with quasiperiodic and even chaotic behavior resulting from “autocatalytic” mechanisms. We use nonlinear differential equations to model how the coupling between the self-excitatory interactions of individuals and external forcing can produce four different types of activity rhythms: quasiperiodic, chaotic, phase locked, and displaying over or under shooting. At the transition between quasiperiodic and chaotic regimes, activity cycles are asymmetrical, with rapid activity increases and slower decreases and a phase shift between external forcing and activity. We find similar activity patterns in ant colonies in response to varying temperature during the day. Thus foraging ants operate in a region of quasiperiodicity close to a cascade of transitions leading to chaos. The model suggests that a wide range of temporal structures and irregularities seen in the activity of animal and human groups might be accounted for by the coupling between collectively generated internal clocks and external forcings.

A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.

Balanced Scorecard

Mestrado Em Engenharia Mecânica - Ramo Gestão Industrial

Consultoria de gestão numa entidade do setor não lucrativo

Relatório de Estágio apresentado ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Contabilidade e Finanças, sob orientação da Professora Doutora Amélia Silva

Virtual Power Players Internal Negotiation and Management in MASCEM

Electricity Markets are not only a new reality but an evolving one as the involved players and rules change at a relatively high rate. Multi-agent simulation combined with Artificial Intelligence techniques may result in very helpful sophisticated tools. This paper presents a new methodology for the management of coalitions in electricity markets. This approach is tested using the multi-agent market simulator MASCEM (Multi-Agent Simulator of Competitive Electricity Markets), taking advantage of its ability to provide the means to model and simulate Virtual Power Players (VPP). VPPs are represented as coalitions of agents, with the capability of negotiating both in the market and internally, with their members in order to combine and manage their individual specific characteristics and goals, with the strategy and objectives of the VPP itself. A case study using real data from the Iberian Electricity Market is performed to validate and illustrate the proposed approach.