Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Pair trading: Clustering based on principal component analysis

This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Increasing sales volume in mass business through inbound contact center

Field lab: Consulting lab

Essays in health economics: Volume-Outcome Effect, upcoding behaviour and the evaluation of a short-term intervention program

Evidence in the literature suggests a negative relationship between volume of medical procedures and mortality rates in the health care sector. In general, high-volume hospitals appear to achieve lower mortality rates, although considerable variation exists. However, most studies focus on US hospitals, which face different incentives than hospitals in a National Health Service (NHS). In order to add to the literature, this study aims to understand what happens in a NHS. Results reveal a statistically significant correlation between volume of procedures and better outcomes for the following medical procedures: cerebral infarction, respiratory infections, circulatory disorders with AMI, bowel procedures, cirrhosis, and hip and femur procedures. The effect is explained with the practice-makes-perfect hypothesis through static effects of scale with little evidence of learning-by-doing. The centralization of those medical procedures is recommended given that this policy would save a considerable number of lives (reduction of 12% in deaths for cerebral infarction).

O abuso de informação privilegiada (insider trading)

In the stock market, information takes on special relevance, due to the market’s permanent updating and the great fluidity of information existent therein. Just as in any other negotiations, the party with the better information has a bargaining advantage, as it is able to make more advantageous business decisions. However, unlike most other markets, the proper functioning of the stock market is greatly dependent on investors’ trust in the market itself. As such, if there are investors who, due to any condition they possess or office they hold, have access to relevant information which is not accessible to the general public, distrust is bred within the market and, consequently, investment is lessened. Thus, there is a need to prevent those who hold privileged information from using it in abusive ways. In Portugal, abuse of privileged information is set out and punished criminally in Article 378. of the Portuguese Securities Code (‘Código dos Valores Mobiliários’). In this dissertation, I have set out, firstly, to analyze the inherent conditions for there to be a crime of abuse of privileged information; secondly, to analyze two well-known cases, which took place and were decided in other jurisdictions, and attempt to understand how these cases would fall under Article 378. of the Portuguese Securities Code. Whereas the first case, Chiarella v. United States, was scrutinize under Article 378 of the Portuguese Securities Code, in the second, Lafonta v. AMF, the conclusion arrived at was that the crime taken place was different. This analysis allowed, on one hand, the application to a particular case of prerequisites and concepts which were explained, at a first approach, from a more theoretical perspective; on the other hand, it also allowed the further development of specific aspects of the regime, namely the difference between an insider and a tipee, as well as to more clearly set out the limits to the precise character of the information at hand.

Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Impacto da crise no volume e perfil de internamento de doentes com VIH-SIDA em Portugal Continental : análise temporal 2001-2012

RESUMO - Contexto: O início da crise económica em Portugal no ano de 2009 colocou o país numa grave recessão económica aliada a diversas medidas de austeridade. Como consequência assistiu-se, ao nível nacional, uma diminuição do PIB, aumento do desemprego e assim como uma série de restrições orçamentais em várias áreas, nomeadamente a da saúde. Apesar de existir inúmeros estudos que avaliaram o impacto das recessões económicas na saúde os resultados são controversos e não existe um consenso quanto a esta associação. No que se refere às doenças infeciosas o número de estudos é bastante mais reduzido. O objetivo deste estudo foi o de analisar o impacto da crise atual no volume e perfil de internamento de doentes com VIH/SIDA, de forma a complementar a escassa evidência existente neste domínio. Metodologia: Foram analisados 53,296 episódios de internamento nos hospitais do SNS entre o ano de 2001 e 2012, cujo diagnóstico principal é a infeção pelo VIH/SIDA. Considerou-se o ano de 2009 como o ano inicial da crise. Através de regressões multivariadas avaliou-se o impacto da crise no volume de doentes internados, duração de internamento, número de co-morbilidades, risco de ser admitido via urgência e risco de mortalidade no internamento. Adicionalmente repetiu-se a análise por região NUTS II de Portugal Continental (Norte, Alentejo, LVT, Centro e Algarve). Resultados: A crise não teve impacto no volume de doentes internados. No entanto, após o ano de 2009, registou-se uma diminuição de 5.6% na duração de internamento; um aumento de 1.6% no número de co-morbilidades; um aumento de 11.1% no risco de ser admitido via urgência e um aumento de 8.6% do risco de mortalidade no internamento. As análises por região permitiram verificar que as regiões mais afetadas pela crise foram a região LVT e a região Norte. Conclusão: A crise em Portugal não teve impacto na incidência de internamentos por VIH/SIDA. Porém o aumento do número de co-morbilidades, do risco de ser admitido via urgência e do risco de mortalidade no internamento parece refletir um agravamento da severidade dos casos após o ano de 2009. Adicionalmente a diminuição da duração de internamento com o efeito da crise poderá refletir tanto aumento da eficiência dos cuidados prestados ou ao contrário, uma diminuição da sua qualidade.

Efectividade e volume: uma aplicação a hospitais portugueses

RESUMO - Contexto: a avaliação da qualidade como tema potencialmente importante para utentes e prestadores de cuidados de saúde. A taxa de mortalidade como medida de resultados com um adequado ajustamento do risco. A existência de determinadas características estruturais do hospital às quais está associada uma menor mortalidade. Objectivos: identificar diferenças no desempenho e na taxa de mortalidade dos hospitais e investigar que características estruturais justificam essas diferenças. Metodologia: foram seleccionados os episódios de internamento das doenças de maior mortalidade hospitalar. A medida de desempenho considerada foi a comparação entre a mortalidade observada e a mortalidade esperada, calculada a partir da escala preditiva da mortalidade do Disease Staging, recalibrada para Portugal. A medida de desempenho foi analisada por hospital, doença e grupo de doenças. A ordenação dos hospitais pelo desempenho foi comparada com a ordenação dos hospitais pela taxa de mortalidade observada. O desempenho dentro de cada hospital foi analisado para um grupo de doenças seleccionadas. A relação entre o valor da medida de desempenho e as variáveis «número de episódios», «índice tecnológico» e «gravidade dos doentes tratados» foi analisada através da regressão linear para o conjunto dos episódios e para cada doença e grupo de doenças. Resultados: foram incluídos 379 074 episódios, agrupados em 21 doenças e 8 grupos de doenças e tratados em 81 hospitais. A taxa de mortalidade observada foi de 12%. Existiam diferenças no desempenho por hospital, alguns dos quais se destacam pelo seu melhor/pior nível de desempenho. Foram observadas as limitações da taxa de mortalidade bruta como instrumento de análise do desempenho, no contexto de hospitais com diferentes níveis de risco dos doentes tratados. Para além disso, evidenciou-se que a análise do hospital como um todo ou em cada uma das partes tem resultados distintos, dada a existência de diferentes níveis de desempenho dentro do hospital. Finalmente, verificou- se que a relação entre volume e desempenho, quando existe, é, na quase totalidade dos casos, não linear e inversa à referida na literatura.

Glucose-dependent insulinotropic polypeptide receptor deficiency leads to modifications of trabecular bone volume and quality in mice.

A role for the gastro-intestinal tract in controlling bone remodeling is suspected since serum levels of bone remodeling markers are affected rapidly after a meal. Glucose-dependent insulinotropic polypeptide (GIP) represents a suitable candidate in mediating this effect. The aim of the present study was to investigate the effect of total inhibition of GIP signaling on trabecular bone volume, microarchitecture and quality. We used GIP receptor (GIPR) knockout mice and investigated trabecular bone volume and microarchitecture by microCT and histomorphometry. GIPR-deficient animals at 16 weeks of age presented with a significant (20%) increase in trabecular bone mass accompanied by an increase (17%) in trabecular number. In addition, the number of osteoclasts and bone formation rate was significantly reduced and augmented, respectively in these animals when compared with wild-type littermates. These modifications of trabecular bone microarchitecture are linked to a remodeling in the expression pattern of adipokines in the GIPR-deficient mice. On the other hand, despite significant enhancement in bone volume, intrinsic mechanical properties of the bone matrix was reduced as well as the distribution of bone mineral density and the ratio of mature/immature collagen cross-links. Taken together, these results indicate an increase in trabecular bone volume in GIPR KO animals associated with a reduction in bone quality.

International Society of Urological Pathology (ISUP) Consensus Conference on Handling and Staging of Radical Prostatectomy Specimens. Working group 2: T2 substaging and prostate cancer volume.

The 2009 International Society of Urological Pathology consensus conference in Boston made recommendations regarding the standardization of pathology reporting of radical prostatectomy specimens. Issues relating to the substaging of pT2 prostate cancers according to the TNM 2002/2010 system, reporting of tumor size/volume and zonal location of prostate cancers were coordinated by working group 2. A survey circulated before the consensus conference demonstrated that 74% of the 157 participants considered pT2 substaging of prostate cancer to be of clinical and/or academic relevance. The survey also revealed a considerable variation in the frequency of reporting of pT2b substage prostate cancer, which was likely a consequence of the variable methodologies used to distinguish pT2a from pT2b tumors. Overview of the literature indicates that current pT2 substaging criteria lack clinical relevance and the majority (65.5%) of conference attendees wished to discontinue pT2 substaging. Therefore, the consensus was that reporting of pT2 substages should, at present, be optional. Several studies have shown that prostate cancer volume is significantly correlated with other clinicopathological features, including Gleason score and extraprostatic extension of tumor; however, most studies fail to demonstrate this to have prognostic significance on multivariate analysis. Consensus was reached with regard to the reporting of some quantitative measure of the volume of tumor in a prostatectomy specimen, without prescribing a specific methodology. Incorporation of the zonal and/or anterior location of the dominant/index tumor in the pathology report was accepted by most participants, but a formal definition of the identifying features of the dominant/index tumor remained undecided.

NAVA enhances tidal volume and diaphragmatic electro-myographic activity matching: a Range90 analysis of supply and demand.

Neurally adjusted ventilatory assist (NAVA) is a ventilation assist mode that delivers pressure in proportionality to electrical activity of the diaphragm (Eadi). Compared to pressure support ventilation (PS), it improves patient-ventilator synchrony and should allow a better expression of patient's intrinsic respiratory variability. We hypothesize that NAVA provides better matching in ventilator tidal volume (Vt) to patients inspiratory demand. 22 patients with acute respiratory failure, ventilated with PS were included in the study. A comparative study was carried out between PS and NAVA, with NAVA gain ensuring the same peak airway pressure as PS. Robust coefficients of variation (CVR) for Eadi and Vt were compared for each mode. The integral of Eadi (ʃEadi) was used to represent patient's inspiratory demand. To evaluate tidal volume and patient's demand matching, Range90 = 5-95 % range of the Vt/ʃEadi ratio was calculated, to normalize and compare differences in demand within and between patients and modes. In this study, peak Eadi and ʃEadi are correlated with median correlation of coefficients, R > 0.95. Median ʃEadi, Vt, neural inspiratory time (Ti_ ( Neural )), inspiratory time (Ti) and peak inspiratory pressure (PIP) were similar in PS and NAVA. However, it was found that individual patients have higher or smaller ʃEadi, Vt, Ti_ ( Neural ), Ti and PIP. CVR analysis showed greater Vt variability for NAVA (p < 0.005). Range90 was lower for NAVA than PS for 21 of 22 patients. NAVA provided better matching of Vt to ʃEadi for 21 of 22 patients, and provided greater variability Vt. These results were achieved regardless of differences in ventilatory demand (Eadi) between patients and modes.