Monitoring liquidity risk at BPI GA

Field lab: Business project

A comparative review of risk based portfolio allocations: An empirical study throughout rising yields

Since the financial crisis, risk based portfolio allocations have gained a great deal in popularity. This increase in popularity is primarily due to the fact that they make no assumptions as to the expected return of the assets in the portfolio. These portfolios implicitly put risk management at the heart of asset allocation and thus their recent appeal. This paper will serve as a comparison of four well-known risk based portfolio allocation methods; minimum variance, maximum diversification, inverse volatility and equally weighted risk contribution. Empirical backtests will be performed throughout rising interest rate periods from 1953 to 2015. Additionally, I will compare these portfolios to more simple allocation methods, such as equally weighted and a 60/40 asset-allocation mix. This paper will help to answer the question if these portfolios can survive in a rising interest rate environment.

Caracterização da carga da doença arterial periférica dos membros inferiores : contributos para um melhor conhecimento do peso desta doença no internamento hospitalar

RESUMO - A doença arterial periférica (DAP) apresenta uma carga de doença significativa, afetando cerca de 3 a 10% da população em geral e 15 a 20% dos indivíduos com idade superior a 70 anos. A sua prevalência em Portugal foi estimada em cerca de 5,9% no continente; 6,6% na Região Autónoma dos Açores (RAA) e 3,8% na Região Autónoma da Madeira (RAM). Para além da importante carga de doença, quer em termos epidemiológicos, quer económicos, a DAP confere aos seus portadores um risco cardiovascular agravado, sendo que os mesmos apresentam cerca do triplo do risco de mortalidade e de eventos cardiovasculares quando comparados com indivíduos sem DAP. Tratou-se de um estudo observacional, transversal e descritivo tendo como base duas populações de estudo. A primeira é referente aos hospitais do Serviço Nacional de Saúde (SNS) com a valência de cirurgia vascular e a segunda à população portuguesa com episódios de internamento por diagnóstico de DAP dos membros inferiores (MI) nos anos de 2013 e 2014 na totalidade dos hospitais do SNS. Através da análise dos resultados do questionário procedeu-se à descrição de algumas das características dos serviços e unidades de cirurgia vascular de sete hospitais do SNS; através da análise da base de dados dos GDH para os anos de 2013 e 2014 procedeu-se à caracterização do peso do internamento por DAP dos membros inferiores a nível nacional no mesmo período. A DAP tem uma carga significativa e atendendo aos seus fatores de risco e história natural da doença, apresenta uma tendência crescente durante os próximos anos, representando por isso um enorme desafio para os sistemas de saúde. São, no entanto, necessários estudos mais aprofundados sobre o tema que permitam conhecer melhor o peso desta patologia e, de forma global, melhorar o planeamento, tendo por base a caracterização quer do lado da procura (dados epidemiológicos e peso no internamento), quer da oferta (capacidade instalada).

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.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.