Cross sectional default probabilities in european corporate bonds

This study attempts to identify basis-trading opportunities in the European banking sector by comparing two different measures for the market’s assessment of risk: market-observed CDS spreads and model-implied Z-spreads. Using a sample of 10 banks, over a period of 3 years following the European banking crisis, it can be concluded that there were arbitrage opportunities in the sector, as evidenced by the derived negative bases.

QED and relativistic corrections in superheavy elements

In this paper we review the different relativistic and QED contributions to energies, ionic radii, transition probabilities and Landé g-factors in super-heavy elements, with the help of the MultiConfiguration Dirac-Fock method (MCDF). The effects of taking into account the Breit interaction to all orders by including it in the self-consistent field process are demonstrated. State of the art radiative corrections are included in the calculation and discussed. We also study the non-relativistic limit of MCDF calculation and find that the non-relativistic offset can be unexpectedly large.

Production and decay of Sulphur excited species in a ECRIS plasma

The most important processes for the creation of S12+ to S14+ ions excited states from the ground configurations of S9+ to S14+ ions in an electron cyclotron resonance ion source, leading to the emission of K X-ray lines, are studied. Theoretical values for inner-shell excitation and ionization cross sections, including double KL and triple KLL ionization, transition probabilities and energies for the deexcitation processes, are calculated in the framework of the multi-configuration Dirac-Fock method. With reasonable assumptions about the electron energy distribution, a theoretical K$\alpha$ X-ray spectrum is obtained, which is compared to recent experimental data.

In situ measured cross section geometry of old timber structures and its influence on structural safety

Old timber structures may show significant variation in the cross section geometry along the same element, as a result of both construction methods and deterioration. As consequence, the definition of the geometric parameters in situ may be both time consuming and costly. This work presents the results of inspections carried out in different timber structures. Based on the obtained results, different simplified geometric models are proposed in order to efficiently model the geometry variations found. Probabilistic modelling techniques are also used to define safety parameters of existing timber structures, when subjected to dead and live loads, namely self-weight and wind actions. The parameters of the models have been defined as probabilistic variables, and safety of a selected case study was assessed using the Monte Carlo simulation technique. Assuming a target reliability index, a model was defined for both the residual cross section and the time dependent deterioration evolution. As a consequence, it was possible to compute probabilities of failure and reliability indices, as well as, time evolution deterioration curves for this structure. The results obtained provide a proposal for definition of the cross section geometric parameters of existing timber structures with different levels of decay, using a simplified probabilistic geometry model and considering a remaining capacity factor for the decayed areas. This model can be used for assessing the safety of the structure at present and for predicting future performance.

The impact of large-scale mortgage backed security purchases

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

Spectrum sensing through software defined radio

Dissertação apresentada para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

Utilidade da tomografia computorizada cardíaca na avaliação da doença coronária

RESUMO: Apesar de toda a evolução farmacológica e de meios complementares de diagnóstico possível nos últimos anos, o enfarte agudo do miocárdio e a morte súbita continuam a ser a primeira manifestação da aterosclerose coronária para muitos doentes, que estavam previamente assintomáticos. Os exames complementares de diagnóstico tradicionalmente usados para avaliar a presença de doença coronária, baseiam‐se na documentação de isquémia do miocárdio e por este motivo a sua positividade depende da presença de lesões coronárias obstrutivas. As lesões coronárias não obstrutivas estão também frequentemente implicadas no desenvolvimento de eventos coronários. Apesar de o risco absoluto de instabilização por placa ser superior para as lesões mais volumosas e obstrutivas, estas são menos prevalentes do que as placas não obstrutivas e assim, por questões probabilísticas, os eventos coronários resultam com frequência da rotura ou erosão destas últimas. Estudos recentes de imagiologia intracoronária avançada forneceram evidência de que apesar de ser possível identificar algumas características de vulnerabilidade em placas associadas ao desenvolvimento subsequente de eventos coronários, a sua sensibilidade e especificidade é muito baixa para aplicação clínica. Mais do que o risco associado a uma placa em particular, para o doente poderá ser mais importante o risco global da sua árvore coronária reflexo da soma das probabilidade de todas as suas lesões, sendo que quanto maior for a carga aterosclerótica maior será o seu risco. A angio TC cardíaca é a mais recente técnica de imagem não invasiva para o estudo da doença coronária e surgiu nos últimos anos fruto de importantes avanços na tecnologia de TC multidetectores. Estes avanços, permitiram uma progressiva melhoria da resolução espacial e temporal, contribuindo para a melhoria da qualidade dos exames, bem como uma significativa redução da dose de radiação. A par desta evolução tecnológica, foi aumentando a experiência e gerada mais evidência científica, tornando a angio TC cardíaca cada vez mais robusta na avaliação da doença coronária e aumentando a sua aplicabilidade clínica. Mais recentemente apareceram vários trabalhos que validaram o seu valor prognóstico, assinalando a sua chegada à idade adulta. Para além de permitir excluir a presença de doença coronária e de identificar a presença de estenoses significativas, a angio TC cardíaca permite identificar a presença de lesões coronárias não obstrutivas, característica impar desta técnica como modalidade de imagem não invasiva. Ao permitir identificar a totalidade das lesões ateroscleróticas (obstrutivas e não obstrutivas), a 18 angio TC cardíaca poderá fornecer uma quantificação da carga aterosclerótica coronária total, podendo essa identificação ser útil na estratificação dos indivíduos em risco de eventos coronários. Neste trabalho foi possível identificar preditores demográficos e clínicos de uma elevada carga aterosclerótica coronária documentada pela angioTC cardíaca, embora o seu poder discriminativo tenha sido relativamente modesto, mesmo quando agrupados em scores clínicos. Entre os vários scores, o desempenho foi um pouco melhor para o score de risco cardiovascular Heartscore. Estas limitações espelham a dificuldade de prever apenas com base em variáveis clínicas, mesmo quando agrupadas em scores, a presença e extensão da doença coronária. Um dos factores de risco clássicos, a obesidade, parece ter uma relação paradoxal com a carga aterosclerótica, o que pode justificar algumas limitações da estimativa com base em scores clínicos. A diabetes mellitus, por outro lado, foi um dos preditores clínicos mais importantes, funcionando como modelo de doença coronária mais avançada, útil para avaliar o desempenho dos diferentes índices de carga aterosclerótica. Dada a elevada prevalência de placas ateroscleróticas identificáveis por angio TC na árvore coronária, torna-‐se importante desenvolver ferramentas que permitam quantificar a carga aterosclerótica e assim identificar os indivíduos que poderão eventualmente beneficiar de medidas de prevenção mais intensivas. Com este objectivo, foi desenvolvido um índice de carga aterosclerótica que reúne a informação global acerca da localização, do grau de estenose e do tipo de placa, obtida pela angio TC cardíaca, o CT--‐LeSc. Este score poderá vir a ser uma ferramenta útil para quantificação da carga aterosclerótica coronária, sendo de esperar que possa traduzir a informação prognóstica da angio TC cardíaca. Por fim, o conceito de árvore coronária vulnerável poderá ser mais importante do que o da placa vulnerável e a sua identificação pela angio TC cardíaca poderá ser importante numa estratégia de prevenção mais avançada. Esta poderá permitir personalizar as medidas de prevenção primária, doseando melhor a sua intensidade em função da carga aterosclerótica, podendo esta vir a constituir uma das mais importantes indicações da angio TC cardíaca no futuro.---------------- ABSTRACT Despite the significant advances made possible in recent years in the field of pharmacology and diagnostic tests, acute yocardial infarction and sudden cardiac death remain the first manifestation of coronary atherosclerosis in a significant proportion of patients, as many were previously asymptomatic. Traditionally, the diagnostic exams employed for the evaluation of possible coronary artery disease are based on the documentation of myocardial ischemia and, in this way, they are linked to the presence of obstructive coronary stenosis. Nonobstructive coronary lesions are also frequently involved in the development of coronary events. Although the absolute risk of becoming unstable per plaque is higher for more obstructive and higher burden plaques, these are much less frequent than nonobstructive lesions and therefore, in terms of probability for the patient, coronary events are often the result of rupture or erosion of the latter ones. Recent advanced intracoronary imaging studies provided evidence that although it is possible to identify some features of vulnerability in plaques associated with subsequente development of coronary events, the sensitivity and sensibility are very limited for clinical application. More important than the individual risk associated with a certain plaque, for the patient it might be more important the global risk of the total coronary tree, as reflected by the sum of the diferent probabilities of all the lesions, since the higher the coronary Atherosclerotic burden, the higher the risk for the patient. Cardiac CT or Coronary CT angiography is still a young modality. It is the most recente noninvasive imaging modality in the study of coronary artery disease and its development was possible due to important advances in multidetector CT technology. These allowed significant improvements in temporal and spatial resolution, leading to better image quality and also some impressive reductions in radiation dose. At the same time, the increasing experience with this technique lead to a growing body of scientific evidence, making cardiac CT a robust imaging tool for the evaluation of coronary artery disease and increased its clinical indications. More recently, several publications documented its prognostic value, marking the transition of cardiac CT to adulthood. Besides being able to exclude the presence of coronary artery disease and of obstructive lesions, Cardiac CT allows also the identification of nonobstructive lesions, making this a unique tool in the field of noninvasive imaging modalities. By evaluating both obstructive and nonobstructive lesions, cardiac CT can provide for the quantification of total coronary atherosclerotic burden, and this can be useful to stratify the risk of future coronary events. In the present work, it was possible to identify significant demographic and clinical predictors of a high coronary atherosclerotic burden as assessed by cardiac CT, but with modest odds ratios, even when the individual variables were gathered in clinical scores. Among these diferent clinical scores, the performance was better for the Heartscore, a cardiovascular risk score. This modest performance underline the limitations on predicting the presence and severity of coronary disease based only on clinical variables, even when optimized together in risk scores, One of the classical risk factors, obesity, had in fact a paradoxical relation with coronary atherosclerotic burden and might explain some of the limitations of the clinical models. On the opposite, diabetes mellitus was one of the strongest clinical predictors, and was considered to be a model of more advanced coronary disease, useful to evaluate the performance of diferent plaque burden scores. In face of the high prevalence of plaques that can be identified in the coronary tree of patients undergoing cardiac CT, it is of utmost importance to develop tools to quantify the total coronary atherosclerotic burden providing the identification of patients that could eventually benefit from more intensive preventive measures. This was the rational for the development of a coronary atherosclerotic burden score, reflecting the comprehensive information on localization, degree of stenosis and plaque composition provided by cardiac CT – the CT-LeSc. This score may become a useful tool to quantify total coronary atherosclerotic burden and is expected to convey the strong prognostic information of cardiac CT. Lastly, the concept of vulnerable coronary tree might become more important than the concept of the vulnerable plaque and his assessment by cardiac CT Might become important in a more advance primary prevention strategy. This Could lead to a more custom-made primary prevention, tailoring the intensity of preventive measures to the atherosclerotic burden and this might become one of the most important indications of cardiac CT In the near future.

Probabilistic constraint reasoning with Monte Carlo integration to robot localization

This work studies the combination of safe and probabilistic reasoning through the hybridization of Monte Carlo integration techniques with continuous constraint programming. In continuous constraint programming there are variables ranging over continuous domains (represented as intervals) together with constraints over them (relations between variables) and the goal is to find values for those variables that satisfy all the constraints (consistent scenarios). Constraint programming “branch-and-prune” algorithms produce safe enclosures of all consistent scenarios. Special proposed algorithms for probabilistic constraint reasoning compute the probability of sets of consistent scenarios which imply the calculation of an integral over these sets (quadrature). In this work we propose to extend the “branch-and-prune” algorithms with Monte Carlo integration techniques to compute such probabilities. This approach can be useful in robotics for localization problems. Traditional approaches are based on probabilistic techniques that search the most likely scenario, which may not satisfy the model constraints. We show how to apply our approach in order to cope with this problem and provide functionality in real time.

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

Essays on bounded rationality: Individual decision and strategic interaction

Economics is a social science which, therefore, focuses on people and on the decisions they make, be it in an individual context, or in group situations. It studies human choices, in face of needs to be fulfilled, and a limited amount of resources to fulfill them. For a long time, there was a convergence between the normative and positive views of human behavior, in that the ideal and predicted decisions of agents in economic models were entangled in one single concept. That is, it was assumed that the best that could be done in each situation was exactly the choice that would prevail. Or, at least, that the facts that economics needed to explain could be understood in the light of models in which individual agents act as if they are able to make ideal decisions. However, in the last decades, the complexity of the environment in which economic decisions are made and the limits on the ability of agents to deal with it have been recognized, and incorporated into models of decision making in what came to be known as the bounded rationality paradigm. This was triggered by the incapacity of the unboundedly rationality paradigm to explain observed phenomena and behavior. This thesis contributes to the literature in three different ways. Chapter 1 is a survey on bounded rationality, which gathers and organizes the contributions to the field since Simon (1955) first recognized the necessity to account for the limits on human rationality. The focus of the survey is on theoretical work rather than the experimental literature which presents evidence of actual behavior that differs from what classic rationality predicts. The general framework is as follows. Given a set of exogenous variables, the economic agent needs to choose an element from the choice set that is avail- able to him, in order to optimize the expected value of an objective function (assuming his preferences are representable by such a function). If this problem is too complex for the agent to deal with, one or more of its elements is simplified. Each bounded rationality theory is categorized according to the most relevant element it simplifes. Chapter 2 proposes a novel theory of bounded rationality. Much in the same fashion as Conlisk (1980) and Gabaix (2014), we assume that thinking is costly in the sense that agents have to pay a cost for performing mental operations. In our model, if they choose not to think, such cost is avoided, but they are left with a single alternative, labeled the default choice. We exemplify the idea with a very simple model of consumer choice and identify the concept of isofin curves, i.e., sets of default choices which generate the same utility net of thinking cost. Then, we apply the idea to a linear symmetric Cournot duopoly, in which the default choice can be interpreted as the most natural quantity to be produced in the market. We find that, as the thinking cost increases, the number of firms thinking in equilibrium decreases. More interestingly, for intermediate levels of thinking cost, an equilibrium in which one of the firms chooses the default quantity and the other best responds to it exists, generating asymmetric choices in a symmetric model. Our model is able to explain well-known regularities identified in the Cournot experimental literature, such as the adoption of different strategies by players (Huck et al. , 1999), the inter temporal rigidity of choices (Bosch-Dom enech & Vriend, 2003) and the dispersion of quantities in the context of di cult decision making (Bosch-Dom enech & Vriend, 2003). Chapter 3 applies a model of bounded rationality in a game-theoretic set- ting to the well-known turnout paradox in large elections, pivotal probabilities vanish very quickly and no one should vote, in sharp contrast with the ob- served high levels of turnout. Inspired by the concept of rhizomatic thinking, introduced by Bravo-Furtado & Côrte-Real (2009a), we assume that each per- son is self-delusional in the sense that, when making a decision, she believes that a fraction of the people who support the same party decides alike, even if no communication is established between them. This kind of belief simplifies the decision of the agent, as it reduces the number of players he believes to be playing against { it is thus a bounded rationality approach. Studying a two-party first-past-the-post election with a continuum of self-delusional agents, we show that the turnout rate is positive in all the possible equilibria, and that it can be as high as 100%. The game displays multiple equilibria, at least one of which entails a victory of the bigger party. The smaller one may also win, provided its relative size is not too small; more self-delusional voters in the minority party decreases this threshold size. Our model is able to explain some empirical facts, such as the possibility that a close election leads to low turnout (Geys, 2006), a lower margin of victory when turnout is higher (Geys, 2006) and high turnout rates favoring the minority (Bernhagen & Marsh, 1997).

Chesney's: Growing through product expansion

Chesney’s: Growing Through Product Expansion The purpose of this work project is to have a better understanding about how to proceed when a company is challenged by new options to grow and thrive. It aims to decode the next direction of Chesney’s Ltd, a United Kingdom leading company in luxurious replicas of antique fireplaces, wood burning stoves and other architectural pieces. The work project relies on the concepts of strategy, innovation and design thinking in order to encourage dynamic activities within the company. Chesney’s continuously tries to improve and innovate and this work project will assess whether the possible options have strategic fit with the purpose of the company and consequently, create an introduction plan for the opportunity that shows higher probabilities of becoming successful.