Elaboração e estruturação de um modelo de rating interno

Temos vindo a assistir nos últimos anos a uma evolução no que respeita à avaliação do risco de crédito. As constantes alterações de regulamentação bancária, que resultam dos Acordos de Basileia, têm vindo a impor novas normas que condicionam a quantidade e a qualidade do risco de crédito que as Instituições de Crédito podem assumir nos seus balanços. É de grande importância as Instituições de Crédito avaliarem o risco de crédito, as garantias e o custo de capital, pois têm um impacto direto na sua gestão nomeadamente quanto à afetação de recursos e proteção contra perdas. Desta forma, pretende-se com o presente trabalho elaborar e estruturar um modelo de rating interno através de técnicas estatísticas, assim como identificar as variáveis estatisticamente relevantes no modelo considerado. Foi delineada uma metodologia de investigação mista, considerando na primeira parte do trabalho uma pesquisa qualitativa e na segunda parte uma abordagem quantitativa. Através da análise documental, fez-se uma abordagem dos conceitos teóricos e da regulamentação que serve de base ao presente trabalho. No estudo de caso, o modelo de rating interno foi desenvolvido utilizando a técnica estatística designada de regressão linear múltipla. A amostra considerada foi obtida através da base de dados SABI e é constituída por cem empresas solventes, situadas na zona de Paredes, num horizonte temporal de 2011-2013. A nossa análise baseou-se em três cenários, correspondendo cada cenário aos dados de cada ano (2011, 2012 e 2013). Para validar os pressupostos do modelo foram efetuados testes estatísticos de Durbin Watson e o teste de significância - F (ANOVA). Por fim, para obtermos a classificação de rating de cada variável foi aplicada a técnica dos percentis. Pela análise dos três cenários considerados, verificou-se que o cenário dois foi o que obteve maior coeficiente de determinação. Verificou-se ainda que as variáveis independentes, rácio de liquidez geral, grau de cobertura do ativo total pelo fundo de maneio e rácio de endividamento global são estatisticamente relevantes.

The development and optimization of a modified single-drop microextraction method for organochlorine pesticides determination by gas chromatography-tandem mass spectrometry

We have developed a new method for single-drop microextraction (SDME) for the preconcentration of organochlorine pesticides (OCP) from complex matrices. It is based on the use of a silicone ring at the tip of the syringe. A 5 μL drop of n-hexane is applied to an aqueous extract containing the OCP and found to be adequate to preconcentrate the OCPs prior to analysis by GC in combination with tandem mass spectrometry. Fourteen OCP were determined using this technique in combination with programmable temperature vaporization. It is shown to have many advantages over traditional split/splitless injection. The effects of kind of organic solvent, exposure time, agitation and organic drop volume were optimized. Relative recoveries range from 59 to 117 %, with repeatabilities of <15 % (coefficient of variation) were achieved. The limits of detection range from 0.002 to 0.150 μg kg−1. The method was applied to the preconcentration of OCPs in fresh strawberry, strawberry jam, and soil.

An approach for reliability-based robust design optimisation of angle-ply composites

Variations of manufacturing process parameters and environmental aspects may affect the quality and performance of composite materials, which consequently affects their structural behaviour. Reliability-based design optimisation (RBDO) and robust design optimisation (RDO) searches for safe structural systems with minimal variability of response when subjected to uncertainties in material design parameters. An approach that simultaneously considers reliability and robustness is proposed in this paper. Depending on a given reliability index imposed on composite structures, a trade-off is established between the performance targets and robustness. Robustness is expressed in terms of the coefficient of variation of the constrained structural response weighted by its nominal value. The Pareto normed front is built and the nearest point to the origin is estimated as the best solution of the bi-objective optimisation problem.

Significance of Biogenic Amines in Cold-Smoked Fish and Their Relation to Microbiological Characteristics of Products Available in Portuguese Retail Markets

Studies on microbial characterization of cold-smoked salmon and salmon trout during cold storage were performed on samples available in the Portuguese market. Samples were also classified microbiologically according to guidelines for ready-to-eat (RTE) products. Further investigations on sample variability and microbial abilities to produce tyramine and histamine were also performed. The coefficient of variation for viable counts of different groups of microorganisms of samples collected at retail market point was high in the first 2 wk of storage, mainly in the Enterobacteriaceae group and aerobic plate count (APC), suggesting that microbiological characteristics of samples were different in numbers, even within the same batch from the same producer. This variation seemed to be decreased when storage and temperature were controlled under lab conditions. The numbers of Enterobacteriaceae were influenced by storage temperature, as indicated by low microbial numbers in samples from controlled refrigeration. Lactic acid bacteria (LAB) and Enterobacteriaceae were predominant in commercial products, a significant percentage of which were tyramine and less histamine producers. These results might be influenced by (1) the technological processes in the early stages of production, (2) contamination during the smoking process, and (3) conditions and temperature fluctuations during cold storage at retail market point of sale.