Transparency in project bond ratings: Assessment of rating methodologies and development of a proven rating simulator

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

Determinants of the Portuguese government bond yield spread

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

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

Social impact bond feasibility study

Youth unemployment is one of the most pressing social issues in Portugal, often associated to a lack of skills. Faz-Te Forward (FFWD), a Portuguese employability programme, has demonstrated great potential for impact in solving this issue, especially amongst a neglected segment of the population – those belonging to “sandwich families”. The present thesis, integrated in the SIB Research Programme from the Social Investment Lab, evaluates the feasibility of this programme to be financed through a Social Impact Bond, an innovative outcomes-based financing model. From a data analysis undertaken to FFWD’s historical information, a business case for a SIB was developed.

Social impact bond feasibility study: Children and youth at risk: the Projecto Família program

Social impact bonds are an increasingly popular method of unlocking typical social investment barriers and fuelling social innovation. This feasibility study aims to understand whether a social impact bond is a suitable tool for decreasing unnecessary foster care placements in Portugal, which have been proven to cause significant social and financial damage to societies. This research question is answered through a financial model which combines the costs of this social problem with Projecto Família’s intervention model, a leading intensive family preservation service. Main findings suggest using SIB funding for a 5-year project with the goal of generating the proper impact measurement metrics lacking in the field.

Measuring spillover effects in Euro Area equity and bond markets

Since its inception, the Eurozone has experienced significant financial integration. However, with the recent turbulent period, the dynamics of this integration may have changed. This study analyses the volatility spillovers from the US and aggregate Eurozone markets into ten Euro Area national equity and bond markets, using a regime-switching model with shifting shock sensitivities. The evidence confirms an increased impact of shock spillover intensity after the 2008 crisis in the equity market and a decrease of the same parameters for the bond market. In both markets, the overall impact of the Eurozone is greater when compared to the U.S.

Bond portfolio diversification

Portfolio diversification benefits have been extensively documented and acknowledge in the literature since 1952. However, the majority of the studies have focus on an equity context, and only very few on bonds. The study purposed tries to understand and measure the diversification benefits for a pure bond portfolio by investing in securities with different credit risks, maturities and even geographies. Diversification benefits were achieved under the proposed model and some conclusions were withdrawn.

Shared lives social impact bond feasibility study

Loneliness and isolation among the elderly is an enormous problem in Portugal. Interventions to tackle loneliness worldwide have had limited success, and new approaches are needed. Shared Lives is an adult foster placement service in the UK that shows significant promise in tackling both loneliness, isolation and other societal challenges linked with ageing. This feasibility study suggests that replicating a Shared Lives service in Portugal, using a Social Impact Bond (SIB), is viable and likely to create both social and financial value for all stakeholders involved. This study provides recommendations for how a Shared Lives SIB could be designed and implemented.

Social impact bond feasibility study AEIPS intervention

AEIPS is a Portuguese social organization promoting the integration of people with mental health illnesses and/or substance abuse in the community through the intervention model Housing First. The philosophy of Housing First aims at lifting people out of their homelessness status by providing instant access to individualized and permanent housing as well as support services. Housing First projects from all over the world have proved very positive results in terms of residential stability and community integration of its participants. This feasibility study evaluates the suitability of using a Social Impact Bond to fund the Housing First intervention of AEIPS in Portugal.

A FEM-based model to study the behaviour of corroded RC beams shear repaired by NSM CFRP rods technique

This paper presents the main features of finite element FE numerical model developed using the computer code FEMIX to predict the near-surface mounted NSM carbon-fiber-reinforced polymer CFRP rods shear repair contribution to corroded reinforced concrete RC beams. In the RC beams shear repaired with NSM technique, the Carbon Fibre Reinforced Polymer (CFRP) rods are placed inside pre-cut grooves onto the concrete cover of the RC beam’s lateral faces and are bonded to the concrete with high epoxy adhesive. Experimental and 3D numerical modelling results are presented in this paper in terms of load-deflection curves, and failure modes for 4 short corroded beams: two corroded beams (A1CL3-B and A1CL3-SB) and two control beams (A1T-B and A1T-SB), the beams noted with B were let repaired in bending only with NSM CFRP rods while the ones noted with SB were repaired in both bending and shear with NSM technique. The corrosion of the tensile steel bars and its effect on the shear capacity of the RC beams was discussed. Results showed that the FE model was able to capture the main aspects of the experimental load-deflection curves of the RC beams, moreover it has presented the experimental failure modes and FE numerical modelling crack patterns and both gave similar results for non-shear repaired beams which failed in diagonal tension mode of failure and for shear-repaired beams which failed due to large flexural crack at the middle of the beams along with the concrete crushing, three dimensional crack patterns were produced for shear-repaired beams in order to investigate the splitting cracks occurred at the middle of the beams and near the support.

Thin panels of cement composites reinforced with recycled fibres for the shear strengthening of reinforced concrete elements

A new technique was developed for producing thin panels of a cement based material reinforced with relatively high content of steel fibres originated from the industry of tyre recycling. Flexural tests with notched and un-notched specimens were carried out to characterize the mechanical properties of this Fibre Reinforced Cement Composite (FRCC) and the results are presented and discussed. The values of the fracture mode I parameters of the developed FRCC were determined by performing inverse analysis with test results obtained in three point notched beam bending tests. To appraise the potentialities of these FRCC panels for the increase of the shear capacity of reinforced (RC) beams, numerical research was performed on the use of developed FRCC panel for shear reinforcement by applying the panels in the lateral faces of RC beams deficiently reinforced in shear.

Exploring the potentialities of a new type of CFRP laminate for the simultaneous flexural and shear strengthening of RC beams: numerical research

This study aims to develop an innovative carbon fibre reinforced polymer (CFRP) laminate with a U configuration to address strengthening interventions, where the increment of both flexural and shear capacity of reinforced concrete (RC) elements is required. This strengthening solution combines the near surface mounted (NSM) and embedded through section (ETS) techniques in the same application, since these techniques have already evidenced high performance on flexural and shear strengthening of RC beams using FRP systems, respectively. In fact, the proposed hybrid technique aims to mobilize the advantages provided by these two strengthening techniques by using an innovative CFRP laminate. The strengthening efficacy of this new hybrid NSM/ETS technique was numerically assessed and compared to the corresponding efficiency of NSM and ETS techniques applied separately for the flexural and shear strengthening of RC beams, respectively. The numerical models are described and the main relevant results are presented and discussed.

High performance fiber reinforced concrete for the shear reinforcement: experimental and numerical research

High performance fiber reinforced concrete (HPFRC) is developing rapidly to a modern structural material with unique rheological and mechanical characteristics. Despite applying several methodologies to achieve self15 compacting requirements, some doubts still remain regarding the most convenient strategy for developing a HPFRC. In the present study, an innovative mix design method is proposed for the development of high17 performance concrete reinforced with a relatively high dosage of steel fibers. The material properties of the developed concrete are assessed, and the concrete structural behavior is characterized under compressive, flexural and shear loading. This study better clarifies the significant contribution of fibers for shear resistance of concrete elements. This paper further discusses a FEM-based simulation, aiming to address the possibility of calibrating the constitutive model parameters related to fracture modes I and II.

Recycled steel fibre reinforced concrete failing in bending and in shear

Recent research is showing that the addition of Recycled Steel Fibres (RSF) from wasted tyres can decrease significantly the brittle behaviour of cement based materials, by improving its toughness and post-cracking resistance. In this sense, Recycled Steel Fibre Reinforced Concrete (RSFRC) seems to have the potential to constitute a sustainable material for structural and non-structural applications. To assess this potential, experimental and numerical research was performed on the use of RSFRC in elements failing in bending and in beams failing in shear. The values of the fracture mode I parameters of the developed RSFRC were determined by performing inverse analysis with test results obtained in three point notched beam bending tests. To assess the possibility of using RSF as shear reinforcement in Reinforced Concrete (RC) beams, three point bending tests were executed with three series of RSFRC beams flexurally reinforced with a relatively high reinforcement ratio of longitudinal steel bars in order to assure shear failure for all the tested beams. By performing material nonlinear simulations with a computer program based on the finite element method (FEM), the applicability of the fracture mode I crack constitutive law derived from the inverse analysis is assessed for the prediction of the behaviour of these beams. The performance of the formulation proposed by RILEM TC 162 TDF and CEB-FIP 2010 for the prediction of the shear resistance of fibre reinforced concrete elements was also evaluated.

A FEM-based model to study the behaviour of corroded RC beams shear repaired by NSM CFRP rods technique

This paper presents the main features of finite element FE numerical model developed using the computer code FEMIX to predict the near-surface mounted NSM carbon-fiber-reinforced polymer CFRP rods shear repair contribution to corroded reinforced concrete RC beams. In the RC beams shear repaired with NSM technique, the Carbon Fibre Reinforced Polymer (CFRP) rods are placed inside pre-cut grooves onto the concrete cover of the RC beam’s lateral faces and are bonded to the concrete with high epoxy adhesive. Experimental and 3D numerical modelling results are presented in this paper in terms of load-deflection curves, failure modes and slip information of the tensile steel bars for 4 short corroded beams: two corroded beams (A1CL3-B and A1CL3-SB) and two control beams (A1T-B and A1T-SB), the beams noted with B were let repaired in bending only with NSM CFRP rods while the ones noted with SB were repaired in both bending and shear with NSM technique. The corrosion of the tensile steel bars and its effect on the shear capacity of the RC beams was discussed. Results showed that the FE model was able to capture the main aspects of the experimental load-deflection curves of the RC beams, moreover it has presented the experimental failure modes and FE numerical modelling crack patterns and both gave similar results for non-shear repaired beams which failed in diagonal tension mode of failure and for shear-repaired beams which failed due to large flexural crack at the middle of the beams along with the concrete crushing, three dimensional crack patterns were produced for shear-repaired beams in order to investigate the splitting cracks occurred at the middle of the beams and near the support.