Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Social impact bond feasibility study: Children and youth at risk: the Projecto Família program

Social impact bonds are an increasingly popular method of unlocking typical social investment barriers and fuelling social innovation. This feasibility study aims to understand whether a social impact bond is a suitable tool for decreasing unnecessary foster care placements in Portugal, which have been proven to cause significant social and financial damage to societies. This research question is answered through a financial model which combines the costs of this social problem with Projecto Família’s intervention model, a leading intensive family preservation service. Main findings suggest using SIB funding for a 5-year project with the goal of generating the proper impact measurement metrics lacking in the field.

Risk of employing an evolvable production system

Nowadays manufacturing companies are facing a more challenging environment due to the unpredictability of the markets in order to survive. Enterprises need to keep innovating and deliver products with new internal or external characteristics. There are strategies and solutions, to different organisational level from strategic to operational, when technology is growing faster in operational level, more specifically in manufacturing system. This means that companies have to deal with the changes of the emergent manufacturing systems while it can be expensive and not easy to be implement. An agile manufacturing system can help to cope with the markets changeability. Evolvable Production Systems (EPS) is an emergent paradigm which aims to bring new solutions to deal with changeability. The proposed paradigm is characterised by modularity and intends to introduce high flexibility and dynamism at shop floor level through the use of the evolution of new computational devices and technology. This new approach brings to enterprises the ability to plug and unplug new devices and allowing fast reformulation of the production line without reprogramming. There is no doubt about the advantages and benefits of this emerging technology but the feasibility and applicability is still under questioned. Most researches in this area are focused on technical side, explaining the advantages of those systems while there are no sufficient works discussing the implementation risks from different perspective, including business owner. The main objective of this work is to propose a methodology and model to identify, classify and measure potential risk associated with an implementation of this emergent paradigm. To quantify the proposed comprehensive risk model, an Intelligent Decision system is developed employing Fuzzy Inference System to deal with the knowledge of experts, as there are no historical data and sufficient research on this area. The result can be the vulnerability assessment of implementing EPS technology in manufacturing companies when the focus is more on SMEs. The present dissertation used the experts’ knowledge and experiences, who were involved in FP7 project IDEAS, which is one of the leading projects in this area.

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Monitoring liquidity risk at BPI GA

Field lab: Business project

Assessing fraud risk of selecção, contratação e manutenção de fornecedores process of Sonae Investimentos

The present Work Project (WP) is the result of Sonae’s concern with fraud risk, seeking to implement a method that formally describes and evaluates it in its various forms. In a context of limited human, capital, time and tools’ resources, the Internal Audit (IA) department of the company developed a framework to raise the awareness of top management and identify which processes of its value chain present a higher level of exposure to fraud, with the purpose of redirecting attention to those and prioritizing the creation of new mechanisms to monitor its KPIs’ dynamics.