Elaboração e estruturação de um modelo de rating interno

Temos vindo a assistir nos últimos anos a uma evolução no que respeita à avaliação do risco de crédito. As constantes alterações de regulamentação bancária, que resultam dos Acordos de Basileia, têm vindo a impor novas normas que condicionam a quantidade e a qualidade do risco de crédito que as Instituições de Crédito podem assumir nos seus balanços. É de grande importância as Instituições de Crédito avaliarem o risco de crédito, as garantias e o custo de capital, pois têm um impacto direto na sua gestão nomeadamente quanto à afetação de recursos e proteção contra perdas. Desta forma, pretende-se com o presente trabalho elaborar e estruturar um modelo de rating interno através de técnicas estatísticas, assim como identificar as variáveis estatisticamente relevantes no modelo considerado. Foi delineada uma metodologia de investigação mista, considerando na primeira parte do trabalho uma pesquisa qualitativa e na segunda parte uma abordagem quantitativa. Através da análise documental, fez-se uma abordagem dos conceitos teóricos e da regulamentação que serve de base ao presente trabalho. No estudo de caso, o modelo de rating interno foi desenvolvido utilizando a técnica estatística designada de regressão linear múltipla. A amostra considerada foi obtida através da base de dados SABI e é constituída por cem empresas solventes, situadas na zona de Paredes, num horizonte temporal de 2011-2013. A nossa análise baseou-se em três cenários, correspondendo cada cenário aos dados de cada ano (2011, 2012 e 2013). Para validar os pressupostos do modelo foram efetuados testes estatísticos de Durbin Watson e o teste de significância - F (ANOVA). Por fim, para obtermos a classificação de rating de cada variável foi aplicada a técnica dos percentis. Pela análise dos três cenários considerados, verificou-se que o cenário dois foi o que obteve maior coeficiente de determinação. Verificou-se ainda que as variáveis independentes, rácio de liquidez geral, grau de cobertura do ativo total pelo fundo de maneio e rácio de endividamento global são estatisticamente relevantes.

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

Enhancement of an implemented rating model and impact on existing risk management processes: A hands-on approach from financial supplier risk management within the automotive industry

The purpose of this paper is to conduct a methodical drawback analysis of a financial supplier risk management approach which is currently implemented in the automotive industry. Based on identified methodical flaws, the risk assessment model is further developed by introducing a malus system which incorporates hidden risks into the model and by revising the derivation of the most central risk measure in the current model. Both methodical changes lead to significant enhancements in terms of risk assessment accuracy, supplier identification and workload efficiency.

Long-run performance of sovereign rating changes

This paper examines the impact of Sovereign rating changes on the aggregate stock and bond market returns both in emerging and developed countries. Rating downgrades in emerging markets are associated with significant negative wealth effects both in the stock and bond markets. Moreover, the effects of rating downgrades persist up to six-months after the event. In contrast, upgrades in emerging markets convey no information. Rating changes in developed markets have no significant impact on either stock and bond market returns. Rating agencies act pro-cyclically, downgrading countries in bad times and, consequently, contributing to the instability in emerging markets.

Comparison between the spastic paraplegia rating scale, Kurtzke scale, and Osame scale in the tropical spastic paraparesis/myelopathy associated with HTLV

INTRODUCTION:The objective of this study was to compare Osame's scale of motor incapacity and the expanded scale of the state of incapacity of Kurtzke with the spastic paraplegia rating scale for the clinical evaluation of patients with HTLV-I-associated myelopathy/tropical spastic paraparesis (HAM/TSP). METHODS: Patients with the diagnosis of infection by HTLV-I/HTLV-II and with the clinical suspicion of HAM/TSP were included in the study. RESULTS: There were 45 patients who were evaluated. When analyzing the results of the scales, the researchers found the following averages of 21.08 points for the spastic paraplegia rating scale, 4.35 points for Osame's scale, and 4.77 points for Kurtzke's scale. The relation between the scale of paraplegia with Osame's was very significant with p < 0.0001, and regarding Kurtzke's scale, there was a similar result of p < 0.0001. When comparing Osame's, Kurtze's, and the spastic paraplegia rating scale with the time of disease, the researchers found a significant result of p = 0.0004 for the scale of spastic paraplegia, p = 0.0018 for Osame's scale, and p < 0.0001 for Kurtzke's scale. CONCLUSION: The spastic paraplegia rating scale has a good relation with Osame's and Kurtzke's scales showing a p index that is very significant that indicates that, although the scale was not initially made to be applied to patients with HAM/TSP because of the infection by HLTV, it showed to be as efficient as Osame's and Kurtzke's scales in evaluating the patients' neurological conditions.

Rating corporate groups a modelling experience

This paper aims to provide a model that allows BPI to measure the credit risk, through its rating scale, of the subsidiaries included in the corporate groups who are their clients. This model should be simple enough to be applied in practice, accurate, and must give consistent results in comparison to what have been the ratings given by the bank. The model proposed includes operational, strategic, and financial factors and ends up giving one of three results: no support, partial support, or full support from the holding to the subsidiary, and each of them translates in adjustments in each subsidiary’s credit rating. As it would be expectable, most of the subsidiaries should have the same credit rating of its parent company.

STAR: Speech Therapy with Augmented Reality for children with autism spectrum disorders

Graphics based systems of Augmented and Alternative Communication are widely used to promote communication in people with Autism Spectrum Disorders. This study discusses an integration of Augmented Reality in communication interventions, by relating elements of Augmented and Alternative Communication and Applied Behaviour Analysis strategies. An architecture for an Augmented Reality based interactive system to assist interventions is proposed. STAR provides an Augmented Reality tool to assist interventions performed by therapists and support for parents to join in and participate in the child’s intervention. Finally we report on the usage of the Augmented Reality tool in interventions with children with Autism Spectrum Disorders.

Updating of the hierarchical rock mass rating (HRMR) system and a new subsystem developed for weathered granite formations

The RMR system is still very much applied in rock mechanics engineering context. It is based on the evaluation of six weights to obtain a final rating. To obtain the final rating a considerable amount of information is needed concerning the rock mass which can be difficult to obtain in some projects or project stages at least with accuracy. In 2007 an alternative classification scheme based on the RMR, the Hierarchical Rock Mass Rating (HRMR) was presented. The main feature of this system was the adaptation to the level of knowledge existent about the rock mass to obtain the classification of the rock mass since it followed a decision tree approach. However, the HRMR was only valid for hard rock granites with low fracturing degrees. In this work, the database was enlarged with approximately 40% more cases considering other types of granite rock masses including weathered granites and based on this increased database the system was updated. Granite formations existent in the north of Portugal including Porto city are predominantly granites. Some years ago a light rail infrastructure was built in the city of Porto and surrounding municipalities whi h involved considerable challenges due to the high heterogeneity levels of the granite formations and the difficulties involved in their geomechanical characterization. In this work it is intended to provide also a contribution to improve the characterization of these formations with special emphasis to the weathered horizons. A specific subsystem applicable to the weathered formations was developed. The results of the validation of these systems are presented and show acceptable performances in identifying the correct class using less information than with the RMR system.

Poly(2-hydroxyethyl methacrylate): A new star polymer

Multiarm star polymers are attractive materials due to their unusual bulk and solution properties. They are considered analogues of dendrimers with a wide range of applications, such as drug delivery, membranes, coatings and lithography.1 The advent of controlled polymerization made possible the existence of this unique class of organic nanoparticles (ONPs).2 Two major synthetic strategies are usually employed in the preparation of star polymers, the core-first and arm-first approaches. The core-first approach involves a controlled living polymerization using a multiarm initiator core while the arm-first methodology is based in the quenching of living polymers with multifunctional coupling agent or bifunctional vinyl compounds. Herein, we present the synthesis and characterization of a new star polymer, the multiarm star poly(2-hydroxyethyl methacrylate). The tetra-armed star polymer was prepared by reversible addition fragmentation chain-transfer (RAFT) polymerization using the core-first approach. The RAFT chain-transfer agent (RAFT CTA) pentaerythritol tetrakis[2-(dodecylthiocarbonothioylthio)-2-methylpropionate] was used as multiarm initiator core were 2-hydroxyethyl methacrylate (HEMA) was polymerized using AIBN as radical initiator. Structural characterization was performed by 1H NMR and FTIR. The new polymer is able to uptake large quantities of organic solvents, forming gels. The rheological behavior of these gels was also investigated.

On mappings preserving the sharp and star orders

The present paper is devoted to the study of linear maps preserving certain relations, such as the sharp partial order and the star partial order in semisimple Banach algebras and C*-algebras.

Cross-cultural adaptation to Brazil of Medication Adherence Rating Scale for psychiatric patients

Objective The purpose of this research was to make a cross-cultural adaptation of the Medication Adherence Rating Scale (MARS) for psychiatric patients to the Brazilian context. Methods The procedure consisted of four phases: translation of the original scale, back-translation, review by an Expert Committee and Pre-test study with a patients’ sample. Results The Expert Committee corrected the items’ translation when necessary and modified the scale administration format and its instructions from self-report to face-to-face interview form in order to ensure easy understanding by the target population. During Pre-test, the instructions and most of the items were properly understood by patients, with the exception of three of them which had to be changed in order to ensure better understanding. The Pre-test sample was composed by 30 psychiatric patients, with severe and persistent disorders mainly single (46.7%), female (60.0%), with a mean age of 43.8 years old and an average of five years of education. Conclusion The Brazilian version of MARS scale is now adapted to the Brazilian Portuguese language and culture and is easily understood by the psychiatric target population. It is necessary to do further research to evaluate the scale psychometric qualities of validity and reliability in order to use it in Brazil.

Investigação das dificuldades na memória de trabalho em alunos do 2º ano do Ensino Fundamental em Manaus: um estudo com a Working Memory Rating Scale

Dissertação de mestrado em Educação Especial (área de especialização em Dificuldades de Aprendizagem Específicas)

Escalas de Avaliação da Interação Mãe-Bebé: versão portuguesa das Interaction Rating Scales

As Escalas de Avaliação da Interação Mãe-Bebé constituem a versão portuguesa das Interaction Rating Scales, propostas por Field (1980), e têm por objetivo avaliar a interação mãe-bebé, aos 3 meses de idade do bebé. As Escalas de Avaliação da Interação Mãe-Bebé foram administradas a 51 díades mãe-bebé aos 3, 6 e 12 meses pós-parto. A versão portuguesa das escalas mostrou elevados índices de consistência interna – Alfa de Cronbach 0,85 (IRSff bebé), 0,91 (IRSff mãe), 0,87 (IRSal bebé), 0,82 (IRSal mãe), assim como elevada fidelidade e validade concorrente e preditiva. As Escalas de Avaliação da Interação Mãe-Bebé assume-se, assim, como um instrumento robusto na avaliação da interação mãe-bebé, na situação de interação face-a-face e na situação de interação alimentar, podendo ser utilizadas em diferentes amostras e contextos, clínicos e de investigação.

3-Regime symmetric STAR modeling and exchange rate reversion

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric e¤ects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold e¤ects by encompassing other existing models, such as TAR models. We apply our methodology to three di¤erent exchange rate data-sets, one for developing countries, and o¢ cial nominal exchange rates, the sec- ond emerging market economies using black market exchange rates and the third for OECD economies.