Portuguese average cost of capital

The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term risk-free rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union.

R&D spillovers in an endogenous growth model with physical capital, human capital and varieties

There is a family of models with Physical, Human capital and R&D for which convergence properties have been discussed (Arnold, 2000a; Gómez, 2005). However, spillovers in R&D have been ignored in this context. We introduce spillovers in this model and derive its steady-state and stability properties. This new feature implies that the model is characterized by a system of four differential equations. A unique Balanced Growth Path along with a two dimensional stable manifold are obtained under simple and reasonable conditions. Transition is oscillatory toward the steady-state for plausible values of parameters.

Bank capital and stock performance around the subprime lending risis

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

Absorption in human capital and r&d effects in an endogenous growth model

Until now, in models of endogenous growth with physical capital, human capital and R&D such as in Arnold [Journal of Macroeconomics 20 (1998)] and followers, steady-state growth is independent of innovation activities. We introduce absorption in human capital accumulation and describe the steady-state and transition of the model. We show that this new feature provides an effect of R&D in growth, consumption and welfare. We compare the quantitative effects of R&D productivity with the quantitative effects of Human Capital productivity in wealth and welfare.

Almirante: Evaluating the board game: Board game, startup, discounted cash flow, venture capital method, real options

This thesis evaluates a start-up company (Jogos Almirante Lda) whose single asset is a board game named Almirante. It aims to conclude whether it makes sense to create a company or just earn copyrights. The thesis analyzes the board game’s market, as part of the general toy’s market, from which some data exists: European countries as well as the USA. In this work it is analyzed the several ways to finance a start-up company and then present an overview of the valuation of the Jogos Almirante based on three different methods: Discounted Cash Flow, Venture Capital Method and Real Options.

The spin-off of Sonae Capital

The purpose of this project is to study the spin-off of Sonae Capital, which took place in January 2008. Taking the form of a case study, this project is divided between the case narrative and a teaching note. I study the background and motivation of the transaction, along with its outcome. With the available information at the time of the case, I value Sonae Capital at the date of the spin-off and describe a possible trading strategy involving both the spun-off and the demerged companies. Finally, I conclude that the transaction was more beneficial for the parent company, Sonae SGPS, and that it did not follow the typical outperformance pattern observed in other spin-offs.

Performance analysis of an SRI screen based on employment quality in high and low capital industries: International evidence

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 and Maastricht University School of Business and Economics

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.

Ideação suicida : A influência da vinculação e do bem-estar psicológico

Dissertação de Mestrado apresentada ao ISPA - Instituto Universitário

Basel III new capital requirements, impacts and bank behavior

For some years, researchers could not find a clear effect of capital adequacy on the risk profile of banks, as shareholders could increase the riskiness of the assets (qualitative effect), crowding-out the effect of reduced leverage (volume effect). Some shareholders might have the will to increase the riskiness of the assets, but they may lack the power to do so. Considering only ”powerful” shareholders, definitive conclusions were drawn but with constant ownership profile. In this paper I investigate whether there is a significant change in the type of shareholders in response to regulatory capital shocks and, if so, will the banking system be in the hands of more “desired” shareholders. I find that ownership profile responds to a regulatory shock, changing the risk appetite of the ruling power at the bank. I find more banks and the government in the ownership of undercapitalised banks and much less institutional shareholders and free float. I claim that these new shareholders may not the desired ones, given the objective of the regulatory change, as they are associated with a preference for more leverage. One possible explanation for this crowding-out effect is that regulators are trying to contain idiosyncratic risk (more linked to the riskiness of the assets) with a rule that contains systematic risk (capital adequacy). This has a distorting effect on ownership. Another insight can be drawn from the tests: supervisors should be aware of significant ownership movements that cause the crowding-out.

Congenital and maternal syphilis in the capital of Brazil

INTRODUCTION: ​This study aimed to describe the epidemiology of congenital and maternal syphilis in the Brazilian Federal District in 2010. ​ METHODS: ​A retrospective descriptive study was conducted on the basis of the cases recorded in the System of Notifiable Disease Information. RESULTS: ​The study population comprised 133 cases of congenital syphilis; of these, 116 (52.6%) mothers received prenatal care, and 70 (60.4%) were diagnosed with syphilis during pregnancy. Only 1 mother was adequately treated, and 100 (75.2%) of the pregnant women's partners did not undergo treatment for syphilis. ​ CONCLUSIONS: Although mothers attended prenatal care, not all were diagnosed during pregnancy or received adequate treatment for syphilis, as their partners did not undergo treatment for syphilis.

Capital requirements and loan market conditions insight into Portuguese Banking system (2004-2011)

Capital Requirements have been gaining importance in the current macroeconomic and financial environment and Portugal is no exception. Nonetheless, despite the several media articles on this subject, the associations with Loan Market Conditions, namely availability and pricing are still unstudied. Thus, this project adds to the existing literature a characterization of Portuguese four biggest banks on capital reporting and requirements fulfillment. It is concluded that banks under analysis need to increase capital and that there is an association between the variables under study: Share Capital is negatively correlated with Credit Volume, and it is positively correlated with Net Commercial Income.

O impacto nos requisitos de capital de uma seguradora através da implementação de uma nova politica de resseguro

Neste projeto pretende-se explicar qual a importância que uma política de resseguro, adotada por uma empresa de seguros, no contexto do Solvência II. O desenvolvimento dessa política pretenderá ajudar a Seguradora a escolher os parâmetros contratuais de resseguro mais favoráveis à empresa, assim como definir quantos e por quais Resseguradores deverá optar nos tratados de resseguro, procurando criar uma nova política de resseguro que tenha um impato diminuto nos riscos de subscrição e de contraparte, ao mesmo tempo que garanta um retorno adequado para Companhia. A escolha das melhores soluções de resseguro serão efetuadas tendo em conta o menor custo na sua contratação e a otimização nos requisitos de capital face à necessidade de subscrição de novos negócios. Será neste ponto que se irá abordar o efeito que o risco de subscrição terá nos requisitos de capital através da criação de cenários, que terão por base a alteração de vários parâmetros. Esta análise mais específica será efetuada pela primeira vez nesta Seguradora. Os cenários criados terão em vista vários aspetos para a Seguradora, desde a otimização do custo de resseguro ao crescimento da sua carteira face ao seu apetite ao risco, através da alteração nos seus tratados de resseguro, mais especificamente nos seus parâmetros. Estas novas alterações pretendem ter impato mais favorável na sua margem de solvência face às anteriores políticas de resseguro implementadas. Em suma, pretende-se desenvolver uma nova política de resseguro que ajude a Seguradora a otimizar os seus riscos de subscrição e de contraparte, tendo em conta as análises e conclusões identificadas por cada cenário e determinar qual será o efeito nos requisitos de capital no âmbito do Solvência II.

O tempo da ruptura do mundo: "Antropoceno" e capital

A emergência do conceito Antropoceno, uma nova proposta de periodização geológica que coloca o “humano” enquanto referente causal do aquecimento global, suscita múltiplos campos de problematização. No centro da hipótese estão entendimentos particulares do “humano” e da “natureza” que são dispostos enquanto pressupostos de uma estrutura de medidas e considerações económicas, sociais e políticas. O processo de validação científica do termo assenta numa argumentação que, de modo paralelo, estabelece uma ontologia dos elementos em jogo e separa dela as questões do impacto transformativo do capital, identificando os seus modos, processos e elementos com a própria “natureza humana”. A par da emergência do conceito Antropoceno surgiram também perspectivas críticas que referem explicitamente as limitações dos pressupostos históricos, económicos e políticos que lhe servem de base: o capitaloceno, o aceleracionismo e a comunização. Procuramos ver de que modo estes campos críticos e teóricos interrogam não apenas as problemáticas da periodização geológica e ambiental mas também as aporias do seu tempo. A pesquisa é concluída com a sugestão de que questões políticas, subjectivas e técnicas saem reformuladas pelas problemáticas abordadas.

Basel III: The impact of new capital requirements on profitability of Portuguese Banks

This empirical study aims to explore the impact of increased capital ratio requirements, on the ROE of the Portuguese banking sector. The paper employs both a quantitative- and qualitative approach, with the qualitative approach as the main method of research. The method adopted to conduct the qualitative research was semi structured elite interviews with banking executives. Higher capital requirements decrease the ROE of banks in Portugal, but huge impairments charges, macroeconomic factors and increased costs of deposits are clearly the dominant reasons for the reduced levels of ROE the past years. Among the measures taken to increase capital ratios, reduction of RWAs and non-core assets have been the main focus, but the issuance of CoCos is regarded as the most expensive measure due to high interest payments. However, the CoCos will not have any effect on the ROE in the long term. It is difficult to draw any conclusions on the impact of more equity in the balance sheet on the ROE of Portuguese banks, as many banks currently don’t generate enough money to pay back on shareholders´ investments.