Introducing spin-off stocks into the NSP’s risk parity strategy

Field lab: Nova Student Portfolio

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Macroeconomic risk in commodities market

The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.

Comparison of catheter-related infection risk in two different long-term venous devices in adult hematology-oncology patients

PURPOSE: Infection is the leading complication of long-term central venous catheters, and its incidence may vary according to catheter type. The objective of this study was to compare the frequency and probability of infection between two types of long-term intravenous devices. METHODS: Retrospective study in 96 onco-hematology patients with partially implanted catheters (n = 55) or completely implanted ones (n = 42). Demographic data and catheter care were similar in both groups. Infection incidence and infection-free survival were used for the comparison of the two devices. RESULTS: In a median follow-up time of 210 days, the catheter-related infection incidence was 0.2102/100 catheter-days for the partially implanted devices and 0.0045/100 catheter-days for the completely implanted devices; the infection incidence rate was 46.7 (CI 95% = 6.2 to 348.8). The 1-year first infection-free survival ratio was 45% versus 97%, and the 1-year removal due to infection-free survival ratio was 42% versus 97% for partially and totally implanted catheters, respectively (P <.001 for both comparisons). CONCLUSION: In the present study, the infection risk was lower in completely implanted devices than in partially implanted ones.

Monitoring liquidity risk at BPI GA

Field lab: Business project

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.

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.

Insider threats: the major challenge to security risk management

Security risk management is by definition, a subjective and complex exercise and it takes time to perform properly. Human resources are fundamental assets for any organization, and as any other asset, they have inherent vulnerabilities that need to be handled, i.e. managed and assessed. However, the nature that characterize the human behavior and the organizational environment where they develop their work turn these task extremely difficult, hard to accomplish and prone to errors. Assuming security as a cost, organizations are usually focused on the efficiency of the security mechanisms implemented that enable them to protect against external attacks, disregarding the insider risks, which are much more difficult to assess. All these demands an interdisciplinary approach in order to combine technical solutions with psychology approaches in order to understand the organizational staff and detect any changes in their behaviors and characteristics. This paper intends to discuss some methodological challenges to evaluate the insider threats and its impacts, and integrate them in a security risk framework, that was defined according to the security standard ISO/IEC_JTC1, to support the security risk management process.

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.