Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Development and validation of a risk model for prediction of hazardous alcohol consumption in general practice attendees : the PredictAL study

Background: Little is known about the risk of progression to hazardous alcohol use in people currently drinking at safe limits. We aimed to develop a prediction model (predictAL) for the development of hazardous drinking in safe drinkers. Methods: A prospective cohort study of adult general practice attendees in six European countries and Chile followed up over 6 months. We recruited 10,045 attendees between April 2003 to February 2005. 6193 European and 2462 Chilean attendees recorded AUDIT scores below 8 in men and 5 in women at recruitment and were used in modelling risk. 38 risk factors were measured to construct a risk model for the development of hazardous drinking using stepwise logistic regression. The model was corrected for over fitting and tested in an external population. The main outcome was hazardous drinking defined by an AUDIT score >= 8 in men and >= 5 in women. Results: 69.0% of attendees were recruited, of whom 89.5% participated again after six months. The risk factors in the final predictAL model were sex, age, country, baseline AUDIT score, panic syndrome and lifetime alcohol problem. The predictAL model's average c-index across all six European countries was 0.839 (95% CI 0.805, 0.873). The Hedge's g effect size for the difference in log odds of predicted probability between safe drinkers in Europe who subsequently developed hazardous alcohol use and those who did not was 1.38 (95% CI 1.25, 1.51). External validation of the algorithm in Chilean safe drinkers resulted in a c-index of 0.781 (95% CI 0.717, 0.846) and Hedge's g of 0.68 (95% CI 0.57, 0.78). Conclusions: The predictAL risk model for development of hazardous consumption in safe drinkers compares favourably with risk algorithms for disorders in other medical settings and can be a useful first step in prevention of alcohol misuse.

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.

Analysis and visualization of energy use for university campus

The reduction of greenhouse gas emissions is one of the big global challenges for the next decades due to its severe impact on the atmosphere that leads to a change in the climate and other environmental factors. One of the main sources of greenhouse gas is energy consumption, therefore a number of initiatives and calls for awareness and sustainability in energy use are issued among different types of institutional and organizations. The European Council adopted in 2007 energy and climate change objectives for 20% improvement until 2020. All European countries are required to use energy with more efficiency. Several steps could be conducted for energy reduction: understanding the buildings behavior through time, revealing the factors that influence the consumption, applying the right measurement for reduction and sustainability, visualizing the hidden connection between our daily habits impacts on the natural world and promoting to more sustainable life. Researchers have suggested that feedback visualization can effectively encourage conservation with energy reduction rate of 18%. Furthermore, researchers have contributed to the identification process of a set of factors which are very likely to influence consumption. Such as occupancy level, occupants behavior, environmental conditions, building thermal envelope, climate zones, etc. Nowadays, the amount of energy consumption at the university campuses are huge and it needs great effort to meet the reduction requested by European Council as well as the cost reduction. Thus, the present study was performed on the university buildings as a use case to: a. Investigate the most dynamic influence factors on energy consumption in campus; b. Implement prediction model for electricity consumption using different techniques, such as the traditional regression way and the alternative machine learning techniques; and c. Assist energy management by providing a real time energy feedback and visualization in campus for more awareness and better decision making. This methodology is implemented to the use case of University Jaume I (UJI), located in Castellon, Spain.