Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

Design of a new test chamber for evaluation of the toxicity of rubber infill

A test chamber was projected and built (according to ISO 16000-9 Standard) to simulate atmospheric conditions experienced by rubber infill (when applied in synthetic turf pitches) and measure accurately the airborne emissions of pollutants such as dusts and volatile organic compounds (VOC), as well as pollutants present in leachates. It should be pointed out that standard ISO 16000-9 is only concerned with the determination of the emission of VOC from building products and furnishing (not specific of synthetic turf materials), whereas other standards are concerned with the emission of leachates only. This procedure is to be considered as a technical option to the lysimeter "global turf system evaluation" when the rubber infill alone is to be evaluated. The advantage of the proposed option considering this "test chamber" is its simplicity and economy. This test chamber is actually installed and being used for tests in LAIST.

Evaluation of IMRT and VMAT techniques with and without flattening filter using pareto optimal fronts

Mestrado em Radiações Aplicadas às Tecnologias da Saúde.

Risk factors for metabolic bone disease in Crohn's disease patients

Background: The aim was to evaluate the presence of metabolic bone disease (MBD) in patients with Crohn’s disease (CD) and to identify potential etiologic factors. Methods: The case–control study included 99 patients with CD and 56 controls with a similar age and gender distribution. Both groups had dual-energy x-ray absorptionmetry and a nutritional evaluation. Single nucleotide polymorphisms at the IL1, TNF-a, LTa, and IL-6 genes were analyzed in patients only. Statistical analysis was performed using SPSS software. Results: The prevalence of MBD was significantly higher in patients (P ¼ 0.006). CD patients with osteoporosis were older (P < 0.005), small bowel involvement and surgical resections were more frequent (P < 0.005), they more often exhibited a penetrating or stricturing phenotype (P < 0.05), duration of disease over 15 years (P < 0.005), and body mass index (BMI) under 18.5 kg/m2 (P < 0.01) were more often found. No association was found with steroid use. Patients with a Z-score < 2.0 more frequently had chronic active disease (P < 0.05). With regard to diet, low vitamin K intake was more frequent (P ¼ 0.03) and intake of total, monounsaturated, and polyunsaturated fat was higher in patients with Z-score < 2.0 (P < 0.05). With respect to genetics, carriage of the polymorphic allele for LTa252 A/G was associated with a higher risk of osteoporosis (P ¼ 0.02). Regression analysis showed that age over 40 years, chronic active disease, and previous colonic resections were independently associated with the risk of developing MBD. Conclusions: The prevalence of MBD was significantly higher in CD patients. Besides the usual risk factors, we observed that factors related to chronic active and long-lasting disease increased the risk of MBD.

A gestão baseada no valor: Métricas tradicionais e medidas de performance ajustada ao risco. Risk Adjusted Return on Capital (RAROC) - Aplicação prática à actividade bancária

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Analysis of polycyclic aromatic hydrocarbons in fish: evaluation of a quick, easy, cheap, effective, rugged, and safe extraction method

QuEChERS method was evaluated for extraction of 16 PAHs from fish samples. For a selective measurement of the compounds, extracts were analysed by LC with fluorescence detection. The overall analytical procedure was validated by systematic recovery experiments at three levels and by using the standard reference material SRM 2977 (mussel tissue). The targeted contaminants, except naphthalene and acenaphthene, were successfully extracted from SRM 2977 with recoveries ranging from 63.5–110.0% with variation coefficients not exceeding 8%. The optimum QuEChERS conditions were the following: 5 g of homogenised fish sample, 10 mL of ACN, agitation performed by vortex during 3 min. Quantification limits ranging from 0.12– 1.90 ng/g wet weight (0.30–4.70 µg/L) were obtained. The optimized methodology was applied to assess the safety concerning PAHs contents of horse mackerel (Trachurus trachurus), chub mackerel (Scomber japonicus), sardine (Sardina pilchardus) and farmed seabass (Dicentrarchus labrax). Although benzo(a)pyrene, the marker used for evaluating the carcinogenic risk of PAHs in food, was not detected in the analysed samples (89 individuals corresponding to 27 homogenized samples), the overall mean concentration ranged from 2.52 l 1.20 ng/g in horse mackerel to 14.6 ± 2.8 ng/ g in farmed seabass. Significant differences were found between the mean PAHs concentrations of the four groups.

Risk Assessment of Chronic Exposure to Magnetic Fields near Electrical Apparatus

Conferência: 9th International Symposium on Occupational Safety and Hygiene (SHO) Guimaraes, Portugal - FEB 14-15, 2013

Pulmonary tuberculosis in Continental Portugal 2000-2010: temporal trends clustering as a tool for control evaluation

Clustering analysis is a useful tool to detect and monitor disease patterns and, consequently, to contribute for an effective population disease management. Portugal has the highest incidence of tuberculosis in the European Union (in 2012, 21.6 cases per 100.000 inhabitants), although it has been decreasing consistently. Two critical PTB (Pulmonary Tuberculosis) areas, metropolitan Oporto and metropolitan Lisbon regions, were previously identified through spatial and space-time clustering for PTB incidence rate and risk factors. Identifying clusters of temporal trends can further elucidate policy makers about municipalities showing a faster or a slower TB control improvement.

A behavioral intervention in a cohort of Japanese-Brazilians at high cardiometabolic risk

OBJECTIVE: To assess the effect of a health promotion program on cardiometabolic risk profile in Japanese-Brazilians. METHODS: A total of 466 subjects from a study on diabetes prevalence conducted in the city of Bauru, southeastern Brazil, in 2000 completed a 1-year intervention program (2005-2006) based on healthy diet counseling and physical activity. Changes in blood pressure and metabolic parameters in the 2005-2006 period were compared with annual changes in these same variables in the 2000-2005 period. RESULTS: During the intervention, there were greater annual reductions in mean (SD) waist circumference [-0.5(3.8) vs. 1.2(1.2) cm per year, p<0.001], systolic blood pressure [-4.6(17.9) vs. 1.8(4.3) mmHg per year, p<0.001], 2-hour plasma glucose [-1.2(2.1) vs. -0.2(0.6) mmol/L per year, p<0.001], LDL-cholesterol [-0.3(0.9) vs. -0.1(0.2) mmol/L per year, p<0.001] and Framingham coronary heart disease risk score [-0.25(3.03) vs. 0.11(0.66) per year, p=0.02] but not in triglycerides [0.2(1.6) vs. 0.1(0.42) mmol/L per year, p<0.001], and fasting insulin level [1.2(5.8) vs. -0.7(2.2) IU/mL per year, p<0.001] compared with the pre-intervention period. Significant reductions in the prevalence of impaired fasting glucose/impaired glucose tolerance and diabetes were seen during the intervention (from 58.4% to 35.4%, p<0.001; and from 30.1% to 21.7%, p= 0.004, respectively). CONCLUSIONS: A one-year community-based health promotion program brings cardiometabolic benefits in a high-risk population of Japanese-Brazilians.

An evaluation of SAFIRE’s potential to reduce the dose received by paediatric patients undergoing CT: a narrative review

Introduction: The purpose of this review is to gather and analyse current research publications to evaluate Sinogram-Affirmed Iterative Reconstruction (SAFIRE). The aim of this review is to investigate whether this algorithm is capable of reducing the dose delivered during CT imaging while maintaining image quality. Recent research shows that children have a greater risk per unit dose due to increased radiosensitivity and longer life expectancies, which means it is particularly important to reduce the radiation dose received by children. Discussion: Recent publications suggest that SAFIRE is capable of reducing image noise in CT images, thereby enabling the potential to reduce dose. Some publications suggest a decrease in dose, by up to 64% compared to filtered back projection, can be accomplished without a change in image quality. However, literature suggests that using a higher SAFIRE strength may alter the image texture, creating an overly ‘smoothed’ image that lacks contrast. Some literature reports SAFIRE gives decreased low contrast detectability as well as spatial resolution. Publications tend to agree that SAFIRE strength three is optimal for an acceptable level of visual image quality, but more research is required. The importance of creating a balance between dose reduction and image quality is stressed. In this literature review most of the publications were completed using adults or phantoms, and a distinct lack of literature for paediatric patients is noted. Conclusion: It is necessary to find an optimal way to balance dose reduction and image quality. More research relating to SAFIRE and paediatric patients is required to fully investigate dose reduction potential in this population, for a range of different SAFIRE strengths.

Task-based occupational exposure assessment and particle number concentration: two important data resources to perform risk assessment for occupational exposure to particles

Environment monitoring has an important role in occupational exposure assessment. However, due to several factors is done with insufficient frequency and normally don´t give the necessary information to choose the most adequate safety measures to avoid or control exposure. Identifying all the tasks developed in each workplace and conducting a task-based exposure assessment help to refine the exposure characterization and reduce assessment errors. A task-based assessment can provide also a better evaluation of exposure variability, instead of assessing personal exposures using continuous 8-hour time weighted average measurements. Health effects related with exposure to particles have mainly been investigated with mass-measuring instruments or gravimetric analysis. However, more recently, there are some studies that support that size distribution and particle number concentration may have advantages over particle mass concentration for assessing the health effects of airborne particles. Several exposure assessments were performed in different occupational settings (bakery, grill house, cork industry and horse stable) and were applied these two resources: task-based exposure assessment and particle number concentration by size. The results showed interesting results: task-based approach applied permitted to identify the tasks with higher exposure to the smaller particles (0.3 μm) in the different occupational settings. The data obtained allow more concrete and effective risk assessment and the identification of priorities for safety investments.

Damage evaluation of drilled carbon/epoxy laminates based on area assessment methods

The characteristics of carbon fibre reinforced laminates had widened their use, from aerospace to domestic appliances. A common characteristic is the need of drilling for assembly purposes. It is known that a drilling process that reduces the drill thrust force can decrease the risk of delamination. In this work, delamination assessment methods based on radiographic data are compared and correlated with mechanical test results (bearing test).

Evaluation of the noise exposure of symphonic orchestra musicians

For musicians, the impact of noise exposure is not yet fully characterized. Some inconsistencies can be found in the methodology used to evaluate noise exposure. This study aims to analyze the noise exposure of musicians in a symphonic orchestra to understand their risk for hearing loss, applying the methodology proposed by ISO 9612:2009. Noise levels were monitored among musicians during the rehearsal of eight different repertoires. Test subjects were selected according to their instrument and position in the orchestra. Participants wore noise dosimeters throughout the rehearsals. A sound meter was used to analyze the exposure of the conductor. The results showed that musicians are exposed to high noise levels that can damage hearing. Brass, woodwind and percussion and timpani musicians were exposed to noise levels in excess of the upper exposure action level of 85 dB (A), while the other instrumental groups had a lower exposure action level of 80 dB (A). Percussion musicians were exposed to high peak noise levels of 135 dB (C). Sound levels varied by instrument, repertoire and position. Octave frequency analyses showed differences among musicians. This study suggests that musicians are at risk for hearing loss. There is a need for more effective guidelines applicable to all countries, which should define standardized procedures for determining musician noise exposure and should allow exposure level normalization to the year, including different repertoires.

Seismic vulnerability: From building evaluation to a typology generalization

Outlining the best strategies for seismic risk mitigation requires that both benefits and costs of retrofitting are known in advance. The assessment of the vulnerability of building typologies is a first step of a more extensive effort, concerning the analysis of the viability of seismic risk mitigation and taking into account retrofitting costs. The methodology adopted to obtain the seismic vulnerability of some classes of residential buildings existing in mainland Portugal is presented. This methodology is based on a structural analysis of individual buildings belonging to the same typology. An application example is presented to illustrate the methodology. Fragility curves of “boxed” building typology are also presented and broken down into three height classes: low rise, medium-rise and high-rise. These curves are based on average capacity spectra derived from several individual buildings belonging to the same typology.

Credit risk measures: a case of renewable energy companies

The Basel III will have a significant impact on the European banking sector. In September 2010, supervisors of various countries adopted the new rules proposed by the prudential Committee on Banking Supervision to be applied to the business of credit institutions (hereinafter called ICs) in a phased manner from 2013, assuming to its full implementation by 2019. The purpose of this new regulation is to limit the excessive risk that these institutions took on the period preceding the global financial crisis of 2008. This new regulation is known in slang by Basel III. Depending on the requirement of Basel II for banks and their supervisors to assess the soundness and adequacy of internal risk measurement and credit management systems, the development of methodologies for the validation of internal and external evaluation systems is clearly an important issue . More specifically, there is a need to develop tools to validate the systems used to generate the parameters (such as PD, LGD, EAD and ratings of perceived risk) that serve as starting points for the IRB approach for credit risk. In this context, the work is composed of a number of approaches and tools used to evaluate the robustness of these elements IRB systems.