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.

Exposure to psychosocial risk factors in the context of work: a systematic review

ABSTRACT OBJECTIVE To analyze the scientific literature about the effects of exposure to psychosocial risk factors in work contexts. METHODS A systematic review was performed using the terms “psychosocial factors” AND “COPSOQ” in the databases PubMed, Medline, and Scopus. The period analyzed was from January 1, 2004 to June 30, 2012. We have included articles that used the Copenhagen Psychosocial Questionnaire (COPSOQ) as a measuring instrument of the psychosocial factors and the presentation of quantitative or qualitative results. German articles, psychometric studies or studies that did not analyze individual or work factors were excluded. RESULTS We included 22 articles in the analysis. Individual factors, such as gender, age, and socioeconomic status, were analyzed along with work-related factors such as labor demands, work organization and content, social relationships and leadership, work-individual interface, workplace values, justice and respect, personality, health and well-being, and offensive behaviors. We analyzed the sample type and the applied experimental designs. Some population groups, such as young people and migrants, are more vulnerable. The deteriorated working psychosocial environment is associated with physical health indicators and weak mental health. This environment is also a risk factor for the development of moderate to severe clinical conditions, predicting absenteeism or intention of leaving the job. CONCLUSIONS The literature shows the contribution of exposure to psychosocial risk factors in work environments and their impact on mental health and well-being of workers. It allows the design of practical interventions in the work context to be based on scientific evidences. Investigations in specific populations, such as industry, and studies with more robust designs are lacking.

Evaluation of the potential of translocated common cockle for ecological risk assessment studies: bioaccumulation and biomarkers test

Thesis submitted to the Faculdade de Ciências e Tecnologia to obtain the Master’s degree in Environmental Engineering, profile in Ecological Engineering

The simple economics of risk-sharing agreements between the NHS and the pharmaceutical industry

The Janssen-Cilag proposal for a risk-sharing agreement regarding bortezomib received a welcome signal from NICE. The Office of Fair Trading report included risk-sharing agreements as an available tool for the National Health Service. Nonetheless, recent discussions have somewhat neglected the economic fundamentals underlying risk-sharing agreements. We argue here that risk-sharing agreements, although attractive due to the principle of paying by results, also entail risks. Too many patients may be put under treatment even with a low success probability. Prices are likely to be adjusted upward, in anticipation of future risk-sharing agreements between the pharmaceutical company and the third-party payer. An available instrument is a verification cost per patient treated, which allows obtaining the first-best allocation of patients to the new treatment, under the risk sharing agreement. Overall, the welfare effects of risk-sharing agreements are ambiguous, and care must be taken with their use.

Risk management of new product development process

Dissertation submitted to Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa for the achievement of Integrated Master´s degree in Industrial Management Engineering

Optimal offering strategies for wind power producers considering uncertainty and risk

This paper provides a two-stage stochastic programming approach for the development of optimal offering strategies for wind power producers. Uncertainty is related to electricity market prices and wind power production. A hybrid intelligent approach, combining wavelet transform, particle swarm optimization and adaptive-network-based fuzzy inference system, is used in this paper to generate plausible scenarios. Also, risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study, based on a wind farm in Portugal, are provided and analyzed. Finally, conclusions are duly drawn.

Scheduling of a hydro producer considering head-dependency, price scenarios and risk-aversion

In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case Study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.

Avaliação de riscos ambientais e profissionais na indústria metalomecânica

A preservação e proteção do ambiente são, cada vez mais, de elevada importância. Para fazer face ao grande consumo de bens, que se verifica nos dias de hoje, a atividade industrial tem aumentado, assim como os resíduos, as emissões, os efluentes e ainda os resíduos de produtos em fim de vida, provocando impactes no meio ambiente, com alterações significativas que se manifestam a nível das condições climáticas e, consequentemente, afetam a qualidade de vida das pessoas a sua segurança e saúde, bem como a fauna e a flora. O presente estudo tem por objetivo identificar as principais atividades desenvolvidas na indústria metalomecânica, identificar os principais aspetos e impactes ambientais, bem como os perigos e riscos profissionais associados às atividades deste setor, identificar a principal legislação em vigor em matéria ambiental e de segurança e saúde no trabalho, selecionar e analisar metodologias de avaliação de riscos ambientais e profissionais e aplicar estas metodologias num estudo de caso numa empresa metalomecânica, tendo em vista comparar os resultados das avaliações, por duas metodologias diferentes, dos riscos ambientais e profissionais e daí tirar conclusões. A vantagem da aplicação de duas metodologias diferentes na avaliação de riscos ambientais e profissionais é a de poder aferir se os resultados são idênticos independentemente da metodologia utilizada. Após a aplicação das duas metodologias, com critérios de avaliação diferentes, selecionadas para avaliação dos riscos ambientais, concluiu-se que as metodologias apresentam resultados semelhantes, o mesmo aconteceu com as duas metodologias, com critérios de avaliação, também, diferentes, selecionadas para avaliação dos riscos profissionais em que as duas metodologias apresentaram os mesmos resultados.

Antibody response to heat-inactivated hepatitis B vaccine (CLB-3mg) in hemodialysis patients and occupational risk personnel: a one year follow-up

Immune response against hepatitis B vaccine (CLB 3mg) was evaluated in 59 hemodialysis patients and 20 occupational risk personnel. Seroconversion was induced in 52.5% and 70.0% respectively. Twelve months after the first dose, 37.5% of patients and 60.0% of occupational risk personnel had detectable anti-HBs level. Antibody level was expressed in sample ratio units (SRU). Considering only the responders, in the patients group 38.7% had a low anti-HBs response (2.1-9.9 SRU) 32.3% a medium response (10-99.9 SRU) and 29.0% a high response (>100 SRU) while in occupational risk personnel these values were 14.3%, 64.3% and 21.4% respectively. The authors suggest the use of HBV vaccines with more elevated HBsAg concentration or a reinforced immunization schedule to improve the anti-HBs response not only for patients but also for healthy persons.

Application of a control banding tool for risk level assessment and control of nanoparticles exposure in welding operations

Scope of study: welding operations result in harmful emissions of nanoparticles; the aim of emissions monitorisation is to evaluate exposure levels and to derive protection measures in order to protect exposed workers; however, the traditional approach of comparing measured concentrations with exposure limits cannot be used; but risk levels can be quantified by using Control Banding Strategies.

Occupational and domiciliary contact with dogs as factors of risk to human infection with Toxocara larvae

The contact with dogs at home or place of work has been investigated as factors of risk in the occurrence of the visceral larva migrans syndrome caused by Toxocara, in man. Through the E.L.I.S.A. (enzyme-linked immunosorbent assay) technique, the presence of antibodies to Toxocara was searched in the sera of 79 women who have been raising or had raised dogs at home in the last two years and 123 men, who were municipal public employees in charge of the capture and keeping of stray dogs. The control groups were constituted by 205 sera from women who denied domiciliary contact with dogs, at least in the last two years, and 139 sera from men whose occupation did not urge them to contact with dogs. A significant more elevated frequency of antibodies to Toxocara was observed among women with domiciliary contact with dogs; nevertheless, there was not a significant difference in the positive rates in the case of men with occupational contact with dogs.

Assessment of direct radiological risk and indirect associated toxic risks originated by Coal-Fired Power Plants

Over the past few decades there has been some discussion concerning the increase of the natural background radiation originated by coal-fired power plants, due to the uranium and thorium content present in combustion ashes. The radioactive decay products of uranium and thorium, such as radium, radon, polonium, bismuth and lead, are also released in addition to a significant amount of 40K. Since the measurement of radioactive elements released by the gaseous emissions of coal power plants is not compulsory, there is a gap of information concerning this situation. Consequently, the prediction of dispersion and mobility of these elements in the environment, after their release, is based on limited data and the radiological impact from the exposure to these radioactive elements is unknown. This paper describes the methodology that is being developed to assess the radiological impact due to the raise in the natural background radiation level originated by the release and dispersion of the emitted radionuclides. The current investigation is part of a research project that is undergoing in the vicinity of Sines coal-fired power plant (south of Portugal) until 2013. Data from preliminary stages are already available and possible of interpretation.

Projecto de investimento imobiliário no edifício residencial no Estoril

Trabalho de Projecto para obtenção do grau de Mestre em Engenharia Civil