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.

Millennium BCP- The almond hill credit extension proposal

This Work Project is a case study on the credit lending process and loan pricing policy of Millennium bcp, one of the main Portuguese banks. The goal of the case study is to provide an opportunity to understand the above mentioned process and policy in a major bank and to explore the issues and interests at play when a relevant credit decision must be taken. I would like to thank Dr. José Miguel Pessanha without whom this project would not have been possible.

The impact of credit conditions on market liquidity – a case for European stock markets

The recent financial crisis has drawn the attention of researchers and regulators to the importance of liquidity for stock market stability and efficiency. The ability of market-makers and investors to provide liquidity is constrained by the willingness of financial institutions to supply funding capital. This paper sheds light on the liquidity linkages between the Central Bank, Monetary Financial Institutions and market-makers as crucial elements to the well-functioning of markets. Results suggest the existence of causality between credit conditions and stock market liquidity for the Eurozone between 2003 and 2015. Similar evidence is found for the UK during the post-crisis period. Keywords: stock

Nonsmall cell lung cancer: evaluation of 737 consecutive patients in a single institution

OBJECTIVE: To analyze surgical and pathological parameters and outcome and prognostic factors of patients with nonsmall cell lung cancer (NSCLC) who were admitted to a single institution, as well as to correlate these findings to the current staging system. METHOD: Seven hundred and thirty seven patients were diagnosed with NSCLC and admitted to Hospital do Cancer A. C. Camargo from 1990 to 2000. All patients were included in a continuous prospective database, and their data was analyzed. Following staging, a multidisciplinary team decision on adequate management was established. Variables included in this analysis were age, gender, histology, Karnofsky index, weight loss, clinical stage, surgical stage, chemotherapy, radiotherapy, and survival rates. RESULTS: 75.5% of patients were males. The distribution of histologic type was squamous cell carcinoma 51.8%, adenocarcinoma 43.1%, and undifferentiated large cell carcinoma 5.1%. Most patients (73%) presented significant weight loss and a Karnofsky index of 80%. Clinical staging was IA 3.8%, IB 9.2%, IIA 1.4%, IIB 8.1%, IIIA 20.9%, IIIB 22.4%, IV 30.9%. Complete tumor resection was performed in 24.6% of all patients. Surgical stage distribution was IA 25.3%, IB 1.4%, IIB 17.1%, IIIA 16.1%, IIIB 20.3%, IV 11.5%. Chemotherapy and radiotherapy were considered therapeutic options in 43% and 72%, respectively. The overall 5-year survival rate of nonsmall cell lung cancer patients in our study was 28%. Median survival was 18.9 months. CONCLUSIONS: Patients with NSCLC who were admitted to our institution presented with histopathologic and clinical characteristics that were similar to previously published series in cancer hospitals. The best prognosis was associated with complete tumor resection with lymph node dissection, which is only achievable in earlier clinical stages.

Comparative analysis of Spanish Banks’ Standalone credit profile

The paper studies the relationship between four differently rated bank’s financial profile and their standalone credit rating issued by Moody’s. The comparative analysis shows an example that despite their pricing power and geographical coverage, larger banks do not necessarily have better credit ratings. Instead, business model and risk appetite seem to be the defining factors of banks’ vulnerability to shocks, such as the Spanish real estate crisis. The risk-return relationship is also identified in the banks’ fundamentals meaning that while expansionary strategy in riskier asset classes enhances margins, it also potentially distorts the credit risk profile.

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.

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.

Carnegie Institution of Washington publication.

no.248,v.1 (1919)

Carnegie Institution of Washington publication.

no.248,v.2 (1920)

Carnegie Institution of Washington publication.

no.248,v.3 (1922)

Carnegie Institution of Washington publication.

no.248,v.4 (1923)

La institucionalización de la Comunidad Regional Punilla (Provincia de Córdoba): estudio y promoción de metodologías de diseño participativo y gestión asociada de políticas públicas para el desarrollo. The institution of Punilla Regional Community: study and promotion of participative metodologies for the associated planning and management of development policies.

Durante el período 2006-2008, las actividades de investigación y asistencia técnica de este equipo enfatizaron en la necesaria práctica social y política de horizontalidad en las relaciones, en la 'dimensión intersubjetiva o relacional de la regionalización' (Cáceres, 2006) en el marco de la Comunidad Regional Punilla (CRP), considerando a la identidad regional como un condicionante relevante de la 'construcción de la región como unidad de acción(Boisier, 2003). Así, durante ese período, se ha ido conformando un espacio 'regional' de composición multiactoral, social y gubernamental, para el trabajo asociativo (PROFIM, SIP, UCC 2007, 2008). Con el propósito de profundizar el Programa, este proyecto propone el fortalecimiento institucional de la CRP a través de la formalización del escenario participativo regional (Poggiese, 2001, 2002) para el diseño y gestión asociada de políticas de desarrollo. Tales propósitos y mecanismos están previstos en la Ley Orgánica de Regionalización de la Provincia de Córdoba (9.206/04) y en las normativas regionales derivadas de ésta a través de la figura del 'Consejo de la Sociedad Civil'. Con base en la observación del proceso desarrollado en Punilla desde el año 2006, esta propuesta suscribe el carácter interdisciplinario e intersectorial de la red social y política en la que se sustentará el Consejo y la lógica 'procesal y consensual' de su construcción, considerando, además, la nueva configuración del mapa político de la CRP a partir de los resultados electorales del año 2008 en tanto cambios estructurales en la relación gobierno y oposición que se presentan como una oportunidad para desarrollar los espacios públicos participativos que la sociedad regional puede ocupar para canalizar institucionalmente sus demandas. El proyecto busca 'analizar' pero también 'promover' el proceso de cambio político y social en marcha para facilitar su 'ampliación democrática' (Redín y Moroni, 2003), reflexionado críticamente y poniendo en cuestión algunos de los supuestos que han caracterizado a la retórica de la regionalización provincial: la existencia de una sociedad civil debidamente organizada en cada una de las regiones, cuya concurrencia al proceso decisorio puede asegurarse una vez 'abiertos' -formalizados- los canales de participación; la superación de la dirección bottom up en los procesos de toma de decisiones y la preeminencia de modalidades de 'articulación intermunicipal' para la gestión de políticas allí donde la Ley y las ordenanzas locales declaran establecida una 'Comunidad Regional'. El cuestionamiento de dichos supuestos sustenta, en definitiva, las preguntas que delimitan los temas- problema que se abordarán a partir de este trabajo.