Understanding the internet banking adoption by Portuguese customers - a unified theory of acceptance and use of technology and perceived risk application.

Trabalho de Projeto apresentado como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Metodologia Value-at-risk: aplicação a uma carteira de obrigações de tesouro portuguesas

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

What is the value of value-at-risk after all?: A conditional approach using quantile regressions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Economic analysis in health care regulation : three essays

ABSTRACT - It is the purpose of the present thesis to emphasize, through a series of examples, the need and value of appropriate pre-analysis of the impact of health care regulation. Specifically, the thesis presents three papers on the theme of regulation in different aspects of health care provision and financing. The first two consist of economic analyses of the impact of health care regulation and the third comprises the creation of an instrument for supporting economic analysis of health care regulation, namely in the field of evaluation of health care programs. The first paper develops a model of health plan competition and pricing in order to understand the dynamics of health plan entry and exit in the presence of switching costs and alternative health premium payment systems. We build an explicit model of death spirals, in which profitmaximizing competing health plans find it optimal to adopt a pattern of increasing relative prices culminating in health plan exit. We find the steady-state numerical solution for the price sequence and the plan’s optimal length of life through simulation and do some comparative statics. This allows us to show that using risk adjusted premiums and imposing price floors are effective at reducing death spirals and switching costs, while having employees pay a fixed share of the premium enhances death spirals and increases switching costs. Price regulation of pharmaceuticals is one of the cost control measures adopted by the Portuguese government, as in many European countries. When such regulation decreases the products’ real price over time, it may create an incentive for product turnover. Using panel data for the period of 1997 through 2003 on drug packages sold in Portuguese pharmacies, the second paper addresses the question of whether price control policies create an incentive for product withdrawal. Our work builds the product survival literature by accounting for unobservable product characteristics and heterogeneity among consumers when constructing quality, price control and competition indexes. These indexes are then used as covariates in a Cox proportional hazard model. We find that, indeed, price control measures increase the probability of exit, and that such effect is not verified in OTC market where no such price regulation measures exist. We also find quality to have a significant positive impact on product survival. In the third paper, we develop a microsimulation discrete events model (MSDEM) for costeffectiveness analysis of Human Immunodeficiency Virus treatment, simulating individual paths from antiretroviral therapy (ART) initiation to death. Four driving forces determine the course of events: CD4+ cell count, viral load resistance and adherence. A novel feature of the model with respect to the previous MSDEMs is that distributions of time to event depend on individuals’ characteristics and past history. Time to event was modeled using parametric survival analysis. Events modeled include: viral suppression, regimen switch due virological failure, regimen switch due to other reasons, resistance development, hospitalization, AIDS events, and death. Disease progression is structured according to therapy lines and the model is parameterized with cohort Portuguese observational data. An application of the model is presented comparing the cost-effectiveness ART initiation with two nucleoside analogue reverse transcriptase inhibitors (NRTI) plus one non-nucleoside reverse transcriptase inhibitor(NNRTI) to two NRTI plus boosted protease inhibitor (PI/r) in HIV- 1 infected individuals. We find 2NRTI+NNRTI to be a dominant strategy. Results predicted by the model reproduce those of the data used for parameterization and are in line with those published in the literature.

Development of a fuzzy qualitative risk assessment model applied to construction industry

Dissertação para obtenção do Grau de Doutor em Engenharia Industrial

Credit risk stress testing: The Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Risk and return: The international expansion of EDP Renováveis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

How bank business models relate with risk?: The case of Portugal in times of financial crisis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

C-reactive protein in early risk assessment in acute pancreatitis

ABSTRACT:C-reactive protein (CRP) has been widely used in the early risk assessment of patients with acute pancreatitis (AP), but unclear aspects about its prognostic accuracy in this setting persist. This project evaluated first CRP prognostic accuracy for severity, pancreatic necrosis (PNec), and in-hospital mortality (IM) in AP in terms of the best timing for CRP measurement and the optimal CRP cutoff points. Secondly it was evaluated the CRP measured at approximately 24 hours after hospital admission (CRP24) prognostic accuracy for IM in AP individually and in a combined model with a recent developed tool for the early risk assessment of patients with AP, the Bedside Index for Severity in AP (BISAP). Two single-centre retrospective cohort studies were held. The first study included 379 patients and the second study included 134 patients. Statistical methods such as the Hosmer-Lemeshow goodness-of-fit test, the area under the receiver-operating characteristic curve, the net reclassification improvement, and the integrated discrimination improvement were used. It was found that CRP measured at approximately 48 hours after hospital admission (CRP48) had a prognostic accuracy for severity, PNec, and IM in AP better than CRP measured at any other timing. It was observed that the optimal CRP48 cutoff points for severity, PNec, and IM in AP varied from 170mg/l to 190mg/l, values greater than the one most often recommended in the literature – 150mg/l. It was found that CRP24 had a good prognostic accuracy for IM in AP and that the cutoff point of 60mg/l had a negative predictive value of 100%. Finally it was observed that the prognostic accuracy of a combined model including BISAP and CRP24 for IM in AP could perform better than the BISAP alone model. These results might have a direct impact on the early risk assessment of patients with AP in the daily clinical practice.--------- RESUMO: A proteina c-reactiva (CRP) tem sido largamente usada na avaliação precoce do risco em doentes com pancreatite aguda (AP), mas aspectos duvidosos acerca do seu valor prognóstico neste contexto persistem. Este projecto avaliou primeiro o valor prognóstico da CRP para a gravidade, a necrose pancreática (PNec) e a mortalidade intra-hospitalar (IM) na AP em termos do melhor momento para efectuar a sua medição e dos seus pontos-de-corte óptimos. Em segundo lugar foi avaliado o valor prognóstico da proteína c-reactiva medida aproximadamente às 24 horas após a admissão hospitalar (CRP24) para a IM na AP isoladamente e num modelo combinado, que incluiu uma ferramenta de avaliação precoce do risco em doentes com AP recentemente desenvolvida, o Bedside Index for Severity in Acute Pancreatitis (BISAP). Dois estudos unicêntricos de coorte retrospectivo foram realizados. O primeiro estudo incluiu 379 doentes e o segundo estudo incluiu 134 doentes. Metodologias estatísticas como o teste de Hosmer-Lemeshow goodness-of-fit, a area under the receiver-operating characteristic curve, o net reclassification improvement e o integrated discrimination improvement foram usadas. Verificou-se que a CRP medida às 48 horas após a admissão hospitalar (CRP48) teve um valor prognóstico para a gravidade, a PNec e a IM na AP melhor do que a CRP medida em qualquer outro momento. Observou-se que os pontos de corte óptimos da CRP48 para a gravidade, a PNec e a IM na AP variaram entre 170mg/l e 190mg/l, valores acima do valor mais frequentemente recomendado na literatura – 150mg/l. Verificou-se que a CRP medida aproximadamente às 24 horas após a admissão hospitalar (CRP24) teve um bom valor prognóstico para a IM na AP e que o ponto de corte 60mg/l teve um valor preditivo negativo de 100%. Finalmente observou-se que o valor prognóstico de um modelo combinado incluindo o BISAP e a CRP24 para a IM na AP pode ter um desempenho melhor do que o do BISAP isoladamente. Estes resultados podem ter um impacto directo na avaliação precoce do risco em doentes com AP na prática clínica diária.

ANA, SA: A risk management approach

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Credit risk of financial institutions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Glia-Motoneuron dialogue in ALS onset and progression in SOD1G93A-mice model

Amyotrophic lateral sclerosis (ALS) is a fatal neurodegenerative disease characterized by the pro-gressive loss of motoneurons (MN). Increasing evidence points glial cells as key players for ALS onset and progression. Indeed, MN-glia signalling pathways involving either neuroprotection or inflammation are likely to be altered in ALS. We aimed to study the molecules related with glial function and/or reactivity by evaluating glial markers and hemichannels, mainly present in astrocytes. We also studied molecules involved in mi-croglia-MN dialogue (CXCR3/CCL21; CX3CR1/CX3CL1; MFG-E8), as well as proliferation (Ki-67) and inflammatory-related molecules (TLR2/4, NLRP3; IL-18) and alarming/calming signals (HMGB1/autotaxin). We used lumbar spinal cord (SC) homogenates from mice expressing a mutant human-SOD1 protein (mSOD1) at presymptomatic and late-symptomatic ALS stages. SJL (WT) mice at same ages were used as controls. We observed decreased expression of genes associated with astrocytic (GFAP and S100B) and microglial (CD11b) markers in mSOD1 at the presymptomatic phase, as well as diminished levels of gap junction components pannexin1 and connexin43 and expression of Ki-67 and decreased autotax-in. In addition, microglial-MN communication was negatively affected in mSOD1 mice as well as in-flammatory response. Interestingly, we observed astrocytic (S100B) and microglial (CD11b) reactivity, increased proliferation (Ki-67) and increased autotaxin expression in symptomatic mSOD1 mice. In-creased MN-microglial dialogue (CXCR3/CCL21; CX3CR1/CX3CL1; MFG-E8) and hemichannel activ-ity, namely connexin43 and pannexin1, were also observed in mSOD1 at the symptomatic phase, along with an elevated inflammatory response as indicated by increased levels of HMGB1 and NLRP3. Our results suggest that decreased autotaxin expression is a feature of the presymptomatic stage, and precede the network of pro-inflammatory-related symptomatic determinants, including HMGB1, CCL21, CX3CL1, and NLRP3. The identification of the molecules and signaling pathways that are dif-ferentially activated along ALS progression will contribute for a better design of therapeutic strategies for disease onset and progression.

Development of an integrative approach for the characterization of ecological risk on marine transition ecosystems: the Sado Estuary as a case study

Estuaries and other transitional waters are complex ecosystems critically important as nursery and shelter areas for organisms. Also, humans depend on estuaries for multiple socio-economical activities such as urbanism, tourism, heavy industry, (taking advantage of shipping), fisheries and aquaculture, the development of which led to strong historical pressures, with emphasis on pollution. The degradation of estuarine environmental quality implies ecologic, economic and social prejudice, hence the importance of evaluating environmental quality through the identification of stressors and impacts. The Sado Estuary (SW Portugal) holds the characteristics of industrialized estuaries, which results in multiple adverse impacts. Still, it has recently been considered moderately contaminated. In fact, many studies were conducted in the past few years, albeit scattered due to the absence of true biomonitoring programmes. As such, there is a need to integrate the information, in order to obtain a holistic perspective of the area able to assist management and decision-making. As such, a geographical information system (GIS) was created based on sediment contamination and biomarker data collected from a decade-long time-series of publications. Four impacted and a reference areas were identified, characterized by distinct sediment contamination patterns related to different hot spots and diffuse sources of toxicants. The potential risk of sediment-bound toxicants was determined by contrasting the levels of pollutants with available sediment quality guidelines, followed by their integration through the Sediment Quality guideline Quotient (SQG-Q). The SQG-Q estimates per toxicant or class was then subjected to georreferencing and statistical analyses between the five distinct areas and seasons. Biomarker responses were integrated through the Biomarkers Consistency Indice and georreferenced as well through GIS. Overall, in spite of the multiple biological traits surveyed, the biomarker data (from several organisms) are accordant with sediment contamination. The most impacted areas were the shipyard area and adjacent industrial belt, followed by urban and agricultural grounds. It is evident that the estuary, although globally moderately impacted, is very heterogeneous and affected by a cocktail of contaminants, especially metals and polycyclic aromatic hydrocarbon. Although elements (like copper, zinc and even arsenic) may originate from the geology of the hydrographic basin of the Sado River, the majority of the remaining contaminants results from human activities. The present work revealed that the estuary should be divided into distinct biogeographic units, in order to implement effective measures to safeguard environmental quality.

Enhancement of an implemented rating model and impact on existing risk management processes: A hands-on approach from financial supplier risk management within the automotive industry

The purpose of this paper is to conduct a methodical drawback analysis of a financial supplier risk management approach which is currently implemented in the automotive industry. Based on identified methodical flaws, the risk assessment model is further developed by introducing a malus system which incorporates hidden risks into the model and by revising the derivation of the most central risk measure in the current model. Both methodical changes lead to significant enhancements in terms of risk assessment accuracy, supplier identification and workload efficiency.

Support in decision-making under uncertainty: a project risk assessment tool development and supplementary advances

A foremost dispute that persists on the contemporary world’s agenda is change. The on-going social/technological/economic changes create a competitive and challenging environment for companies to endure. To benefit from these changes, world economies partially depend on emerging Small and Medium Enterprises (SMEs) and their adaptability skills, and subsequently the development of an integrated capability to innovate has become the prime strategy for most of SMEs to subsist and grow. However, innovation and change are always somewhat bonded to an inherent risk development, which subsequently brings on the necessity of a revision of risk management approaches in innovative processes, whose importance SMEs tend to disregard. Additionally, little efforts have been made to improve and create empirical models, metrics and tools to assist SMEs managing latent risks in their innovative projects. This work seeks to present and discuss a solution to support SMEs in engaging on systematic risk management practices, which consists on an integrated risk assessment and response support web-based tool - Spotrisk® - designed for SMEs. On the other hand, an inherent subjectivity is linked with risk management and identification processes, due to uncertainty trait of its nature, for each individual perceives situations according to his own idiosyncrasy, which brings complications in normalizing risk profiles and procedures. This essay aims to bring insights concerning the support in decision-making processes under uncertainty, by addressing issues related with the risk behavior character among individuals. To address such issues, subjects of neuroscience or psychology are explored and models to identify such character are proposed, as well as models to improve presented tool. This work attempts to go beyond the restrictive aim of endeavoring on technical improvement dissertation, and in embraces an exploratory conceptualization concerning micro, small and medium businesses’ traits regarding risk characters and project risk assessment tools.