Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Transmissão do vírus citomegálico através do aleitamento materno em prematuros

RESUMO: Nas últimas quatro décadas, desenvolveram-se vários estudos, dispersos por todo o mundo, visando analisar a importância da transmissão perinatal do CMV pelo leite materno, nos recém-nascidos prematuros e de baixo peso à nascença. Comparando estes estudos, as taxas de incidência de infecção e doença são extremamente variáveis, não havendo consenso entre os autores. Surgiu, assim, a necessidade de realizar a presente dissertação, pioneira ao nível nacional, com o objectivo de determinar a incidência da infecção perinatal citomegálica, transmitida através do aleitamento materno a recémnascidos prematuros, e identificar as suas consequências clínicas. Para a elaboração deste trabalho foram seleccionados todos os recém-nascidos com idade gestacional inferior a 35 semanas e respectivas mães seropositivas para CMV, internados na Unidade de Cuidados Intensivos de Neonatalogia do Hospital de São Francisco Xavier, entre o período de 1 de Outubro de 2010 e 31 Julho de 2011. Foram analisadas as urinas dos recém-nascidos e o leite materno das mães na primeira, sexta e décima segunda semana pós-parto, utilizando a técnica de Nested-PCR e, posteriormente, a PCR em Tempo Real, para determinar a carga viral do leite materno. Constatou-se que a aquisição da infecção perinatal de CMV no recém-nascido prematuro ocorre com alguma frequência (40,5%), sendo muito provável que a via de transmissão em 38,1% destes casos seja o leite materno infectado, não devendo esta ser desvalorizada. Relativamente às consequências clínicas, não foram observadas alterações clínico-laboratoriais associadas à infecção citomegálica. Analisando os factores que condicionam a transmissão da infecção citomegálica perinatal, estabeleceu-se uma correlação entre a carga viral do leite materno e a transmissão do vírus, permitindo deduzir que quanto maior a carga viral, maior o risco de transmissão. Finalmente, os resultados obtidos sugerem que o risco de transmissão da infecção e suas consequências clínicas não justificam a contra-indicação da amamentação, pois esta comporta, também, elevados benefícios. ----------------ABSTRACT: In the last four decades, several studies were developed all over the world to analyze the importance of CMV perinatal transmission through mother´s milk in the preterm and low birthweight newborns. Comparing these studies, the infection and disease incidence rates are extremely variable, without agreement between the authors. The aim of this study, the first of the kind made in Portugal, is to define the rate of perinatal cytomegalovirus infection in preterm newborns via breastfeeding and its clinical consequences. All the newborns with gestational age below 35 weeks and their CMV seropositive mothers, admitted between the October 1, 2010 and July 31, 2011 in the Neonatology Intensive Care Unit of the São Francisco Xavier Hospital, were included in this study. Human breast milk and urine specimens were collected from mothers and their preterms infants around the 1st, 6th and 12th week after delivery and analyzed by Nested-PCR. The PCR in Real Time was used to determine the breast milk viral load. It was found that the CMV perinatal infection in preterm infants occurs in 40,5% of the cases and most likely 38,1% of these were infected via breastmilk and therefore this should not be overlooked. Considering the clinical consequences, no clinical and laboratory changes associated with cytomegalovirus infection were observed. Analyzing the factors that determine the perinatal transmission of the cytomegalovirus, it was established a correlation between breast milk viral load and viral transmission, allowing to conclude that the higher the viral load the greater the risk of transmission. Finally, the obtained results suggest that the risk of CMV infection and its clinical consequences don´t justify the breastfeeding contraindication because it also provides high benefits.

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.

The computational role of short-term plasticity and the balance of excitation and inhibition in neural microcircuits: experimental and theoretical analysis

The computations performed by the brain ultimately rely on the functional connectivity between neurons embedded in complex networks. It is well known that the neuronal connections, the synapses, are plastic, i.e. the contribution of each presynaptic neuron to the firing of a postsynaptic neuron can be independently adjusted. The modulation of effective synaptic strength can occur on time scales that range from tens or hundreds of milliseconds, to tens of minutes or hours, to days, and may involve pre- and/or post-synaptic modifications. The collection of these mechanisms is generally believed to underlie learning and memory and, hence, it is fundamental to understand their consequences in the behavior of neurons.(...)

Interpreting change in human-nature and long term social relationships

Dissertação apresentada para obtenção do Grau de Doutor em Ciências do Ambiente, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia.

Basement membrane alterarions in kernicteric brain microvasculature and pericyte response to bilirubin

Dissertação para obtenção do Grau de Mestre em Genética Molecular e Biomedicina

Long-term biosignals visualization and processing

Thesis submitted in the fulfillment of the requirements for the Degree of Master in Biomedical Engineering

Algorithms for information extraction and signal annotation on long-term biosignals using clustering techniques

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Medium-short-term and repetition effects of advergames on children consumer behaviour

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

How do current term structure model behave beyond the last liquid point?: A comparison of the DNS and Smith-Wilson methods

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance from Maastricht University and NOVA – School of Business and Economics

Evaluation of long term persistence of Diabetes Mellitus Type II treatment newly diagnosed patients in Lisbon and Tagus health administration region : a three year follow up study

RESUMO: Raional: A persistência à terapêutica é o tempo em qualquer antidiabético oral, desde o seu início até à descontinuação de todas as medicações ou até ao fim do período do estudo. Os objetivos deste estudo foi a análise da persistência à terapêutica no segundo e terceiro anos após início do tratamento em doentes adultos diagnosticados na região de Lisboa e Vale do Tejo e determinar o efeito de determinadas variáveis na persistência a longo prazo. Métodos: Um estudo retrospetivo não interventivo foi desenhado com base nos dados a obter do SIARS (prescrições e aquisições na farmácia) e Pordata. A persistência foi quantificada como a percentagem de doentes que continuam a adquirir pelo menos um antidiabético oral ao segundo e terceiro anos após a compra da primeira receita. A associação entre a persistência e o segundo e terceiro anos com cada uma das co-variáveis foi aferido pelo teste qui-quadrado e os odd ratios foram calculados com recurso a um modelo de regressão logística. Resultados: A persistência à terapêutica obtida foi de 80% e 62% para o segundo e terceiro anos após início da terapêutica. Odd ratios para primeiro e segundo ano: número de grupos farmacoterapêuticos diferentes (OR = 2.167, 1.807 – 2.598, p = 0.000 / OR = 1.863, 1.621 – 2.142, p = 0.000); idade (OR = 0.914, 0.772 – 1.081, p = 0.294 / OR = 0.875, 0.764 – 1.002, p = 0.054); sexo (OR = 1.163, 0.983 – 1.377, p = 0.079); número de diferentes prescritores (OR = 3.594, 3.030 – 4.262, p = 0.000 / OR = 2.167, 1.886 – 2.491, p = 0.000); instituição de prescrição (OR = 0.725, 0.698 – 0.753, p = 0.000 / OR = 0.683, 0.650 – 0.717, p = 0.000); grupo farmacoterapêutico (OR = 1.056, 1.043 – 1.069, p = 0.000 / OR = 1.077, 1.060 – 1.095, p = 0.000); relação com o médico (OR = 0.834, 0.816 – 0.852, p = 0.000 / OR = 0.799, 0.777 – 0.821, p = 0.000) e custo médio mensal por grupo farmacoterapêutico (OR = 0.954, 0.942 – 0.968, p = 0.000 / OR = 0.930, 0.914 – 0.947, p = 0.000). Conclusões: O valor da persistência à terapêutica no segundo ano é ligeiramente acima do que é mencionado na literatura e não existem dados para comparar os resultados do terceiro ano. Relativamente ao efeito das co-variáveis no segundo e terceiro anos após o início do tratamento, os resultados são sobreponíveis, sendo que o sexo não está associado à persistência ao terceiro ano.----------------------------------ABSTRACT: Background: Therapy persistence is the time on any antidiabetic medication, from initiation of therapy to discontinuation of all medications or the end of the study period. The aim of the study was to analyse the therapy persistence in the second and third years after treatment initiation in newly diagnosed adult patients in the Lisbon and Tagus Valley region and to determine the effect of several co-variables in the long term persistence. Methods: A retrospective non-interventional study based on SIARS data (drug prescriptions and acquisitions) and Pordata was designed. Persistence was quantified as the percentage of patients that continued to purchase at least one type of antidiabetic at year 2 and 3 after the date of first prescription acquisition. Association between persistence at second and third years with each of the other co-variables were verified by using the Chi-Square test and odds ratio were calculated using a regression logistic model. Results: Therapy persistence obtained was 80% and 62% for the second and third years after treatment initiation. Odd ratios for second and third years: number of different pharmacotherapeutic groups (OR = 2.167, 1.807 – 2.598, p = 0.000 / OR = 1.863, 1.621 – 2.142, p = 0.000); age (OR = 0.914, 0.772 – 1.081, p = 0.294 / OR = 0.875, 0.764 – 1.002, p = 0.054); gender (OR = 1.163, 0.983 – 1.377, p = 0.079); number of different prescribers (OR = 3.594, 3.030 – 4.262, p = 0.000 / OR = 2.167, 1.886 – 2.491, p = 0.000); institution of prescription (OR = 0.725, 0.698 – 0.753, p = 0.000 / OR = 0.683, 0.650 – 0.717, p = 0.000); pharmacotherapeutic group (OR = 1.056, 1.043 – 1.069, p = 0.000 / OR = 1.077, 1.060 – 1.095, p = 0.000); relationship with the physician (OR = 0.834, 0.816 – 0.852, p = 0.000 / OR = 0.799, 0.777 – 0.821, p = 0.000) and average cost per month and per pharmacotherapeutic group (OR = 0.954, 0.942 – 0.968, p = 0.000 / OR = 0.930, 0.914 – 0.947, p = 0.000). Conclusions: Second year therapy persistence value is slightly above of what is referenced in literature and no data was found to compare the third year value. Regarding the effect of the co-variables analysed at second and third years after treatment initiation, the results were overlapping with gender being not associated with persistence at the third year.

Essays in health economics: Volume-Outcome Effect, upcoding behaviour and the evaluation of a short-term intervention program

Evidence in the literature suggests a negative relationship between volume of medical procedures and mortality rates in the health care sector. In general, high-volume hospitals appear to achieve lower mortality rates, although considerable variation exists. However, most studies focus on US hospitals, which face different incentives than hospitals in a National Health Service (NHS). In order to add to the literature, this study aims to understand what happens in a NHS. Results reveal a statistically significant correlation between volume of procedures and better outcomes for the following medical procedures: cerebral infarction, respiratory infections, circulatory disorders with AMI, bowel procedures, cirrhosis, and hip and femur procedures. The effect is explained with the practice-makes-perfect hypothesis through static effects of scale with little evidence of learning-by-doing. The centralization of those medical procedures is recommended given that this policy would save a considerable number of lives (reduction of 12% in deaths for cerebral infarction).