What is the value of value-at-risk after all?: A conditional approach using quantile regressions

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

Health care needs and resources distribution: How to allocate financial resources in primary care trust?

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

Bond fund runs: The financial crisis case

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

Double coverage and demand for health care: Evidence from quantile regression

An individual experiences double coverage when he bene ts from more than one health insurance plan at the same time. This paper examines the impact of such supplementary insurance on the demand for health care services. Its novelty is that within the context of count data modelling and without imposing restrictive parametric assumptions, the analysis is carried out for di¤erent points of the conditional distribution, not only for its mean location. Results indicate that moral hazard is present across the whole outcome distribution for both public and private second layers of health insurance coverage but with greater magnitude in the latter group. By looking at di¤erent points we unveil that stronger double coverage e¤ects are smaller for high levels of usage. We use data for Portugal, taking advantage of particular features of the public and private protection schemes on top of the statutory National Health Service. By exploring the last Portuguese Health Survey, we were able to evaluate their impacts on the consumption of doctor visi

Determinants of host country for the financial subsidiaries of Portuguese companies

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

Time series morphological analysis applied to biomedical signals events detection

Dissertation submitted in the fufillment of the requirements for the Degree of Master in Biomedical Engineering

Determinants of export diversification and sophistication in sub-saharan Africa

This paper studies the political and economic factors that determine successful export diversification (ED) and export sophistication (ES) strategies in the Sub-Saharan African (SSA) countries and also the way in which successful ED and sophistication strategies contribute to explain the improving in some of the millennium development goals (MDG). We run separate regressions for the determinants of ES and ED, using disaggregated data of the 48 SSA countries, from 1960 to 2005. The results suggest that better governance is an important determinant for the success of diversification and sophistication strategies in SSA. In particular the level of corruption, transparency and accountability are important factors in limiting or promoting the scope of diversification and the level of sophistication of the exports. The results also suggest that increases in human capital in SSA countries promote both ED and ES, showing that the level of education of the workforce is positively related with ES and ED, with higher levels of education (tertiary) playing a more important role in explaining ES, while lower levels of education (primary) being more important as determinants of ED. In the second part we explore the links between ED and ES and growth presenting evidence that ED and ES are linked to growth stability in SSA. This study also suggests that the Sub-Saharan countries that were more successful in achieving ED and ES tend to be more successful in improving the living conditions of their population. Using different variables of Infant Mortality (one of the MDG) and life expectancy as dependent variables, we present evidence that suggests that in SSA higher ED and ES are associated with lower infant mortality and higher life expectancy. We show that this result is robust, presenting positive and significant results even when a large number of different control variables are introduced, or when fixed effects and instrumental variables are considered. The evidence suggests that ED and ES are part of the solution for a successful development of SSA.

Desigualdades socioeconómicas em saúde : 1987-2006 : estudo com base nos inquéritos nacionais de saúde

RESUMO - Introdução: Apesar do investimento para garantir universalidade nos cuidados de saúde, estudos em vários países mostram o aumento das desigualdades socioeconómicas em saúde. Este estudo analisa estas desigualdades e a sua evolução em Portugal entre 1987 e 2006. Metodologia: Utilizou-se os dados dos quatro Inquéritos Nacionais de Saúde (INS) elaborados até hoje excluindo as pessoas com menos de 35 anos (INS87 – 12126 casos; INS95- 15795 casos; INS98/9- 11726 casos; INS 05/6- 11318 casos). Foram analisados cinco indicadores de saúde (hipertensão, diabetes, asma, bronquite e má saúde autoreportada). O estatuto socioeconómico foi medido pela educação e rendimento. As diferenças entre escalões mediram-se pelos Odds Ratio (OR) obtidos através de regressões logísticas multivariadas. As variáveis de ajustamento utilizadas foram: idade, tabagismo, obesidade e possuir um seguro de saúde. Os resultados foram analisados separadamente por sexo. Resultados: Para todos os indicadores e inquéritos observou-se uma prevalência inferior nos grupos de educação e rendimento mais elevados (OR entre 0,155 e 0,877). No entanto, as desigualdades não foram significativas para o rendimento no caso da hipertensão, diabetes e bronquite, no sexo masculino e em todos os inquéritos. Na educação verifica-se uma diminuição das desigualdades ao longo do tempo na hipertensão, diabetes e Má Saúde, no sexo masculino; no caso do rendimento observa-se o mesmo para a diabetes, asma e Má saúde, no sexo feminino. Discussão: Confirma-se a existência de desigualdades socioeconómicas no estado de saúde favorecendo os escalões mais elevados. A diminuição das desigualdades na maioria dos indicadores analisados contraria a evidência recente.

Corruption and Education: Empirical evidence from cross-country micro-data

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

Positive solutions to find a job: Cultural mismatches between companies and employees

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

Desigualdades socioeconómicas no tabagismo em jovens dos 15 aos 17 anos : estudo SILNE

RESUMO - As desigualdades em saúde estão relacionadas com as condições em que as pessoas se desenvolvem. Estas condições podem ser afetadas, principalmente, por diferenças de rendimento, background socioeconómico, educação e estilos de vida. A adolescência é um período de mudança em que os jovens podem experienciar comportamentos de risco que podem prevalecer na idade adulta. Uma posição socioeconómica inferior, do adolescente, pode estar associada a um aumento na prevalência de consumo de tabaco. Este trabalho tem como objetivo: verificar a associação entre estatuto socioeconómico e consumo de tabaco nos adolescentes em Portugal. Utilizaram-se dados colhidos por questionário, em Abril e Outubro de 2013 na cidade de Coimbra. O questionário insere-se no projeto europeu SILNE. Para avaliar o estatuto socioeconómico foram analisadas cinco variáveis: Family Affluence Scale, privação material, posição social subjetiva, semanada, educação e emprego dos pais. Para estratificar o comportamento do fumador foram desenvolvidas três variáveis: não fumador, experimenter e fumador regular. A análise foi separada por sexo. Constata-se que as raparigas fumam, em média, menos que os rapazes (F =17.1%; M =22.1%). Concluímos que o estatuto socioeconómico, avaliado pela Family Affluence Scale, posição social subjetiva, privação material, educação e emprego dos pais não têm impacto no consumo de tabaco no adolescente. As desigualdades socioeconómicas no consumo de tabaco nos adolescentes estão sim, relacionadas com o próprio estatuto socioeconómico do adolescente, traduzido pela semanada que este recebe. Foi encontrado no desempenho escolar um efeito mediador entre desigualdades socioeconómicas e consumo de tabaco na adolescência.

The determinants of Foreign Direct Investments attraction in Portugal and Spain: A comparative analysis

Double Degree. A Work Project presented as part of the requirements for the Award of a Master Degree in Management from the NOVA – School of Business and Economics and a Master Degree in Business Engineering from Louvain School of Management

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

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.

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.