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

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

The Nagasaki-Macao Trade between 1612 and 1618: Carlo Spinola S.J. Procurator of Japan

A nossa dissertação tem como objetivo analisar os compromissos e as obrigações do procurador da Companhia de Jesus no Japão durante os anos em que Carlo Spinola foi escolhido para ocupar tal posição, a segunda em ordem de importância, conforme o jesuíta italiano Francesco Pasio. O ofício de procurador era uma das posições que levavam os missionários da Companhia a lidar diretamente com as autoridades japonesas em Nagasáqui, uma vez que cabia ao procurador receber, verificar e distribuir os bens pertencentes à missão e que eram carregados no navio português de Macau. Além disso, o procurador, juntamente com outros padres superiores, tinha também incumbidas tarefas políticas relativas ao capitão-mor e aos Portugueses no Japão. Spinola assumiu o cargo quando o bakufu começou a mudar a sua atitude em relação à Igreja de Roma, devido a várias causas que, em parte, envolviam também a Companhia de Jesus, com conseqüências negativas para a missão. Para fornecer uma compreensão profunda deste cargo, propomos uma comparação entre o procuradorado de Spinola e outros procuradores no Japão, tendo escolhido em particular o caso do Português João Rodrigues Tçuzu. Além disso, uma vez que o Japão era um caso particular dentro do Padroado Português, parece-nos pertinente efectuar outra comparação e apresentar também o caso - embora mais conciso - do procurador da província brasileira da Companhia de Jesus. Através deste estudo de casos, tentaremos definir o procurador, tanto do ponto de vista prático - ou seja, os seus deveres, os seus compromissos e os seus recursos – como de uma perspectiva moral e filosófica – olhando para a literatura canônica produzida desde os primeiros tempos da Igreja Cristã. Até agora, a históriografia sobre e de autoria jesuítica apenas aborda o cargo de procurador de forma marginal. O nosso trabalho vai preencher essa lacuna. Além disso, o estudo do papel do procurador permite-nos, inevitavelmente, uma melhor compreensão dos mecanismos de participação da Companhia de Jesus no comércio entre Macau e Nagasáqui, desde o seu início – selado por Alessandro Valignano – até ao seu fim – contemporâneo do término do procuradorado de Spínola.

Firms survival and international trade: The impact of exports and imports

Double Degree. A Work Project presented as part of the requirements for the Award of a Masters in Management from Nova School of Business and Economics and Maastricht University.

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.

Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

Drilling deeper: Understanding trade in Angola

The present study analyzes Angola’s trading partners from 2005 to 2015 in order to understand the main drivers of Exports and Imports growth. Departing from a gravity model, foreign GDP growth and real exchange rate fluctuations were interpreted as demand and supply disturbances on Exports. While nominal and real exports both increase with demand expansions, they react differently to supply shocks. Imports are growing at the same rate as Angola’s economy while exchange rate fluctuations capture the wealth effect of Oil price in the economy.

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

Comparative analysis of Spanish Banks’ Standalone credit profile

The paper studies the relationship between four differently rated bank’s financial profile and their standalone credit rating issued by Moody’s. The comparative analysis shows an example that despite their pricing power and geographical coverage, larger banks do not necessarily have better credit ratings. Instead, business model and risk appetite seem to be the defining factors of banks’ vulnerability to shocks, such as the Spanish real estate crisis. The risk-return relationship is also identified in the banks’ fundamentals meaning that while expansionary strategy in riskier asset classes enhances margins, it also potentially distorts the credit risk profile.

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

A new credit monitoring framework for agents' networks

The purpose of this work is to develop a practicable approach for Telecom firms to manage the credit risk exposition to their commercial agents’ network. Particularly it will try to approach the problem of credit concession to clients’ from a corporation perspective and explore the particular scenario of agents that are part of the commercial chain of the corporation and therefore are not end-users. The agents’ network that served as a model for the presented study is composed by companies that, at the same time, are both clients and suppliers of the Telecommunication Company. In that sense the credit exposition analysis must took into consideration all financial fluxes, both inbound and outbound. The current strain on the Financial Sector in Portugal, and other peripheral European economies, combined with the high leverage situation of most companies, generates an environment prone to credit default risk. Due to these circumstances managing credit risk exposure is becoming increasingly a critical function for every company Financial Department. The approach designed in the current study combined two traditional risk monitoring tools: credit risk scoring and credit limitation policies. The objective was to design a new credit monitoring framework that is more flexible, uses both external and internal relationship history to assess risk and takes into consideration commercial objectives inside the agents’ network. Although not explored at length, the blueprint of a Credit Governance model was created for implementing the new credit monitoring framework inside the telecom firm. The Telecom Company that served as a model for the present work decided to implement the new Credit Monitoring framework after this was presented to its Executive Commission.

The emergence of product certification systems as trade barriers

This paper addresses the growing difficulties automobile manufacturers face within their after sales business: an increasing number of trade obstacles set up by import countries discriminates against the foreign suppliers and impedes the international sales of genuine parts. The purpose of the study is to explore the emergence of trade restrictive product certification systems, which affect spare parts exports of automobile manufacturers. The methodology used includes review of the literature and an empirical study based on qualitative interviews with representatives of major stakeholders of the automotive after sales business. Relevant key drivers, which initiate the introduction of technical regulations in importing countries, are identified and analysed to evaluate their effect on the emerging trade policy. The analysis of the key drivers outlines that several interacting components, such as the global competitiveness of the country, macroeconomic and microeconomic factors, and certain country-specific variables induce trade restrictive product certification systems. The findings allow for an early detection of the emergence of product certification systems and provide a means to early recognise the risks and opportunities for the sales of automotive spare parts in the automakers’ target markets. This allows the manufacturers to react immediately and adapt in time to the upcoming changes.