Credit risk stress testing: The Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Credit Scoring: Aplicação da regressão logística vs redes neuronais artificiais na avaliação do risco de crédito no mercado Cabo-verdiano

Dissertação apresentada como requisito parcial de obtenção do grau de Mestre em Estatística e Gestão de Informação

Implementação do modelo de Credit Var aplicado a uma carteira de crédito

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Matemática e Aplicações - Actuariado, Estatística e Investigação Operacional

Effect of sialic acid loss on dendritic cell maturation

Sialic acids are key structural determinants and contribute to the functionality of a number of immune cell receptors. Previously, we demonstrated that differentiation of human dendritic cells (DCs) is accompanied by an increased expression of sialylated cell surface structures, putatively through the activity of the ST3Gal.I and ST6Gal.I sialyltransferases. Furthermore, DC endocytosis was reduced upon removal of the cell surface sialic acid residues by neuraminidase. In the present work, we evaluate the contribution of the sialic acid modifications in DC maturation. We demonstrate that neuraminidase-treated human DCs have increased expression of major histocompatibility complex (MHC) and costimulatory molecules, increased gene expression of specific cytokines and induce a higher proliferative response of T lymphocytes. Together, the data suggest that clearance of cell surface sialic acids contributes to the development of a T helper type 1 proinflammatory response. This postulate is supported by mouse models, where elevated MHC class II and increased maturation of specific DC subsets were observed in DCs harvested from ST3Gal.I(-/-) and ST6Gal.I(-/-) mice. Moreover, important qualitative differences, particularly in the extent of reduced endocytosis and in the peripheral distribution of DC subsets, existed between the ST3Gal.I(-/-) and ST6Gal.I(-/-) strains. Together, the data strongly suggest not only a role of cell surface sialic acid modifications in maturation and functionality of DCs, but also that the sialic acid linkages created by different sialyltransferases are functionally distinct. Consequently, with particular relevance to DC-based therapies, cell surface sialylation, mediated by individual sialyltransferases, can influence the immunogenicity of DCs upon antigen loading.

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Impairment in the mortagage loan portfolio: The example of Banco Popular portugal

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Sudden sensorineural hearing loss : evaluation of co-morbidities and potential clinical associations

RESUMO: A surdez súbita (SS) caracteriza-se por uma perda abrupta de audição, mais frequentemente unilateral e associada a sensação de preenchimento aural, acufenos e vertigem. Afecta 5-20/100.000pessoas/ano (sobretudo adultos em fase activa na década de 40), com grande impacto na qualidade de vida. Possíveis causas incluem doenças infecciosas, circulatórias, traumáticas, imunológicas, neoplásicas, neurológicas, tóxicas e cocleares. No entanto, a causa da SS permanece desconhecida na maioria dos casos (80%), o que origina tratamentos controversos e frequentemente ineficientes. Os tratamentos disponíveis variam desde corticosteróides a antivirais, vasodilatadores, anti-agregantes, anticoagulantes, vitaminas e oxigénio hiperbárico (OHB). Atendendo a falta de informação relativa à etiologia e fisiopatologia da SS, pretendemos avaliar a evolução clínica dos doentes com SS tratados com OHB no Centro de Medicina Subaquática e Hiperbárica (CMSH) de Lisboa entre 2000 e 2005, durante um período mínimo de 5 anos, na tentativa de identificar eventuais factores de risco ou noxas clínicas com a SS. O estudo retrospectivo proposto baseia-se na revisão de processos clínicos do CMSH e na aplicação telefónica de questionários médicos de “follow-up” confidenciais – tanto a doentes (grupo de estudo), como aos respectivos esposos/companheiros/membros próximos da família (grupo de controlo) –, com particular ênfase nos antecedentes médicos e história clínica actual. Um estudo preliminar de 20 pessoas (10 doentes e 10 controlos) foi efectuado para antecipar dificuldades e estimar as necessidades logísticas. As dificuldades identificadas foram: 1) selecção dos doentes com números de telefone válidos e processos clínicos completos (com audiograma inicial e final); 2) contacto telefónico com os participantes de ambos os grupos (de estudo e controlo); 3) recursos humanos requeridos. Dado que a SS não é uma doença em si, mas um sintoma de uma doença subjacente, acreditamos que este estudo epidemiológico seja importante e útil, capaz de gerar novas luzes sobre a fisiopatologia e mecanismos desta entidade clínica.-------------ABSTRACT:Sudden sensorineural hearing loss (SSHL) is characterized by abrupt, mostly unilateral loss of hearing, frequently associated to aural fullness, tinnitus and vertigo. It affects 5-20/100.000 people/year (particularly working adults in the 40ths), with huge impact on quality of life. Possible causes include infectious, circulatory, traumatic, immunologic, metabolic, neoplastic, neurologic, toxic and unidentified cochlear diseases. Nevertheless, SSHL’s etiology remains unknown in most cases (80%), giving rise to controversial (and frequently ineffective) treatments. Available therapies range from corticosteroids to antivirals, vasodilators, antiaggregants, anticoagulants, vitamins and hyperbaric oxygen (HBO). Given the lack of data concerning SSHL’s etiology and physiopathology, we intend to evaluate clinical evolution of such patients treated with HBO in the Underwater and Hyperbaric Medical Center (UHMC) at Lisbon from 2000 to 2005 during a minimum period of 5 years, in an attempt to identify eventual risk factors or clinical associations to SSHL. The intended retrospective study is based on the review of patients’ medical charts from UHMC and confidential follow-up questionnaires applied telephonically both to patients (study group) and patients’ spouse/partner/close family member (control group), focusing past and present medical history. A preliminary study of 20 subjects (10 of each group) was performed to anticipate difficulties and to estimate the required logistics. The identified difficulties were: 1) selection of subjects with valid phone numbers and complete medical charts (with initial and final audiograms); 2) telephonic contact with subjects from the study and control group; 3) human logistics required. As it is believed that SSHL is not a disease by itself but rather a symptom of an underlying disease, we believe that this epidemiologic study is important and will hopefully generate sound scientific knowledge concerning physiopathology and mechanism of disease of SSHL.

Credit risk of financial institutions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Credit cycle identification: A Markov-switching application

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Help-seeking for 'memory loss' by older adults in India : patient, caregiver and health providers' perspectives

ABSTRACT: Background. In India, prevalence rates of dementia and prodromal amnestic Mild Cognitive Impairment (MCI) are 3.1% and 4.3% respectively. Most Indians refer to the full spectrum of cognitive disorders simply as ‘memory loss.’ Barring prevention or cure, these conditions will rise rapidly with population aging. Evidence-based policies and practices can improve the lives of affected individuals and their caregivers, but will require timely and sustained uptake. Objectives. Framed by social cognitive theories of health behavior, this study explores the knowledge, attitudes and practices concerning cognitive impairment and related service use by older adults who screen positive for MCI, their primary caregivers, and health providers. Methods. I used the Montreal Cognitive Assessment to screen for cognitive impairment in memory camps in Mumbai. To achieve sampling diversity, I used maximum variation sampling. Ten adults aged 60+ who had no significant functional impairment but screened positive for MCI and their caregivers participated in separate focus groups. Four other such dyads and six doctors/ traditional healers completed in-depth interviews. Data were translated from Hindi or Marathi to English and analyzed in Atlas.ti using Framework Analysis. Findings. Knowledge and awareness of cognitive impairment and available resources were very low. Physicians attributed the condition to disease-induced pathology while lay persons blamed brain malfunction due to normal aging. Main attitudes were that this condition is not a disease, is not serious and/or is not treatable, and that it evokes stigma toward and among impaired persons, their families and providers. Low knowledge and poor attitudes impeded help-seeking. Conclusions. Cognitive disorders of aging will take a heavy toll on private lives and public resources in developing countries. Early detection, accurate diagnosis, systematic monitoring and quality care are needed to compress the period of morbidity and promote quality of life. Key stakeholders provide essential insights into how scientific and indigenous knowledge and sociocultural attitudes affect use and provision of resources.

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.

Millennium BCP- The almond hill credit extension proposal

This Work Project is a case study on the credit lending process and loan pricing policy of Millennium bcp, one of the main Portuguese banks. The goal of the case study is to provide an opportunity to understand the above mentioned process and policy in a major bank and to explore the issues and interests at play when a relevant credit decision must be taken. I would like to thank Dr. José Miguel Pessanha without whom this project would not have been possible.

O incumprimento do contrato de crédito ao consumo pelo consumidor

Consumer relations, established between the Consumer and the Creditor, which carry a consequent inequality of contractual positioning between the parties, have been pushing the legislator to adopt more rigid regulations with regard to lending for the purchase of goods or services of consum issues. In this sense, the Decree-Law 359/91 was approved, meanwhile repealed by the Decree-Law 133/2009, which regulates the consumer credit agreement’s regime in the portuguese legal system. Through this contract, the financier makes available to the consumer a certain amount of money, which the consumer must repay, plus the respective remuneration (interest) and other charges, according to a refund plan agreed by the parties. The consumer will be in delay if he breaches this stipulation. In case of default, the creditor, notwithstanding, can choose to wait for the performance by the debtor, promote the loss of benefit of the term or the termination of the contract. From the outset it would seem that, in one way or another, the financier, by imposing a forced shortening of the contract duration initially agreed, will lose the right to remuneration for the provision of capital agreed, but not verified. Nevertheless, unlike presently, the previous regime allowed the parties to rule otherwise, being permitted to agree to the payment of interest of outstanding installments. On the other hand, in the consumer credit contract the principle of freedom of contractual provision of the parties is strongly mitigated by the special legislation, which prevents the waiver of rights by the consumer, and by the regime of general contractual terms, which restricts the freedom of the financier to stipulate the contractual content freely and the freedom of the consumer to negotiate. For all these reasons, associated with the growing need of credit resource to satisfy their needs of consumption, it is confirm the relevance of legislative intervention on consumers protection in the context of hiring credit.

O incumprimento do contrato de crédito ao consumo pelo consumidor

Consumer relations, established between the Consumer and the Creditor, which carry a consequent inequality of contractual positioning between the parties, have been pushing the legislator to adopt more rigid regulations with regard to lending for the purchase of goods or services of consum issues. In this sense, the Decree-Law 359/91 was approved, meanwhile repealed by the Decree-Law 133/2009, which regulates the consumer credit agreement’s regime in the portuguese legal system. Through this contract, the financier makes available to the consumer a certain amount of money, which the consumer must repay, plus the respective remuneration (interest) and other charges, according to a refund plan agreed by the parties. The consumer will be in delay if he breaches this stipulation. In case of default, the creditor, notwithstanding, can choose to wait for the performance by the debtor, promote the loss of benefit of the term or the termination of the contract. From the outset it would seem that, in one way or another, the financier, by imposing a forced shortening of the contract duration initially agreed, will lose the right to remuneration for the provision of capital agreed, but not verified. Nevertheless, unlike presently, the previous regime allowed the parties to rule otherwise, being permitted to agree to the payment of interest of outstanding installments. On the other hand, in the consumer credit contract the principle of freedom of contractual provision of the parties is strongly mitigated by the special legislation, which prevents the waiver of rights by the consumer, and by the regime of general contractual terms, which restricts the freedom of the financier to stipulate the contractual content freely and the freedom of the consumer to negotiate. For all these reasons, associated with the growing need of credit resource to satisfy their needs of consumption, it is confirm the relevance of legislative intervention on consumers protection in the context of hiring credit.

The impact of credit conditions on market liquidity – a case for European stock markets

The recent financial crisis has drawn the attention of researchers and regulators to the importance of liquidity for stock market stability and efficiency. The ability of market-makers and investors to provide liquidity is constrained by the willingness of financial institutions to supply funding capital. This paper sheds light on the liquidity linkages between the Central Bank, Monetary Financial Institutions and market-makers as crucial elements to the well-functioning of markets. Results suggest the existence of causality between credit conditions and stock market liquidity for the Eurozone between 2003 and 2015. Similar evidence is found for the UK during the post-crisis period. Keywords: stock