Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

The simple economics of risk-sharing agreements between the NHS and the pharmaceutical industry

The Janssen-Cilag proposal for a risk-sharing agreement regarding bortezomib received a welcome signal from NICE. The Office of Fair Trading report included risk-sharing agreements as an available tool for the National Health Service. Nonetheless, recent discussions have somewhat neglected the economic fundamentals underlying risk-sharing agreements. We argue here that risk-sharing agreements, although attractive due to the principle of paying by results, also entail risks. Too many patients may be put under treatment even with a low success probability. Prices are likely to be adjusted upward, in anticipation of future risk-sharing agreements between the pharmaceutical company and the third-party payer. An available instrument is a verification cost per patient treated, which allows obtaining the first-best allocation of patients to the new treatment, under the risk sharing agreement. Overall, the welfare effects of risk-sharing agreements are ambiguous, and care must be taken with their use.

Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

New evidence of shared dinosaur across upper jurassic proto-North Atlantic: stegosaurus from Portugal

Naturwissenschaften 94,367–374

Robustness of timber structures in seismic areas

Some of the properties sought in seismic design of buildings are also considered fundamental to guarantee structural robustness. Moreover, some key concepts are common to both seismic and robustness design. In fact, both analyses consider events with a very small probability of occurrence, and consequently, a significant level of damage is admissible. As very rare events,in both cases, the actions are extremely hard to quantify. The acceptance of limited damage requires a system based analysis of structures, rather than an element by element methodology, as employed for other load cases. As for robustness analysis, in seismic design the main objective is to guarantee that the structure survives an earthquake, without extensive damage. In the case of seismic design, this is achieved by guaranteeing the dissipation of energy through plastic hinges distributed in the structure. For this to be possible, some key properties must be assured, in particular ductility and redundancy. The same properties could be fundamental in robustness design, as a structure can only sustain significant damage if capable of distributing stresses to parts of the structure unaffected by the triggering event. Timber is often used for primary load‐bearing elements in single storey long‐span structures for public buildings and arenas, where severe consequences can be expected if one or more of the primary load bearing elements fail. The structural system used for these structures consists of main frames, secondary elements and bracing elements. The main frame, composed by columns and beams, can be seen as key elements in the system and should be designed with high safety against failure and under strict quality control. The main frames may sometimes be designed with moment resisting joints between columns and beams. Scenarios, where one or more of these key elements, fail should be considered at least for high consequence buildings. Two alternative strategies may be applied: isolation of collapsing sections and, provision of alternate load paths [1]. The first one is relatively straightforward to provide by deliberately designing the secondary structural system less strong and stiff. Alternatively, the secondary structural system and the bracing system can be design so that loss of capacity in the main frame does not lead to the collapse. A case study has been selected aiming to assess the consequences of these two different strategies, in particular, under seismic loads.

Spatio-temporal analyses of the relationship between armed conflict and climate change in the eastern Africa

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

The use of technology in Portuguese hospitals: The case of MRI

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

Impact of health conditions on absenteeism from work

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

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

An application of reliability-based robustness assessment of steel moment resisting frame structures under post-mainshock cascading events

The paper presented herein proposes a reliability-based framework for quantifying the structural robustness considering the occurrence of a major earthquake (mainshock) and subsequent cascading hazard events, such as aftershocks that are triggered by the mainshock. These events can significantly increase the probability of failure of buildings, especially for structures that are damaged during the mainshock. The application of the proposed framework is exemplified through three numerical case studies. The case studies correspond to three SAC steel moment frame buildings of 3-, 9-, and 20- stories, which were designed to pre-Northridge codes and standards. Twodimensional nonlinear finite element models of the buildings are developed using the Open System for Earthquake Engineering Simulation framework (OpenSees), using a finite-length plastic hinge beam model and a bilinear constitutive law with deterioration, and are subjected to multiple mainshock-aftershock seismic sequences. For the three buildings analyzed herein, it is shown that the structural reliability under a single seismic event can be significantly different from that under a sequence of seismic events. The reliability-based robustness indicator used shows that the structural robustness is influenced by the extent by which a structure can distribute damage.

Potential of CPV receivers integrating screen-printed solar cells

Dissertação para obtenção do Grau de Mestre em Energias Renováveis – Conversão Eléctrica e Utilização Sustentável

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

Earthen plasters: the potential of the clayey soils of barrocal region in Algarve

Due to their high adsorption capacity of water vapor, earthen plasters can act as a moisture buffer, contributing to balance the relative humidity of the indoor environment of buildings. As a consequence of this capacity earthen plasters may also contribute to the perception of thermal comfort, since a high relative humidity increases the thermal conductivity of air and restricts skin evaporation, increasing the discomfort associated with the perception of heat or cold. Simultaneously, earthen plasters may also contribute to the indoor air quality. In one hand, by mitigating health problems of the respiratory system associated with indoor environment with high relative humidity, in which increases the risk of development of microorganisms usually responsible for infections, allergies or asthma. In the other hand, by mitigating the probability of inflammation of the respiratory system airways associated to exceedingly dry indoor environments. Therefore it also becomes expectable that earthen plasters may contribute for reducing the needs for air conditioning and mechanical ventilation in buildings and, thereby, also allowing the reduction of the associated energy consumption. The «Barrocal» region, located in the sedimentary basin of Algarve, South Portugal, presents geomorphological characteristics that promote the occurrence of soils with a clay mineralogy dominated by illite, which is a clay mineral characterized by a high adsorption capacity of water vapor and low expansibility. This fact turns expectable that these soils have a high potential for interior plastering. In order to evaluate this potential four mortars were formulated with an increasing content of clayey soil extracted from a selected clay quarry from «Barrocal» region. The results from the preliminary characterization campaign confirmed the reduced linear shrinkage of these mortars, as well as their high adsorption-desorption capacity, that is positively correlated with the content of clayey soil present in mortar formulation. However, the mechanical tests showed that the mechanical resistance of these mortars should be improved, for instance through the addition of natural fibers for reinforcement, which will be investigated in future research. This research contributed to increase certainty regarding the potential of clayey soils of the «Barrocal» sub-region of Algarve to produce mortars suitable for eco-efficient interior plastering.

The Impact of income support programs on transitions to employment

The income support programs are created with the purpose of fighting both, the poverty trap and the inactivity trap. The balance between both is fragile and hard to find. Thus, the goal of this work is to contribute to solve this issue by finding how income support programs, particularly the Portuguese RSI, affect transitions to employment. This is made through duration analysis, namely using Cox and Competing Risks models. A particular feature is introduced in this work as it incorporates the possibility of Defective Risks. The estimated hazard elasticity with respect to the amount of RSI received for individuals who move to employment is -0,41. More than a half of RSI receivers stays for more than a year and the probability of never leaving to employment is 44%. The results appear to indicate that RSI has affected negatively transitions to employment.