A comparative review of risk based portfolio allocations: An empirical study throughout rising yields

Since the financial crisis, risk based portfolio allocations have gained a great deal in popularity. This increase in popularity is primarily due to the fact that they make no assumptions as to the expected return of the assets in the portfolio. These portfolios implicitly put risk management at the heart of asset allocation and thus their recent appeal. This paper will serve as a comparison of four well-known risk based portfolio allocation methods; minimum variance, maximum diversification, inverse volatility and equally weighted risk contribution. Empirical backtests will be performed throughout rising interest rate periods from 1953 to 2015. Additionally, I will compare these portfolios to more simple allocation methods, such as equally weighted and a 60/40 asset-allocation mix. This paper will help to answer the question if these portfolios can survive in a rising interest rate environment.

Exposição a radiações ionizantes em cirurgia ortopédica num hospital público de Lisboa.

RESUMO - A monitorização individual dos trabalhadores (dosimetria individual) é obrigatória (Decreto Regulamentar n.o 9/90, de 19 de Abril) para os profissionais de saúde que desempenham funções com risco de exposição à radiação X, quando classificados como categoria A. Apesar disso, a exposição a radiações ionizantes é frequentemente pouco, ou mesmo nada, valorizada pelos profissionais de saúde. O presente estudo, realizado no contexto de intervenções cirúrgicas de ortopedia, teve por objectivos: • avaliar a dose de radiação em diferentes zonas durante as cirurgias ortopédicas; • estimar a dose de exposição a radiações ionizantes dos profissionais de saúde, em função das suas posições, predominantemente adoptadas durante o acto cirúrgico; • sensibilizar os profissionais de saúde para a utilização correcta da dosimetria individual e para a adopção das medidas de protecção radiológica. A avaliação do risco foi efectuada através de: 1) medições preliminares com recurso a um fantoma colocado a 50 cm e a 100 cm do eixo central do feixe de radiação e em direcções de 45°, 90° e 135°; 2) medições durante uma cirurgia ortopédica em «localizações » correspondentes às gónadas, ao cristalino e às mãos dos profissionais de saúde intervenientes na cirurgia (ortopedistas, enfermeiros instrumentistas); 3) medições ao nível do topo da mesa (posição do anestesista) e ao nível do comando do equipamento emissor de raios X (técnico de radiologia); 4) determinação do tempo de utilização dos raios X durante as cirurgias ortopédicas; 5) cálculo da estimativa do número anual de cirurgias ortopédicas realizadas, com base nos registos existentes. Assumindo a não utilização de aventais plúmbeos os valores máximos medidos foram de 2,5 mSv/h (ao nível das gónadas), de 0,6 mSv/h ao nível do cristalino e de 1 mSv/ h ao nível das mãos dos ortopedistas e dos enfermeiros instrumentistas (que se situavam próximo do feixe de raios X, a 50 cm do feixe de radiação). A estimativa de exposição anual (dose equivalente) para os profissionais que operam junto ao feixe de radiação X foi de: • Ortopedistas — 20,63 a 68,75 mSv (gónadas), 4,95 a 16,50 mSv (cristalino) e 8,25 a 27,50 mSv (mãos); • Enfermeiros instrumentistas — 130,63 a 151,25 mSv (gónadas), 31,35 a 36,30 mSv (cristalino) e 52,25 a Os profissionais que ocupam posições mais afastadas do feixe (por exemplo: anestesistas) terão doses de radiação mais reduzidas, embora estas possam ainda ser importantes ao nível das gónadas na zona do topo da mesa (anestesista). Conclui-se que a exposição profissional em blocos operatórios pode implicar, em cirurgia ortopédica, a sujeição a níveis de exposição consideráveis, o que permite classificar estes profissionais de categoria A, justificando a utilização obrigatória (e correcta de acordo com as recomendações) da dosimetria individual e a adopção de medidas de protecção radiológica, tantas vezes negligenciadas.

Reinvigorating and redesigning early intervention in psychosis services for young people in Auckland

RESUMO: Auckland tem sido pioneira na implementação de modelos de Intervenção Precoce em Psicose. No entanto, esta organização do serviço não mudou nos últimos 19 anos. Segundo os dados obtidos da utilização do serviço, no período de 1996 -2012 foram atendidos 997 doentes, que tinham um número médio de 89 contactos (IQR: 36-184), com uma duração média de 62 horas de contactos (IQR: 24-136). Estes doentes passaram um número médio de 338 dias (IQR: 93-757) em contacto com o programa. 517 doentes (52%) não necessitaram de internamento no hospital, e os que foram internados, ficaram uma mediana de 124 dias no hospital (IQR: 40-380). Os doentes asiáticos tiveram um aumento de 50% de probabilidade de serem internados no hospital. Este relatório inclui 15 recomendações para orientar as reformas para o serviço e, nomeadamente, delinear a importância de uma visão organizacional e dos seus componentes-chave. As recomendações incluem o reforço da gestão e da liderança numa estrutura de equipe mais integrada, com recursos dedicados a melhorar a consciencialização da comunidade, a educação e deteção precoce, bem como a capacidade de receber referenciações diretas. Os Indicadores Chave de Desempenho devem ser estabelecidos, mas os Exames de Estado Mental em risco, devem ser removidos. Auckland deve manter a faixa etária alvo atual. A duração do serviço deve ser aumentada para um mínimo de três anos, com a opção de aumentá-la para cinco anos. A proporção de gestor de cuidados para os doentes deve ser preconizada em 1:15, enquanto o pessoal de apoio não-clínico deve ser aumentado. Os psiquiatras devem ter uma carga de trabalho de cerca de 80 doentes por equivalente de tempo completo. Um serviço local de prestação de cuidados deve ser desenvolvido com, nomeadamente, intervenções culturais para responder às necessidades da população multicultural de Auckland. A capacidade de investigação deve ser incorporada no Serviço de Intervenção Precoce em Psicoses. Qualquer alteração deverá envolver contacto com todas as partes interessadas, e a Administração Regional de Saúde deve comprometer-se em tempo, recursos humanos e políticos para apoiar e facilitar a mudança do sistema, investindo de forma significativa para melhor servir a comunidade Auckland.----------------------------------- ABSTRACT: Auckland has been pioneering in the adoption of Early Intervention in Psychosis models but the design of the service has not changed in 19 years. In service utilisation data from 997 patients seen from 1996 -2012, patients had a median number of 89 contacts (IQR: 36-184), with a median duration of 62 hours of contact (IQR: 24-136). Patients spent a median number of 338 days (IQR: 93-757) in contact with the program. 517 patients (52%) did not require admission to hospital, and those who did spent a median of 124 days in hospital (IQR: 40-380). Asian patients had a 50% increased chance of being admitted to hospital. This report includes 15 recommendations to guide reforms to the service, including outlining the importance of vision and key components. It recommends strengthened managerial leadership and a more integrated team structure with dedicated resources for improved community awareness, education and early detection as well as the capacity to take direct referrals. Key Performance Indicators (KPIs) should be established but At Risk Mental States should be excluded. Auckland should maintain the current target age range. The duration of service should be increased to a minimum of three years, with the option to extend this to five years. The ratio of care co-ordinator to patients should be capped at 1:15 whilst non-clinical supporting staff should be increased. Psychiatrists should have a caseload of about 80 per FTE. A local Service Delivery framework should be developed, as should cultural interventions to meet the needs of the multicultural population of Auckland. Research capacity should be incorporated into the fabric of Early Intervention in Psychosis Services. Any changes should involve consultation with all stakeholders, and the DHB should commit to investing time, human and political resources to support and facilitate meaningful system change to best serve the Auckland community.

Improving retail banking staff incentive systems

This Work Project seeks to analyze the viability, utility and best way of implementing mechanisms of double accounting and of insertion of low (or null) sales objectives in an incentives program. The main findings are that both processes are possible and to a certain extent advisable, although in very specific ways and with some limitations. Double accounting processes are especially effective between different segments and networks and should have a greater impact in the first evaluation periods of each case and the null objectives, albeit usable, are recommended to be always substituted by positive objectives, even if quite small. Moreover, it is concluded that the formal structure of the incentives program influences significantly these concepts, namely concerning the duration of the evaluation periods and the interaction of the objectives of different entities for both the vertical (hierarchic) and horizontal (individual and collective) levels.

Assessing fraud risk of selecção, contratação e manutenção de fornecedores process of Sonae Investimentos

The present Work Project (WP) is the result of Sonae’s concern with fraud risk, seeking to implement a method that formally describes and evaluates it in its various forms. In a context of limited human, capital, time and tools’ resources, the Internal Audit (IA) department of the company developed a framework to raise the awareness of top management and identify which processes of its value chain present a higher level of exposure to fraud, with the purpose of redirecting attention to those and prioritizing the creation of new mechanisms to monitor its KPIs’ dynamics.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

Equity offerings, stock price crash risk, and the impact of securities regulation: international evidence

We examine whether earnings manipulation around seasoned equity offerings (SEOs) is associated with an increase in the likelihood of a stock price crash post-issue and test whether the enactment of securities regulations attenuate the relation between SEOs and crash risk. Empirical evidence documents that managerial tendency to conceal bad news increases the likelihood of a stock price crash (Jin and Myers, 2006; Hutton, Marcus, and Tehranian, 2009). We test this hypothesis using a sample of firms from 29 EU countries that enacted the Market Abuse Directive (MAD). Consistent with our hypothesis, we find that equity issuers that engage in earnings management experience a significant increase in crash risk post-SEO relative to control groups of non-issuers; this effect is stronger for equity issuers with poor information environments. In addition, our findings show a significant decline in crash risk post-issue after the enactment of MAD that is stronger for firms that actively manage earnings. This decline in post-issue crash risk is more effective in countries with high ex-ante institutional quality and enforcement. These results suggest that the implementation of MAD helps to mitigate managers’ ability to manipulate earnings around SEOs.

Defining risk acceptance criteria in occupational settings: A case study in the furniture industrial sector

The use of appropriate acceptance criteria in the risk assessment process for occupational accidents is an important issue but often overlooked in the literature, particularly when new risk assessment methods are proposed and discussed. In most cases, there is no information on how or by whom they were defined, or even how companies can adapt them to their own circumstances. Bearing this in mind, this study analysed the problem of the definition of risk acceptance criteria for occupational settings, defining the quantitative acceptance criteria for the specific case study of the Portuguese furniture industrial sector. The key steps to be considered in formulating acceptance criteria were analysed in the literature review. By applying the identified steps, the acceptance criteria for the furniture industrial sector were then defined. The Cumulative Distribution Function (CDF) for the injury statistics of the industrial sector was identified as the maximum tolerable risk level. The acceptable threshold was defined by adjusting the CDF to the Occupational, Safety & Health (OSH) practitioners’ risk acceptance judgement. Adjustments of acceptance criteria to the companies’ safety cultures were exemplified by adjusting the Burr distribution parameters. An example of a risk matrix was also used to demonstrate the integration of the defined acceptance criteria into a risk metric. This work has provided substantial contributions to the issue of acceptance criteria for occupational accidents, which may be useful in overcoming the practical difficulties faced by authorities, companies and experts.

Risk acceptance in the furniture sector: Analysis of acceptance level and relevant influence factors

Risk acceptance has been broadly discussed in relation to hazardous risk activities and/or technologies. A better understanding of risk acceptance in occupational settings is also important; however, studies on this topic are scarce. It seems important to understand the level of risk that stakeholders consider sufficiently low, how stakeholders form their opinion about risk, and why they adopt a certain attitude toward risk. Accordingly, the aim of this study is to examine risk acceptance in regard to occupational accidents in furniture industries. The safety climate analysis was conducted through the application of the Safety Climate in Wood Industries questionnaire. Judgments about risk acceptance, trust, risk perception, benefit perception, emotions, and moral values were measured. Several models were tested to explain occupational risk acceptance. The results showed that the level of risk acceptance decreased as the risk level increased. High-risk and death scenarios were assessed as unacceptable. Risk perception, emotions, and trust had an important influence on risk acceptance. Safety climate was correlated with risk acceptance and other variables that influence risk acceptance. These results are important for the risk assessment process in terms of defining risk acceptance criteria and strategies to reduce risks.

Risk assessment in a research laboratory during sol–gel synthesis of nano-TiO2

The occupational risks in the nanotechnology research laboratories are an important topic since a great number of researchers are involved in this area. The risk assessment performed by both qualitative and quantitative methods is a necessary step for the management of the occupational risks. Risk assessment could be performed by qualitative methods that gather consensus in the scientific community. It is also possible to use quantitative methods, based in different technics and metrics, as indicative exposure limits are been settled by several institutions. While performing the risk assessment, the information on the materials used is very important and, if it is not updated, it could create a bias in the assessment results. The exposure to TiO2 nanoparticles risk was assessed in a research laboratory using a quantitative exposure method and qualitative risk assessment methods. It was found the results from direct-reading Condensation Particle Counter (CPC) equipment and the CB Nanotool seem to be related and aligned, while the results obtained from the use of the Stoffenmanager Nano seem to indicate a higher risk level.

Qualitative risk assessment during polymer mortar test specimens preparation - methods comparison

Polymer binder modification with inorganic nanomaterials (NM) could be a potential and efficient solution to control matrix flammability of polymer concrete (PC) materials without sacrificing other important properties. Occupational exposures can occur all along the life cycle of a NM and “nanoproducts” from research through scale-up, product development, manufacturing, and end of life. The main objective of the present study is to analyse and compare different qualitative risk assessment methods during the production of polymer mortars (PM) with NM. The laboratory scale production process was divided in 3 main phases (pre-production, production and post-production), which allow testing the assessment methods in different situations. The risk assessment involved in the manufacturing process of PM was made by using the qualitative analyses based on: French Agency for Food, Environmental and Occupational Health & Safety method (ANSES); Control Banding Nanotool (CB Nanotool); Ecole Polytechnique Fédérale de Lausanne method (EPFL); Guidance working safely with nanomaterials and nanoproducts (GWSNN); Istituto Superiore per la Prevenzione e la Sicurezza del Lavoro, Italy method (ISPESL); Precautionary Matrix for Synthetic Nanomaterials (PMSN); and Stoffenmanager Nano. It was verified that the different methods applied also produce different final results. In phases 1 and 3 the risk assessment tends to be classified as medium-high risk, while for phase 2 the more common result is medium level. It is necessary to improve the use of qualitative methods by defining narrow criteria for the methods selection for each assessed situation, bearing in mind that the uncertainties are also a relevant factor when dealing with the risk related to nanotechnologies field.

Limitations and improvements to the risk assessment process in Olive Oil Mills: the views of OSH practitioners

Although most of the accidents occurred in Olive Oil Mill (OOM) resulted from “basic” risks, there is a need to apply adequate tools to support risk decisions that can meet the specificities of this sector. This study aims to analyse the views of Occupational, Safety & Health (OSH) practitioners about the risk assessment process in OOM, identifying the key difficulties inherent to the risk assessment process in these sector, as well as identifying some improvements to the current practice. This analysis was based on a questionnaire that was developed and applied to 13 OSH practitioners working at OOM. The results showed that the time available to perform the risk assessment is the more frequent limitation. They believe that the methodologies available are not an important limitation to this process. However, a specific risk assessment methodology, that includes acceptance criteria adjusted to the OOM reality, using risk metrics supported on the frequency of accidents and workdays lost, were indicated as being also an important contributions improve the process. A semi-quantitative approach, complemented with the use of the sector accident statistics, can be a good solution for this sector. However, further strategies should also be adopted, mainly those that can lead to an easy application of the risk assessment process.

Systematic design analysis and risk management on engineered nanoparticles occupational exposure

The production of nanotechnology-based products is increasing, along with the conscience of the possible harmful effects of some nanomaterials. The “safety-by-design” approaches are getting attention as helpful tools to develop safer products and production processes. The Systematic Design Analysis Approach could help to identify the solutions to control the workplace risks by defining the emission and exposure scenarios and the possible barriers to interrupt them. By applying this approach in a photocatalytic ceramic tiles development project it was possible to identify relevant nanoparticles emission scenarios and related barriers, and defining possible ways to reduce it.

Predicting type of delivery by identification of obstetric risk factors through data mining

In Maternity Care, a quick decision has to be made about the most suitable delivery type for the current patient. Guidelines are followed by physicians to support that decision; however, those practice recommendations are limited and underused. In the last years, caesarean delivery has been pursued in over 28% of pregnancies, and other operative techniques regarding specific problems have also been excessively employed. This study identifies obstetric and pregnancy factors that can be used to predict the most appropriate delivery technique, through the induction of data mining models using real data gathered in the perinatal and maternal care unit of Centro Hospitalar of Oporto (CHP). Predicting the type of birth envisions high-quality services, increased safety and effectiveness of specific practices to help guide maternity care decisions and facilitate optimal outcomes in mother and child. In this work was possible to acquire good results, achieving sensitivity and specificity values of 90.11% and 80.05%, respectively, providing the CHP with a model capable of correctly identify caesarean sections and vaginal deliveries.

Intelligent decision support to predict patient barotrauma risk in intensive care units

The occurrence of Barotrauma is identified as a major concern for health professionals, since it can be fatal for patients. In order to support the decision process and to predict the risk of occurring barotrauma Data Mining models were induced. Based on this principle, the present study addresses the Data Mining process aiming to provide hourly probability of a patient has Barotrauma. The process of discovering implicit knowledge in data collected from Intensive Care Units patientswas achieved through the standard process Cross Industry Standard Process for Data Mining. With the goal of making predictions according to the classification approach they several DM techniques were selected: Decision Trees, Naive Bayes and Support Vector Machine. The study was focused on identifying the validity and viability to predict a composite variable. To predict the Barotrauma two classes were created: “risk” and “no risk”. Such target come from combining two variables: Plateau Pressure and PCO2. The best models presented a sensitivity between 96.19% and 100%. In terms of accuracy the values varied between 87.5% and 100%. This study and the achieved results demonstrated the feasibility of predicting the risk of a patient having Barotrauma by presenting the probability associated.