The sovereign CDS-Bond basis: From a crisis perspective

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 default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

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

Spray coating of oxide and chalcogenide semiconductor layers for TFT application

This work documents the deposition and optimization of semiconductor thin films using chemical spray coating technique (CSC) for application on thin-film transistors (TFTs), with a low-cost, simple method. CSC setup was implemented and explored for industrial application, within Holst Centre, an R&D center in the Netherlands. As zinc oxide had already been studied within the organization, it was used as a standard material in the initial experiments, obtaining typical mobility values of 0.14 cm2/(V.s) for unpatterned TFTs. Then, oxide X layer characteristics were compared for films deposited with CSC at 40°C and spin-coating. The mobility of the spin-coated TFTs was 103 cm2/(V.s) higher, presumably due to the lack of uniformity of spray-coated film at such low temperatures. Lastly, tin sulfide, a relatively unexplored material, was deposited by CSC in order to obtain functional TFTs and explore the device’s potential for working as a phototransistor. Despite the low mobilities of the devices, a sensitive photodetector was made, showing drain current variation of nearly one order of magnitude under yellow light. CSC technique’s simplicity and versatility was confirmed, as three different semiconductors were successfully implemented into functional devices.

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.

Effect of acid or alkaline catalyst and of different capping agents on the optical properties of CdS nanoparticles incorporated within a diureasil hybrid matrix

CdS nanoparticles (NPs) were synthesized using colloidal methods and incorporated within a diureasil hybrid matrix. The surface capping of the CdS NPs by 3-mercaptopropyltrimethoxysilane (MPTMS) and 3-aminopropyltrimethoxysilane (APTMS) organic ligands during the incorporation of the NPs within the hybrid matrix has been investigated. The matrix is based on poly(ethylene oxide)/poly(propylene oxide) chains grafted to a siliceous skeleton through urea bonds and was produced by sol–gel process. Both alkaline and acidic catalysis of the sol–gel reaction were used to evaluate the effect of each organic ligand on the optical properties of the CdS NPs. The hybrid materials were characterized by absorption, steady-state and time-resolved photoluminescence spectroscopy and High Resolution Transmission Electron Microscopy (HR-TEM). The preservation of the optical properties of the CdS NPs within the diureasil hybrids was dependent on the experimental conditions used. Both organic ligands (APTMS and MPTMS) demonstrated to be crucial in avoiding the increase of size distribution and clustering of the NPs within the hybrid matrix. The use of organic ligands was also shown to influence the level of interaction between the hybrid host and the CdS NPs. The CdS NPs showed large Stokes shifts and long average lifetimes, both in colloidal solution and in the xerogels, due to the origin of the PL emission in surface states. The CdS NPs capped with MPTMS have lower PL lifetimes compared to the other xerogel samples but still larger than the CdS NPs in the original colloidal solution. An increase in PL lifetimes of the NPs after their incorporation within the hybrid matrix is related to interaction between the NPs and the hybrid host matrix.

Um estudo sobre os aspectos que contribuem para a adoção do canal on-line para compra de livros, CDs e DVDs

O objetivo neste estudo foi identificar os fatores relevantes na adoção do canal on-line para a realização de compras, tendo como principais referências os modelos Unified Theory of Acceptance and Use of Technology (UTAUT), de Venkatesh et al. (2003), de Heijden, Verhagen e Creemers (2003) e de Bramall, Schoefer e McKechnie (2004). Além da revisão da literatura dos assuntos pertinentes, foi realizada uma pesquisa de campo descritiva, de natureza quantitativa com uma amostra de 172 pessoas residentes na cidade de São Paulo, pertencentes às classes socioeconômicas A, B e C (critério Brasil), compradores de livros, CDs ou DVDs no canal off-line. Os dados coletados foram analisados com o uso de técnicas estatísticas nos contextos uni, bi e multivariado. Aplicou-se a técnica de modelagem de equações estruturais (MEE ou Structural Equation Modeling - SEM) para serem identificadas relações de dependência entre construtos e a contribuição de cada um deles na estimação das intenções de adoção da compra pela Internet. Entre os principais resultados encontrados, a atitude em relação ao uso da tecnologia, a confiança e a expectativa de desempenho figuraram como os aspectos mais relevantes para uma possível adoção do canal on-line.

CDS/ISIS

Este documento visa essencialmente fazer uma apresenta¸c˜ao sucinta do CDS/ISIS, destacando a suas potencialidades na gest˜ao e utiliza¸c˜ao de recursos bibliogr´aficos. ´E dada uma particular ˆenfase `a vers˜ao Windows deste sistema com o intuito de elucidar alguns conceitos e funcionalidades que caracterizam o CDS/ISIS.

Disseny i creació de bases de dades bibliogràfiques amb CDS/ISIS: l'experiència de SABA-DOC

Es descriu el procés de disseny i creació de bases de dades bibliogràfiques amb el programa CDS/ISIS. Es tracta de la base de dades SABA-DOC, principal producte del projecte Centres de Documentació i Biblioteques de Sabadell en Xarxa. La base de dades conté referències bibliogràfiques dels fons documentals de diverses entitats de Sabadell i els registres referits a Sabadell provinents de la base de dades del Servei d'Història Local de Catalunya, de la UAB. Es comenten aspectes de l'estructura de la base de dades, del seu manteniment i de la interfície de consulta des del web. S'hi inclou també una primera avaluació dels resultats obtinguts fins ara.

CDS/ISIS: un bon producte a un preu regalat

Presentació de la base de dades que conté la col·lecció del Laboratori de l'Escola Universitaria Jordi Rubió i Balaguer de Biblioteconomia i Documentació amb el gestor CDS/ISIS -desenvolupat per la Unesco-. Després d'una explicació general sobre CDS/ISIS, s'exposa amb detall el procés del disseny de la base de dades: definició dels camps del registre seguint una adaptació del Format Comú de Comunicació (CCF); definició de les pantalles d'entrada de dades; selecció dels camps a indexar i métodes d'indexacióemprats, i definició del format de sortida. Finalment, es fa una avaluació del producte.

GenIsisWeb: l'eina per publicar a Internet les bases de dades CDS/ISIS

L'objectiu de la ressenya és presentar GenIsisWeb, un programa que assisteix en la publicació de bases de dades a Internet. Després d'una breu descripció tècnica i partint d'una base de dades prèviament creada amb CDS/ISIS, es mostra el procés complet per a la seva publicació al Web.

GenIsisWeb: la herramienta para publicar en Internet las bases de datos CDS/ISIS

El objetivo de la reseña es presentar GenIsisWeb, un programa que asiste en la publicación de bases de datos en Internet. Tras una breve descripción técnica y partiendo de una base de datos previamente creada con CDS/ISIS, se muestra el proceso completo para su publicación en el Web.

Unipolar transport and shot noise in metal-semiconductor-metal structures

We carry out a self-consistent analytical theory of unipolar current and noise properties of metal-semiconductor-metal structures made of highly resistive semiconductors in the presence of an applied bias of arbitrary strength. By including the effects of the diffusion current we succeed in studying the whole range of carrier injection conditions going from low level injection, where the structure behaves as a linear resistor, to high level injection, where the structure behaves as a space charge limited diode. We show that these structures display shot noise at the highest voltages. Remarkably the crossover from Nyquist noise to shot noise exhibits a complicated behavior with increasing current where an initial square root dependence (double thermal noise) is followed by a cubic power law.

Conduction mechanisms and charge storage in Si-nanocrystals metal-oxide-semiconductor memory devices studied with conducting atomic force microscopy

In this work, we demonstrate that conductive atomic force microscopy (C-AFM) is a very powerful tool to investigate, at the nanoscale, metal-oxide-semiconductor structures with silicon nanocrystals (Si-nc) embedded in the gate oxide as memory devices. The high lateral resolution of this technique allows us to study extremely small areas ( ~ 300nm2) and, therefore, the electrical properties of a reduced number of Si-nc. C-AFM experiments have demonstrated that Si-nc enhance the gate oxide electrical conduction due to trap-assisted tunneling. On the other hand, Si-nc can act as trapping centers. The amount of charge stored in Si-nc has been estimated through the change induced in the barrier height measured from the I-V characteristics. The results show that only ~ 20% of the Si-nc are charged, demonstrating that the electrical behavior at the nanoscale is consistent with the macroscopic characterization.

Metal-Nitride-oxide-semiconductor light-emitting devices for general lighting.

The potential for application of silicon nitride-based light sources to general lighting is reported. The mechanism of current injection and transport in silicon nitride layers and silicon oxide tunnel layers is determined by electro-optical characterization of both bi- and tri-layers. It is shown that red luminescence is due to bipolar injection by direct tunneling, whereas Poole-Frenkel ionization is responsible for blue-green emission. The emission appears warm white to the eye, and the technology has potential for large-area lighting devices. A photometric study, including color rendering, color quality and luminous efficacy of radiation, measured under various AC excitation conditions, is given for a spectrum deemed promising for lighting. A correlated color temperature of 4800K was obtained using a 35% duty cycle of the AC excitation signal. Under these conditions, values for general color rendering index of 93 and luminous efficacy of radiation of 112 lm/W are demonstrated. This proof of concept demonstrates that mature silicon technology, which is extendable to lowcost, large-area lamps, can be used for general lighting purposes. Once the external quantum efficiency is improved to exceed 10%, this technique could be competitive with other energy-efficient solid-state lighting options. ©2011 Optical Society of America OCIS codes: (230.2090) Electro-optical devices; (150.2950) Illumination.