What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Individual pension information: Recommendations for the case of Spain based on the experiences of other countries

The aim of this paper is to establish some basic guidelines to help draft the information letter sent to individual contributors should it be decided to use this model in the Spanish public pension system. With this end in mind and basing our work on the experiences of the most advanced countries in the field and the pioneering papers by Jackson (2005), Larsson et al. (2008) and Sunden (2009), we look into the concept of “individual pension information” and identify its most relevant characteristics. We then give a detailed description of two models, those in the United States and Sweden, and in particular look at how they are structured, what aspects could be improved and what their limitations are. Finally we make some recommendations of special interest for designing the model for Spain.

A utilização da madeira na construção de edifícios: alternativas às soluções tradicionais

Esta dissertação insere-se num projecto de investigação relacionado com o papel que a madeira apresenta na construção nos tempos de hoje, necessário para obtenção do Mestrado em Engenharia Civil. A madeira apresenta, enquanto material de construção, especificidades únicas: é um material orgânico, ao contrário da pedra, do aço e do betão; é um material combustível, sem que isto implique necessariamente uma baixa resistência ao fogo; é um material tradicional, presente em pavimentos e coberturas de edifícios antigos e é, paradoxalmente, um material novo, adoptado em arrojadas obras de arquitectura contemporânea. Estas características, associadas à necessidade de garantir a sustentabilidade da construção e de conservar e reabilitar o património edificado, tornam essencial o estudo das propriedades mecânicas do material, dos seus processos de degradação química e biológica, dos meios de protecção e do comportamento de elementos estruturais ao fogo. As estruturas em madeira têm tido uma procura crescente no nosso país, revelando-se uma opção interessante, como alternativa a estruturas de aço ou de betão. No entanto, por configurarem ainda soluções estruturais, materiais e processos construtivos pouco comuns entre nós, considera-se que não estão suficientemente divulgados os instrumentos de que podemos e devemos dispor para a garantia da qualidade destas estruturas. É apresentado um estudo de viabilidade económica no âmbito do nosso país, comparando casas em madeira, modulares pré-fabricadas, com casas cuja construção é feita em alvenaria e betão armado, de forma a poder comparar os custos para ambas as soluções construtivas. Para tal, foram realizadas visitas a empresas, fábricas e a obras com o objectivo de entender como funciona o processo de fabrico de uma casa pré-fabricada em madeira.

Knowledge and technologies in innovative information systems

7th Mediterranean Conference on Information Systems, MCIS 2012, Guimaraes, Portugal, September 8-10, 2012, Proceedings Series: Lecture Notes in Business Information Processing, Vol. 129

Análise dos padrões motores utilizados no desempenho de uma tarefa funcional, com recurso ao BioStage®, em crianças com 9 a 10 anos de idade, e seu contributo para a terapia ocupacional

O estudo do comportamento motor, nomeadamente as áreas do desenvolvimento e controlo motor, têm permitido fundamentar a prática da terapia ocupacional, proporcionando um entendimento mais abrangente de aspetos relacionados com a análise de movimento. Todavia, o processo de análise de atividades, por norma, é realizado de forma empírica, principalmente devido à carência de métodos que avaliem de forma objetiva e precisa o comportamento motor e, consequentemente, os movimentos realizados no desempenho de atividades. Neste sentido, este estudo pretendeu encontrar padrões motores em crianças entre os nove e os dez anos de idade, com desenvolvimento normal, que traduzam o desempenho de uma tarefa motora funcional, com recurso ao sistema de captura e parametrização do movimento em tempo real BioStage®. Por outro lado, tentou-se perceber se o sistema poderia revelar-se um contributo para a prática da terapia ocupacional, possibilitando a obtenção de dados que possam ser utilizados na clínica. As tarefas selecionadas para análise foram os cinco lançamentos propostos pelo Bruininks-Oseretsky Test of Motor Proficiency, que consistem no lançamento por baixo uni e bilateral, lançamento ao chão uni e bilateral e lançamento ao alvo (unilateral). Os resultados encontrados apontam que aos nove e dez anos existem padrões motores similares entre as crianças, no entanto ainda se nota uma ligeira variabilidade no comportamento. Aferiu-se, também, que a idade, sexo e prática de exercício físico podem influenciar os padrões utilizados, estando de acordo com a literatura. O sistema BioStage® mostrou-se uma ferramenta eficaz para a análise de movimento, providenciando informação detalhada sobre o comportamento motor das crianças, no decorrer das tarefas. Deste modo, pode ser uma mais-valia para a prática da terapia ocupacional, podendo contribuir para uma análise de atividades mais precisa, objetiva e fundamentada.

Ageing effects on the wettability behavior of laser textured silicon

In the present work we investigate the ageing of acid cleaned femtosecond laser textured < 100 > silicon surfaces. Changes in the surface structure and chemistry were analysed by Rutherford backscattering spectrometry (RBS) and X-ray photoelectron spectroscopy (XPS), in order to explain the variation with time of the water contact angles of the laser textured surfaces. It is shown that highly hydrophobic silicon surfaces are obtained immediately after laser texturing and cleaning with acid solutions (water contact angle >120 degrees). However these surfaces are not stable and ageing leads to a decrease of the water contact angle which reaches a value of 80 degrees. XPS analysis of the surfaces shows that the growth of the native oxide layer is most probably responsible for this behavior. (C) 2010 Elsevier B.V. All rights reserved.

Augmented LDPC Graph for Distributed Video Coding with Multiple Side Information

The advances made in channel-capacity codes, such as turbo codes and low-density parity-check (LDPC) codes, have played a major role in the emerging distributed source coding paradigm. LDPC codes can be easily adapted to new source coding strategies due to their natural representation as bipartite graphs and the use of quasi-optimal decoding algorithms, such as belief propagation. This paper tackles a relevant scenario in distributedvideo coding: lossy source coding when multiple side information (SI) hypotheses are available at the decoder, each one correlated with the source according to different correlation noise channels. Thus, it is proposed to exploit multiple SI hypotheses through an efficient joint decoding technique withmultiple LDPC syndrome decoders that exchange information to obtain coding efficiency improvements. At the decoder side, the multiple SI hypotheses are created with motion compensated frame interpolation and fused together in a novel iterative LDPC based Slepian-Wolf decoding algorithm. With the creation of multiple SI hypotheses and the proposed decoding algorithm, bitrate savings up to 8.0% are obtained for similar decoded quality.

A influência do eWOM gerado pelos grupos de referência no Facebook, em Portugal

Dissertação apresentada ao Instituto Superior de Contabilidade e Administração do Porto para a obtenção do Grau de Mestre em Marketing Digital. Orientado por Mestre Inês Veiga Pereira

Determination of electricity consumers’ load profiles via weighted evidence accumulation clustering using subsampling

With the electricity market liberalization, the distribution and retail companies are looking for better market strategies based on adequate information upon the consumption patterns of its electricity consumers. A fair insight on the consumers’ behavior will permit the definition of specific contract aspects based on the different consumption patterns. In order to form the different consumers’ classes, and find a set of representative consumption patterns we use electricity consumption data from a utility client’s database and two approaches: Two-step clustering algorithm and the WEACS approach based on evidence accumulation (EAC) for combining partitions in a clustering ensemble. While EAC uses a voting mechanism to produce a co-association matrix based on the pairwise associations obtained from N partitions and where each partition has equal weight in the combination process, the WEACS approach uses subsampling and weights differently the partitions. As a complementary step to the WEACS approach, we combine the partitions obtained in the WEACS approach with the ALL clustering ensemble construction method and we use the Ward Link algorithm to obtain the final data partition. The characterization of the obtained consumers’ clusters was performed using the C5.0 classification algorithm. Experiment results showed that the WEACS approach leads to better results than many other clustering approaches.

VPPs information needs for effective operation in competitive electricity markets

The large increase of renewable energy sources and Distributed Generation (DG) of electricity gives place to the Virtual Power Producer (VPP) concept. VPPs may turn electricity generation by renewable sources valuable in electricity markets. Information availability and adequate decision-support tools are crucial for achieving VPPs’ goals. This involves information concerning associated producers and market operation. This paper presents ViProd, a simulation tool that allows simulating VPPs operation, focusing mainly in the information requirements for adequate decision making.

Cooperative scheduling system with emergent swarm based behavior

This paper presents a Swarm based Cooperation Mechanism for scheduling optimization. We intend to conceptualize real manufacturing systems as interacting autonomous entities in order to support decision making in agile manufacturing environments. Agents coordinate their actions automatically without human supervision considering a common objective – global scheduling solution taking advantages from collective behavior of species through implicit and explicit cooperation. The performance of the cooperation mechanism will be evaluated consider implicit cooperation at first stage through ACS, PSO and ABC algorithms and explicit through cooperation mechanism application.

Decision support system with incomplete and domain incoherent information management

Many of the most common human functions such as temporal and non-monotonic reasoning have not yet been fully mapped in developed systems, even though some theoretical breakthroughs have already been accomplished. This is mainly due to the inherent computational complexity of the theoretical approaches. In the particular area of fault diagnosis in power systems however, some systems which tried to solve the problem, have been deployed using methodologies such as production rule based expert systems, neural networks, recognition of chronicles, fuzzy expert systems, etc. SPARSE (from the Portuguese acronym, which means expert system for incident analysis and restoration support) was one of the developed systems and, in the sequence of its development, came the need to cope with incomplete and/or incorrect information as well as the traditional problems for power systems fault diagnosis based on SCADA (supervisory control and data acquisition) information retrieval, namely real-time operation, huge amounts of information, etc. This paper presents an architecture for a decision support system, which can solve the presented problems, using a symbiosis of the event calculus and the default reasoning rule based system paradigms, insuring soft real-time operation with incomplete, incorrect or domain incoherent information handling ability. A prototype implementation of this system is already at work in the control centre of the Portuguese Transmission Network.

A study on dynamic state information (DSI) around users for safe urban life

To select each node by devices and by contexts in urban computing, users have to put their plan information and their requests into a computing environment (ex. PDA, Smart Devices, Laptops, etc.) in advance and they will try to keep the optimized states between users and the computing environment. However, because of bad contexts, users may get the wrong decision, so, one of the users’ demands may be requesting the good server which has higher security. To take this issue, we define the structure of Dynamic State Information (DSI) which takes a process about security including the relevant factors in sending/receiving contexts, which select the best during user movement with server quality and security states from DSI. Finally, whenever some information changes, users and devices get the notices including security factors, then an automatic reaction can be possible; therefore all users can safely use all devices in urban computing.

Syntheses, Molecular Structures, Electrochemical Behavior, Theoretical Study, and Antitumor Activities of Organotin(IV) Complexes Containing 1-(4-Chlorophenyl)-1-cyclopentanecarboxylato Ligands

The organotin(IV) compounds [Me2Sn(L)(2)] (1), [Et(2)sn(L)(2)] (2), [(Bu2Sn)-Bu-n(L)(2)] (3), [(n)Oct(2)Sn(L)(2)] (4), [Ph2Sn(L)(2)] (5), and [PhOSnL](6) (6) have been synthesized from the reactions of 1-(4-chlorophenyl)-1-cyclopentanecarboxylic acid (HL) with the corresponding diorganotin(IV) oxide or dichloride. They were characterized by IR and multinuclear NMR spectroscopies, elemental analysis, cyclic voltammetry, and, for 2, 3, 4 and 6, single crystal X-ray diffraction analysis. While 1-5 are mononuclear diorganotin (IV) compounds, the X-ray diffraction of 6 discloses a hexameric drumlike structure with a prismatic Sn6O6 core. All these complexes undergo irreversible reductions and were screened for their in vitro antitumor activities toward HL-60, BGC-823, Bel-7402, and KB human cancer cell lines. Within the mononuclear compounds, the most active ones (3, 5) are easiest to reduce (least cathodic reduction potentials), while the least active ones (1, 4) are the most difficult to reduce. Structural rearrangements (i.e., Sn-O bond cleavages and trans-to-cis isomerization) induced by reduction, which eventually can favor the bioactivity, are disclosed by theoretical/electrochemical studies.

Histogram-based DNA analysis for the visualization of chromosome, genome and species information

We describe a novel approach to explore DNA nucleotide sequence data, aiming to produce high-level categorical and structural information about the underlying chromosomes, genomes and species. The article starts by analyzing chromosomal data through histograms using fixed length DNA sequences. After creating the DNA-related histograms, a correlation between pairs of histograms is computed, producing a global correlation matrix. These data are then used as input to several data processing methods for information extraction and tabular/graphical output generation. A set of 18 species is processed and the extensive results reveal that the proposed method is able to generate significant and diversified outputs, in good accordance with current scientific knowledge in domains such as genomics and phylogenetics.