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.

Cláusulas de garantia e segurança

Contractual provisions directed towards the fulfillment of the contract itself or concerning the promisor’s conduct are nowadays widespread (both geographically and regarding the situations in which they are used), posing interpretative problems that demand the consideration of private autonomy’s extent and its limits on their application. A number of such clauses or covenants proliferate on all sectors of juridical activity, although with different configurations in each particular situation, whereby the study of negative pledge, pari passu, cross-default and ownership clauses merely constitutes a conceptual framework for considerations concerning the virtues and challenges of this type of contractual arrangements, particularly in relation to the precepts of the legal system as a whole. This study also aims to display the special characteristics that justify their prevalence in banking and financial law. We intend to analyze their, mostly preventive, function, typifying the main problems that arise, as well as their limitations and advantages.

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.

Social venture move

This study has the purpose of presenting the path of a social microcredit start-up in Mozambique. Its members had just gotten out of college and decided to put in practice what they had learnt. Even though the whole foundation of the project was developed in Mozambique, the team has extended its experience to other countries: São Tomé and Timor. However, the focus of this study will be solely in the Ilha de Mozambique’s project and the difficulties that it is facing right now, in order to try to find answers that would allow the project entrepreneurs to overcome what is keeping them from having a more successful return rate. The main issue of the project and the worse and unexpected default rate is within the fishing sector. This is peculiar, since the mission is in an island where there are plenty of fish and shellfish. By addressing this problem, and presenting the whole structure of the venture, it is its goal to understand better ways to deal with the difficulties. Its format will be as a case study and it will present as well the macroeconomics of Mozambique to justify the choice of the place, align with the team itself, and why it is possible to have a successful project with as many contacts and sponsors as this one does.

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Thrombophilia screening: An artificial neural network approach

Thrombotic disorders have severe consequences for the patients and for the society in general, being one of the main causes of death. These facts reveal that it is extremely important to be preventive; being aware of how probable is to have that kind of syndrome. Indeed, this work will focus on the development of a decision support system that will cater for an individual risk evaluation with respect to the surge of thrombotic complaints. The Knowledge Representation and Reasoning procedures used will be based on an extension to the Logic Programming language, allowing the handling of incomplete and/or default data. The computational framework in place will be centered on Artificial Neural Networks.

Prevalence of thyroiditis and immunohistochemistry study searching for a morphologic consensus in morphology of autoimmune thyroiditis in a 4613 autopsies series

We sought to verify the prevalence of lymphocytic thyroiditis (LT) and Hashimoto's thyroiditis (HT) in autopsy materials. Cases examined between 2003 and 2007 at the Department of Pathology of Faculty of Medicine of São Paulo University were studied. Immunohistochemical analyses were conducted in selected cases to characterize the type of infiltrating mononuclear cells; in addition, we evaluated the frequency of apoptosis by TUNEL assay technique and caspase-3 immunostaining. Significant increase in overall thyroiditis frequency was observed in the present series when compared with the previous report (2.2978% vs. 0.0392%). Thyroiditis was more prevalent among older people. Selected cases of LT and HT (5 cases each) had their infiltrating lymphocytes characterized by immunohistochemical analyses. Both LT and HT showed similar immunostaining patterns for CD4, CD8, CD68, thus supporting a common pathophysiology mechanism and indicating that LT and HT should be considered different presentations of a same condition, that is, autoimmune thyroiditis. Moreover, apoptosis markers strongly evidenced that apoptosis was present in all studied cases. Our results demonstrated an impressive increase in the prevalence of thyroiditis during recent years and our data support that the terminology of autoimmune thyroiditis should be used to designate both LT and HT. This classification would facilitate comparison of prevalence data from different series and studies.

A Responsabilidade Civil dos Gerentes e Administradores pelo pagamento das coimas e multas imputáveis à sociedade

Dissertação de mestrado em Direito dos Contratos e da Empresa

Imagem de destinos turísticos: um estudo sobre as publicações brasileiras

Os estudos referentes ao turismo dedicam-se à compreensão de diferentes temas, sendo que um bastante analisado à escala internacional é a questão da imagem de um destino turístico. O interesse por este tema é percebido em diversas áreas do conhecimento, como a sociologia e o marketing. No Brasil, há diversos pesquisadores dedicando-se à imagem dos destinos turísticos. Assim, buscando compreender de que forma este tema tem sido trabalhado no Brasil, este estudo de caráter bibliográfico teve como objetivo analisar e compreender as publicações sobre imagem de destinos turísticos em periódicos brasileiros, nos últimos seis anos (2008-2014). A partir de um levantamento dos artigos publicados neste período, usando como ferramenta de busca o site “Publicações de Turismo”, foram identificados vinte e oito artigos. A análise permitiu verificar que os estudos estão concentrados na compreensão da imagem de um determinado destino. Os artigos analisados são predominantemente estudos empíricos e há um equilíbrio entre os de caráter quantitativo e qualitativo. No que diz respeito à bibliografia, foi possível identificar que os autores brasileiros que têm trabalhado com o tema de imagem de destinos, já buscam bibliografias internacionais para fundamentar os seus estudos. Também nos trabalhos sobre este tema, identificou-se uma maior maturidade dos autores no que diz respeito à utilização das ferramentas estatísticas. Alguns estudos fazem uma análise aprofundada dos estudos internacionais e aplicam estas teorias no Brasil. Conclui-se que este tema tem sido estudado com maior profundidade no país, se comparado com os temas como o da percepção de residentes.

A realização do sujeito em complementos infinitivos de verbos causativos e percetivos no português língua de herança

Dissertação de mestrado em Ciências da Linguagem

The importance and accuracy of wind power forecasts

Due to the global crisis o f climate change many countries throughout the world are installing the renewable energy o f wind power into their electricity system. Wind energy causes complications when it is being integrated into the electricity system due its intermittent nature. Additionally winds intennittency can result in penalties being enforced due to the deregulation in the electricity market. Wind power forecasting can play a pivotal role to ease the integration o f wind energy. Wind power forecasts at 24 and 48 hours ahead of time are deemed the most crucial for determining an appropriate balance on the power system. In the electricity market wind power forecasts can also assist market participants in terms o f applying a suitable bidding strategy, unit commitment or have an impact on the value o f the spot price. For these reasons this study investigates the importance o f wind power forecasts for such players as the Transmission System Operators (TSOs) and Independent Power Producers (IPPs). Investigation in this study is also conducted into the impacts that wind power forecasts can have on the electricity market in relation to bidding strategies, spot price and unit commitment by examining various case studies. The results o f these case studies portray a clear and insightful indication o f the significance o f availing from the information available from wind power forecasts. The accuracy o f a particular wind power forecast is also explored. Data from a wind power forecast is examined in the circumstances o f both 24 and 48 hour forecasts. The accuracy o f the wind power forecasts are displayed through a variety o f statistical approaches. The results o f the investigation can assist market participants taking part in the electricity pool and also provides a platform that can be applied to any forecast when attempting to define its accuracy. This study contributes significantly to the knowledge in the area o f wind power forecasts by explaining the importance o f wind power forecasting within the energy sector. It innovativeness and uniqueness lies in determining the accuracy o f a particular wind power forecast that was previously unknown.

Valuation of defaultable bonds and debt restructuring

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.

Optimal monitoring to implement clean technologies when pollution is random

We analyze a model where firms chose a production technology which, together with some random event, determines the final emission level. We consider the coexistence of two alternative technologies: a "clean" technology, and a "dirty" technology. The environmental regulation is based on taxes over reported emissions, and on penalties over unreported emissions. We show that the optimal inspection policy is a cut-off strategy, for several scenarios concerning the observability of the adoption of the clean technology and the cost of adopting it. We also show that the optimal inspection policy induces the firm to adopt the clean technology if the adoption cost is not too high, but the cost levels for which the firm adopts it depend on the scenario.

Pathfinding of corticothalamic axons relies on a rendezvous with thalamic projections.

Major outputs of the neocortex are conveyed by corticothalamic axons (CTAs), which form reciprocal connections with thalamocortical axons, and corticosubcerebral axons (CSAs) headed to more caudal parts of the nervous system. Previous findings establish that transcriptional programs define cortical neuron identity and suggest that CTAs and thalamic axons may guide each other, but the mechanisms governing CTA versus CSA pathfinding remain elusive. Here, we show that thalamocortical axons are required to guide pioneer CTAs away from a default CSA-like trajectory. This process relies on a hold in the progression of cortical axons, or waiting period, during which thalamic projections navigate toward cortical axons. At the molecular level, Sema3E/PlexinD1 signaling in pioneer cortical neurons mediates a "waiting signal" required to orchestrate the mandatory meeting with reciprocal thalamic axons. Our study reveals that temporal control of axonal progression contributes to spatial pathfinding of cortical projections and opens perspectives on brain wiring.