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.

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.

Value creation for Amorim Turismo through the optimization of its strategy, resources and processes

With the final purpose of adding value to Amorim Turismo, several papers were analysed, key stakeholders were heard, competitors were studied and so was the market. After this evaluation, it was concluded that there is a chance to consolidate the quality of the service offered and it was with this goal in mind that several recommendations were given. However, such recommendations suffer a cost restriction, which was not neglected, and should be considered into further complementary research activity. Risk assessment was also conducted so that future issues can be anticipated and dealt with preventively.