Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Evolutionary dynamics of Chlamydia trachomatis genome and identification of molecular patterns of hypothetical protein coding genes

The obligate intracellular bacterium Chlamydia trachomatis is a human pathogen of major public health significance. Strains can be classified into 15 main serovars (A to L3) that preferentially cause ocular infections (A-C), genital infections (D-K) or lymphogranuloma venereum (LGV) (L1-L3), but the molecular basis behind their distinct tropism, ecological success and pathogenicity is not welldefined. Most chlamydial research demands culture in eukaryotic cell lines, but it is not known if stains become laboratory adapted. By essentially using genomics and transcriptomics, we aimed to investigate the evolutionary patterns underlying the adaptation of C. trachomatis to the different human tissues, given emphasis to the identification of molecular patterns of genes encoding hypothetical proteins, and to understand the adaptive process behind the C. trachomatis in vivo to in vitro transition. Our results highlight a positive selection-driven evolution of C. trachomatis towards nichespecific adaptation, essentially targeting host-interacting proteins, namely effectors and inclusion membrane proteins, where some of them also displayed niche-specific expression patterns. We also identified potential "ocular-specific" pseudogenes, and pointed out the major gene targets of adaptive mutations associated with LGV infections. We further observed that the in vivo-derived genetic makeup of C. trachomatis is not significantly compromised by its long-term laboratory propagation. In opposition, its introduction in vitro has the potential to affect the phenotype, likely yielding virulence attenuation. In fact, we observed a "genital-specific" rampant inactivation of the virulence gene CT135, which may impact the interpretation of data derived from studies requiring culture. Globally, the findings presented in this Ph.D. thesis contribute for the understanding of C.trachomatis adaptive evolution and provides new insights into the biological role of C. trachomatishypothetical proteins. They also launch research questions for future functional studies aiming toclarify the determinants of tissue tropism, virulence or pathogenic dissimilarities among C. trachomatisstrains.

Basel III new capital requirements, impacts and bank behavior

For some years, researchers could not find a clear effect of capital adequacy on the risk profile of banks, as shareholders could increase the riskiness of the assets (qualitative effect), crowding-out the effect of reduced leverage (volume effect). Some shareholders might have the will to increase the riskiness of the assets, but they may lack the power to do so. Considering only ”powerful” shareholders, definitive conclusions were drawn but with constant ownership profile. In this paper I investigate whether there is a significant change in the type of shareholders in response to regulatory capital shocks and, if so, will the banking system be in the hands of more “desired” shareholders. I find that ownership profile responds to a regulatory shock, changing the risk appetite of the ruling power at the bank. I find more banks and the government in the ownership of undercapitalised banks and much less institutional shareholders and free float. I claim that these new shareholders may not the desired ones, given the objective of the regulatory change, as they are associated with a preference for more leverage. One possible explanation for this crowding-out effect is that regulators are trying to contain idiosyncratic risk (more linked to the riskiness of the assets) with a rule that contains systematic risk (capital adequacy). This has a distorting effect on ownership. Another insight can be drawn from the tests: supervisors should be aware of significant ownership movements that cause the crowding-out.

Capital requirements and loan market conditions insight into Portuguese Banking system (2004-2011)

Capital Requirements have been gaining importance in the current macroeconomic and financial environment and Portugal is no exception. Nonetheless, despite the several media articles on this subject, the associations with Loan Market Conditions, namely availability and pricing are still unstudied. Thus, this project adds to the existing literature a characterization of Portuguese four biggest banks on capital reporting and requirements fulfillment. It is concluded that banks under analysis need to increase capital and that there is an association between the variables under study: Share Capital is negatively correlated with Credit Volume, and it is positively correlated with Net Commercial Income.

Staying under the radar - the multifunctional LANA Protein

Many viruses have developed numerous strategies to recruit and take advantage of cellular protein degradation pathways to evade the cellular viral immune system. One such virus is the Kaposi´s Sarcoma associated herpesvirus (KSHV), first discovered in Kaposi´s Sarcoma lesions found in AIDS patients. Latency-Associated Nuclear Antigen (LANA) is a KSHV multifunctional protein responsible for tethering viral DNA to the chromosome ensuring maintenance and segregation of the viral genome during cell division. Besides its main role of viral maintenance, LANA also physically interacts with several host proteins to modulate cell functions. One such function is to recruit the EC5S ubiquitin-ligase complex by interacting with Elongin BC complex and Cullin 5 protein, which in turn ubiquitinate substrates such as NF-κB and p53 to allow persistent viral infection. Like any other post-translation modifications, ubiquitination is reversible through deubiquitination enzymes (DUBs). LANA also interacts with ubiquitin specific protease 7 (USP7), a deubiquitination enzyme involved in regulation of several proteins including p53. Interaction with USP7 is made through a conserved peptide motif, which is also present in LANA. This work addresses the role of LANA in the recruitment and modulation of the ubiquitination and deubiquitination pathways. Despite the continued efforts in uncovering new LANA interacting partners to form a functional EC5S ubiquitin-ligase complex, only MHV-68 LANA interacted directly with Elongin BC, other interactions were not direct and may require a linker protein. On the other hand, LANA interaction with USP7 was able to be analysed by X-ray structure determination. In addition to a conserved P/AxxS motif, a novel Glutamine (Gln) residue from KSHV LANA was shown to make a specific interaction with USP7. This Gln residue is also present in other herpesvirus protein and hence it might be a conserved motif within herpesviruses.

Study of the role of wall teichoic acids in the localization Staphylococcus aureus cell wall synthesis protein PBP4

The cell wall of Staphylococcus aureus is a highly complex network mainly composed of highly cross-linked peptidoglycan (PG) and teichoic acids (TAs), both important for the maintenance of the integrity and viability of bacteria. The penicillin binding proteins (PBPs), which catalyse the final stage of PG biosynthesis, are targets of β-lactam antibiotics and have been a key focus of antibacterial research. S. aureus has four native PBPs, PBP1-4 carried by both methicillin-sensitive (MSSA) and –resistant (MRSA) strains. PBP4 is required for the synthesis of the highly cross-linked PG and, as shown in recent studies, is essential for the expression of β-lactam resistance in community-acquired strains (CA-MRSA). This protein has a septal localization that seems to be spatially and temporally regulated by an unknown intermediate of the wall teichoic acids (WTA) biosynthesis pathway. Therefore, if WTA synthesis is compromised, PBP4 becomes dispersed throughout the entire cell membrane. The aim of this project was to identify the WTA precursor responsible for the septal recruitment of PBP4. In order to do so, inducible mutants of tarB and tarL genes in the background of NCTCPBP4-YFP were constructed allowing for the study of PBP4 localization in the presence and absence of these specific tar genes.With this work we were able to show that the absence of TarB or TarL leads to the delocalization of PBP4, indicating that TarL or a protein/WTA precursor whose localization/synthesis is dependent on TarL is responsible for the recruitment of PBP4.

Basel III: The impact of new capital requirements on profitability of Portuguese Banks

This empirical study aims to explore the impact of increased capital ratio requirements, on the ROE of the Portuguese banking sector. The paper employs both a quantitative- and qualitative approach, with the qualitative approach as the main method of research. The method adopted to conduct the qualitative research was semi structured elite interviews with banking executives. Higher capital requirements decrease the ROE of banks in Portugal, but huge impairments charges, macroeconomic factors and increased costs of deposits are clearly the dominant reasons for the reduced levels of ROE the past years. Among the measures taken to increase capital ratios, reduction of RWAs and non-core assets have been the main focus, but the issuance of CoCos is regarded as the most expensive measure due to high interest payments. However, the CoCos will not have any effect on the ROE in the long term. It is difficult to draw any conclusions on the impact of more equity in the balance sheet on the ROE of Portuguese banks, as many banks currently don’t generate enough money to pay back on shareholders´ investments.

Design of bio-inspired ionic liquids for protein stabilisation

Ionic Liquids (ILs) consist in organic salts that are liquid at/or near room temperature. Since ILs are entirely composed of ions, the formation of ion pairs is expected to be one essential feature for describing solvation in ILs. In recent years, protein - ionic liquid (P-IL) interactions have been the subject of intensive studies mainly because of their capability to promote folding/unfolding of proteins. However, the ion pairs and their lifetimes in ILs in P-IL thematic is dismissed, since the action of ILs is therefore the result of a subtle equilibrium between anion-cation interaction, ion-solvent and ion-protein interaction. The work developed in this thesis innovates in this thematic, once the design of ILs for protein stabilisation was bio-inspired in the high concentration of organic charged metabolites found in cell milieu. Although this perception is overlooked, those combined concentrations have been estimated to be ~300 mM among the macromolecules at concentrations exceeding 300 g/L (macromolecular crowding) and transient ion-pair can naturally occur with a potential specific biological role. Hence the main objective of this work is to develop new bio-ILs with a detectable ion-pair and understand its effects on protein structure and stability, under crowding environment, using advanced NMR techniques and calorimetric techniques. The choline-glutamate ([Ch][Glu]) IL was synthesized and characterized. The ion-pair was detected in water solutions using mainly the selective NOE NMR technique. Through the same technique, it was possible to detect a similar ion-pair promotion under synthetic and natural crowding environments. Using NMR spectroscopy (protein diffusion, HSQC experiments, and hydrogen-deuterium exchange) and differential scanning calorimetry (DSC), the model protein GB1 (production and purification in isotopic enrichment media) it was studied in the presence of [Ch][Glu] under macromolecular crowding conditions (PEG, BSA, lysozyme). Under dilute condition, it is possible to assert that the [Ch][Glu] induces a preferential hydration by weak and non-specific interactions, which leads to a significant stabilisation. On the other hand, under crowding environment, the [Ch][Glu] ion pair is promoted, destabilising the protein by favourable weak hydrophobic interactions , which disrupt the hydration layer of the protein. However, this capability can mitigates the effect of protein crowders. Overall, this work explored the ion-pair existence and its consequences on proteins in conditions similar to cell milieu. In this way, the charged metabolites found in cell can be understood as key for protein stabilisation.

A minimal version of a Protein Tyrosine Phosphatase

Phosphatase and tensin homologue (PTEN) protein belongs to the family of protein tyrosine phos-phatase. Mutations on the phosphatase and tensin homologue (PTEN) protein are highly observed in diverse types of human tumors, being mostly identified on the phosphatase domain of the protein. Although PTEN is a modular protein composed by a phosphatase domain and a C2 domain for mem-brane anchoring, this work aimed at developing a minimal version of PTEN´s phosphatase domain. The minimal version (Small Domain) comprises a 28 residue peptide, with the PTEN 8-mer catalytic peptide accommodated between a α-helix and β-turn as observed in PTEN native structure. Firstly, a de novo prediction of the Small Domain´s secondary structure was carried out by molecular modeling tools. The stability of the predicted structures were then evaluated by Molecular Dynamics. Automated molecular docking of PTEN natural substrate PIP3, its analogue (Inositol) and a PTEN inhibitor (L-tar-tare) were performed with the modeled structure, and PTEN used as a positive control. The gene en-coding for Small Domain was designed and cloned into an expression vector at N-terminal of Green Fluorescence Protein (GFP) encoding gene. The fusion protein was then expressed in Escherichia coli cells. Different expression conditions have been explored for the production of the fusion protein to minimize the formation of inclusion bodies.

The Role of the Fbox Protein CG6758 in Xbp1s Induced Retinal Degeneration in Drosophila

The Unfolded Protein Response (UPR) is a signaling pathway that is activated by an accumulation of unfolded or misfolded proteins in the endoplasmic reticulum (ER) that causes ER stress. The activation of the UPR aims to restore ER homeostasis by attenuation of ER client protein translation, increased transcription of ER chaperones and ER associated degradation (ERAD) factors. If ER stress is too long or too strong, cells may die. The main signaling branch of the UPR is mediated by the ER transmembrane protein IRE1 and the transcription factor Xbp1. The active, spliced form of Xbp1 (Xbp1spliced) acts as a transcription factor with protective function against toxic protein aggregation. However, overexpression of Xbp1spliced in the developing Drosophila eye causes degeneration of the eye (“glossy” eye phenotype).(...)