Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Psychological safety, authentic leadership and social networks : A psycho-structural approach to the study of groups

Tese de Doutoramento em Psicologia na área de especialização de Psicologia das Organizações apresentada ao ISPA - Instituto Universitário

Basel III new capital requirements, impacts and bank behavior

For some years, researchers could not find a clear effect of capital adequacy on the risk profile of banks, as shareholders could increase the riskiness of the assets (qualitative effect), crowding-out the effect of reduced leverage (volume effect). Some shareholders might have the will to increase the riskiness of the assets, but they may lack the power to do so. Considering only ”powerful” shareholders, definitive conclusions were drawn but with constant ownership profile. In this paper I investigate whether there is a significant change in the type of shareholders in response to regulatory capital shocks and, if so, will the banking system be in the hands of more “desired” shareholders. I find that ownership profile responds to a regulatory shock, changing the risk appetite of the ruling power at the bank. I find more banks and the government in the ownership of undercapitalised banks and much less institutional shareholders and free float. I claim that these new shareholders may not the desired ones, given the objective of the regulatory change, as they are associated with a preference for more leverage. One possible explanation for this crowding-out effect is that regulators are trying to contain idiosyncratic risk (more linked to the riskiness of the assets) with a rule that contains systematic risk (capital adequacy). This has a distorting effect on ownership. Another insight can be drawn from the tests: supervisors should be aware of significant ownership movements that cause the crowding-out.

O impacto nos requisitos de capital de uma seguradora através da implementação de uma nova politica de resseguro

Neste projeto pretende-se explicar qual a importância que uma política de resseguro, adotada por uma empresa de seguros, no contexto do Solvência II. O desenvolvimento dessa política pretenderá ajudar a Seguradora a escolher os parâmetros contratuais de resseguro mais favoráveis à empresa, assim como definir quantos e por quais Resseguradores deverá optar nos tratados de resseguro, procurando criar uma nova política de resseguro que tenha um impato diminuto nos riscos de subscrição e de contraparte, ao mesmo tempo que garanta um retorno adequado para Companhia. A escolha das melhores soluções de resseguro serão efetuadas tendo em conta o menor custo na sua contratação e a otimização nos requisitos de capital face à necessidade de subscrição de novos negócios. Será neste ponto que se irá abordar o efeito que o risco de subscrição terá nos requisitos de capital através da criação de cenários, que terão por base a alteração de vários parâmetros. Esta análise mais específica será efetuada pela primeira vez nesta Seguradora. Os cenários criados terão em vista vários aspetos para a Seguradora, desde a otimização do custo de resseguro ao crescimento da sua carteira face ao seu apetite ao risco, através da alteração nos seus tratados de resseguro, mais especificamente nos seus parâmetros. Estas novas alterações pretendem ter impato mais favorável na sua margem de solvência face às anteriores políticas de resseguro implementadas. Em suma, pretende-se desenvolver uma nova política de resseguro que ajude a Seguradora a otimizar os seus riscos de subscrição e de contraparte, tendo em conta as análises e conclusões identificadas por cada cenário e determinar qual será o efeito nos requisitos de capital no âmbito do Solvência II.

O tempo da ruptura do mundo: "Antropoceno" e capital

A emergência do conceito Antropoceno, uma nova proposta de periodização geológica que coloca o “humano” enquanto referente causal do aquecimento global, suscita múltiplos campos de problematização. No centro da hipótese estão entendimentos particulares do “humano” e da “natureza” que são dispostos enquanto pressupostos de uma estrutura de medidas e considerações económicas, sociais e políticas. O processo de validação científica do termo assenta numa argumentação que, de modo paralelo, estabelece uma ontologia dos elementos em jogo e separa dela as questões do impacto transformativo do capital, identificando os seus modos, processos e elementos com a própria “natureza humana”. A par da emergência do conceito Antropoceno surgiram também perspectivas críticas que referem explicitamente as limitações dos pressupostos históricos, económicos e políticos que lhe servem de base: o capitaloceno, o aceleracionismo e a comunização. Procuramos ver de que modo estes campos críticos e teóricos interrogam não apenas as problemáticas da periodização geológica e ambiental mas também as aporias do seu tempo. A pesquisa é concluída com a sugestão de que questões políticas, subjectivas e técnicas saem reformuladas pelas problemáticas abordadas.

Basel III: The impact of new capital requirements on profitability of Portuguese Banks

This empirical study aims to explore the impact of increased capital ratio requirements, on the ROE of the Portuguese banking sector. The paper employs both a quantitative- and qualitative approach, with the qualitative approach as the main method of research. The method adopted to conduct the qualitative research was semi structured elite interviews with banking executives. Higher capital requirements decrease the ROE of banks in Portugal, but huge impairments charges, macroeconomic factors and increased costs of deposits are clearly the dominant reasons for the reduced levels of ROE the past years. Among the measures taken to increase capital ratios, reduction of RWAs and non-core assets have been the main focus, but the issuance of CoCos is regarded as the most expensive measure due to high interest payments. However, the CoCos will not have any effect on the ROE in the long term. It is difficult to draw any conclusions on the impact of more equity in the balance sheet on the ROE of Portuguese banks, as many banks currently don’t generate enough money to pay back on shareholders´ investments.

Aumento de capital social por "conversão" de créditos sobre a sociedade, nomeadamente de créditos resultantes de prestações suplementares

Na presente dissertação abordaremos o mecanismo do aumento de capital realizado com recurso a créditos sobre a sociedade, nomeadamente, resultantes de prestações suplementares. Este tema afigura-se-nos de particular interesse e considerável relevância não só teoricamente, como face ao momento histórico que vivemos. De facto, o modelo comummente adoptado pelas sociedades comerciais passava pelo recurso a elevados níveis de endividamento, sendo utilizados capitais externos como modo preferencial de financiamento. Dadas as recentes e generalizadas dificuldades de tesouraria e acesso a crédito, as estruturas financeiras das sociedades tiveram de ser repensadas, sendo os mecanismos de autofinanciamento cada vez mais bem vistos. A questão ora em análise afigura-se ainda como merecedora do nosso interesse e análise pelo facto de cruzar vários institutos jurídicos, uns regulados pelo direito civil (extinção e transmissão de obrigações) e outros pelo direito societário (aumento de capital e prestações suplementares), e versar também sobre outras áreas do saber como a contabilidade empresarial. Cumprindo a função de autofinanciamento da sociedade temos os aumentos de capital e as prestações suplementares. Mediante o aumento de capital social realizado com créditos sobre a própria sociedade, sejam estes créditos de terceiros, sejam créditos de sócios decorrentes da realização de prestações suplementares, realiza-se um financiamento com recurso a capitais próprios da sociedade que, desonerando-a de uma dívida, contribui para a sanidade financeira da mesma. Este é, pois, um mecanismo jurídico de grande relevância prática com evidentes vantagens tanto para os sócios – na medida em que fortalece a possibilidade de realização do objecto social - como para os credores – pois confere maior certeza de satisfação dos seus direitos de crédito. Assim, ao longo deste estudo, procuraremos demonstrar as vantagens e benefícios deste mecanismo que justificam amplamente, em nosso entender, que lhe seja dado o devido tratamento legislativo. Iniciaremos o nosso percurso com uma breve análise do conceito estruturante de todo o nosso direito societário, o capital social. Sendo este nuclear ao pensamento jus-societário português e ao tema que ora nos propomos tratar, afigura-se-nos como imperativa a sua devida definição e caracterização para posterior discussão das questões parcelares e particulares que encerra. Feita a sua análise, estaremos em condições de gizar os principais traços de dois dos modos de financiamento das sociedades, abordando primeiramente o elemento central da nossa exposição, o aumento de capital. Não gozando as prestações suplementares do mesmo regime que o capital social e não o integrando ou modificando, pelas suas características intrínsecas, cumprem funções similares a este e são, consequentemente, afins do aumento de capital social. Daí a sua inserção sistemática na presente no âmbito das “vicissitudes da vida das sociedades – modos de financiamento”. A abordagem e tratamento pormenorizado das prestações suplementares tem aqui lugar por força não só da sua função de autofinanciamento das sociedades, paralela à dos aumentos de capital, mas também e essencialmente por força do facto de da sua realização resultarem créditos sobre a sua sociedade que poderão ser objecto de entradas em futuros aumentos de capital. . Sendo a particularidade do mecanismo em causa o tipo de entrada com que é realizado – os créditos – múltiplas questões se levantam e merecem análise e reflexão. Seguir-se-á, então, o estudo da obrigação central e fundacional da posição jurídica de sócio e, consequentemente, da vida das sociedades comerciais, a obrigação de entrada. Aqui, demonstraremos a admissibilidade da realização de aumentos de capital com entradas constituídas por créditos, o que despoleta a questão central da nossa problemática – como se extingue a obrigação de entrada nos aumentos de capital realizados com créditos quando a lei societária proíbe determinante e expressamente a sua extinção por compensação? Aqui chegados, far-se-á uma incursão pelos principais ordenamentos jurídicos europeus, num breve estudo de direito comparado que nos permita iluminar a questão, que entre nós tem sido negligenciada pela doutrina, jurisprudência e, principalmente, pelo legislador. De facto, são poucas as vozes que entre nós versam sobre a incongruência entre a praxis recorrente de realização de aumentos de capital mediante conversão de crédito em capital e a proibição do 27.º n.º 5 do Código das Sociedades Comerciais. Não sendo admitida a compensação, cumpre analisar as várias causas de extinção das obrigações previstas no Código Civil que, à partida, poderão operar a extinção da obrigação de entrada.

Can a targeted psychological intervention be effective for young people following a first manic episode? Results from an 18-month pilot study.

Aim: There is a scarce literature describing psychological interventions for a young, first-episode cohort who have experienced psychotic mania. This study aimed to assess whether a manualized psychological intervention could be effective in reducing symptomatology and relapse, and improve functional outcome in this population. Methods: The study was an open-label design, drawn from a larger pharmacotherapy trial. All participants in the pharmacotherapy trial were offered a manualized psychological intervention in addition to case management. Inclusion in the psychotherapy group was based on participant's choice, and on completion of four or more of the eight modules offered. All clinical files were audited to ensure accuracy of group allocation. Forty young people aged 15 to 25 years old who had experienced a manic episode with psychotic features were recruited into the study, with 20 people in the combined treatment as usual plus psychotherapy group (P+TAU), and an equal number of matched control participants who received treatment as usual (TAU) within the same service. All participants were prescribed antipsychotic and mood-stabilizing medication. Symptomatic, functional and relapse measures were taken both at baseline and at 18-month follow-up. Results: Manic symptoms improved significantly for both groups, with no differences between groups. Depression scores and overall symptom severity were significantly lower in the P + TAU group. No differences were evident between groups with regard to numbers or type of relapse. The P + TAU group had significantly better social and occupational functioning after 18 months. Conclusion: This study suggests that a manualized psychological intervention targeted to a first-episode population can be effective in reducing depression and overall symptom severity, and can improve functional outcome following a first episode of psychotic mania.

Behavioral and psychological symptoms and cognitive decline in patients with amnestic MCI and mild AD: a two-year follow-up study.

BACKGROUND: Mild cognitive impairment (MCI) has been defined as a transitional state between normal aging and dementia. In many cases, MCI represents an early stage of developing cognitive impairment. Patients diagnosed with MCI do not meet the criteria for dementia as their general intellect and everyday activities are preserved, although minor changes in instrumental activities of daily living (ADL) may occur. However, they may exhibit significant behavioral and psychological signs and symptoms (BPS), also frequently observed in patients with Alzheimer's disease (AD). Hence, we wondered to what extent specific BPS are associated with cognitive decline in participants with MCI or AD. METHODS: Our sample consisted of 164 participants, including 46 patients with amnestic (single or multi-domain) MCI and 54 patients with AD, as well as 64 control participants without cognitive disorders. Global cognitive performance, BPS, and ADL were assessed using validated clinical methods at baseline and at two-year follow-up. RESULTS: The BPS variability over the follow-up period was more pronounced in the MCI group than in patients with AD: some BPS improve, others occur newly or worsen, while others still remain unchanged. Moreover, specific changes in BPS were associated with a rapid deterioration of the global cognitive level in MCI patients. In particular, an increase of euphoria, eating disorders, and aberrant motor behavior, as well as worsened sleep quality, predicted a decline in cognitive functioning. CONCLUSIONS: Our findings confirm a higher variability of BPS over time in the MCI group than in AD patients. Moreover, our results provide evidence of associations between specific BPS and cognitive decline in the MCI group that might suggest a risk of conversion of individuals with amnestic MCI to AD.

Influence of a lifestyle intervention in preschool children on physiological and psychological parameters (Ballabeina): study design of a cluster randomized controlled trial.

Childhood obesity and physical inactivity are increasing dramatically worldwide. Children of low socioeconomic status and/or children of migrant background are especially at risk. In general, the overall effectiveness of school-based programs on health-related outcomes has been disappointing. A special gap exists for younger children and in high risk groups. This paper describes the rationale, design, curriculum, and evaluation of a multicenter preschool randomized intervention study conducted in areas with a high migrant population in two out of 26 Swiss cantons. Twenty preschool classes in the German (canton St. Gallen) and another 20 in the French (canton Vaud) part of Switzerland were separately selected and randomized to an intervention and a control arm by the use of opaque envelopes. The multidisciplinary lifestyle intervention aimed to increase physical activity and sleep duration, to reinforce healthy nutrition and eating behaviour, and to reduce media use. According to the ecological model, it included children, their parents and the teachers. The regular teachers performed the majority of the intervention and were supported by a local health promoter. The intervention included physical activity lessons, adaptation of the built infrastructure; promotion of regional extracurricular physical activity; playful lessons about nutrition, media use and sleep, funny homework cards and information materials for teachers and parents. It lasted one school year. Baseline and post-intervention evaluations were performed in both arms. Primary outcome measures included BMI and aerobic fitness (20 m shuttle run test). Secondary outcomes included total (skinfolds, bioelectrical impedance) and central (waist circumference) body fat, motor abilities (obstacle course, static and dynamic balance), physical activity and sleep duration (accelerometry and questionnaires), nutritional behaviour and food intake, media use, quality of life and signs of hyperactivity (questionnaires), attention and spatial working memory ability (two validated tests). Researchers were blinded to group allocation. The purpose of this paper is to outline the design of a school-based multicenter cluster randomized, controlled trial aiming to reduce body mass index and to increase aerobic fitness in preschool children in culturally different parts of Switzerland with a high migrant population. Trial Registration: (clinicaltrials.gov) NCT00674544.

Associations between fruit and vegetable consumption and psychological distress: results from a population-based study.

BACKGROUND: Several studies observed associations of various aspects of diet with mental health, but little is known about the relationship between following the 5-a-day recommendation for fruit and vegetables consumption and mental health. Thus, we examined the associations of the Swiss daily recommended fruit and vegetable intake with psychological distress. METHODS: Data from 20,220 individuals aged 15+ years from the 2012 Swiss Health Survey were analyzed. The recommended portions of fruit and vegetables per day were defined as 5-a-day (at least 2 portions of fruit and 3 of vegetables). The outcome was perceived psychological distress over the previous 4 weeks (measured by the 5-item mental health index [MHI-5]). High distress (MHI-5 score ≤ 52), moderate distress (MHI-5 > 52 and ≤ 72) and low distress (MHI-5 > 72 and ≤ 100) were differentiated and multinomial logistic regression analyses adjusted for known confounding factors were performed. RESULTS: The 5-a-day recommendation was met by 11.6 % of the participants with low distress, 9.3 % of those with moderate distress, and 6.2 % of those with high distress. Consumers fulfilling the 5-a-day recommendation had lower odds of being highly or moderately distressed than individuals consuming less fruit and vegetables (moderate vs. low distress: OR = 0.82, 95 % confidence interval [CI] 0.69-0.97; high vs. low distress: OR = 0.55, 95 % CI 0.41-0.75). CONCLUSIONS: Daily intake of 5 servings of fruit and vegetable was associated with lower psychological distress. Longitudinal studies are needed to further determine the causal nature of this relationship.