Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

Towards an efficient and robust foot classification from pedobarographic images

O documento em anexo encontra-se na versão post-print (versão corrigida pelo editor).

Usefulness of corneal esthesiometry for screening diabetic retinopathy

OBJECTIVE: To assess the usefulness of corneal esthesiometry for screening diabetic retinopathy. METHODS: A cross-sectional study was carried out comprising 575 patients attending a diabetic retinopathy-screening program in the city of São Paulo. Corneal esthesiometry was assessed with the Cochet-Bonnet esthesiometer. The presence of diabetic retinopathy was detected with indirect fundoscopy. The validity of corneal esthesiometry in identifying diabetic retinopathy was evaluated by the Receiver Operating Characteristic (ROC) curve. RESULTS: Sensitivity and specificity analyses of the corneal esthesiometry for detecting the stages of diabetic retinopathy using different cut-offs showed values less than 80%. The best indices (72.2% sensitivity and 57.4% specificity) were obtained for the identification of patients with proliferative diabetic retinopathy. CONCLUSIONS: In the study series, corneal esthesiometry was not a good indicator of diabetic retinopathy.

Typical load profiles in the smart grid context – a clustering methods comparison

The present research paper presents five different clustering methods to identify typical load profiles of medium voltage (MV) electricity consumers. These methods are intended to be used in a smart grid environment to extract useful knowledge about customer’s behaviour. The obtained knowledge can be used to support a decision tool, not only for utilities but also for consumers. Load profiles can be used by the utilities to identify the aspects that cause system load peaks and enable the development of specific contracts with their customers. The framework presented throughout the paper consists in several steps, namely the pre-processing data phase, clustering algorithms application and the evaluation of the quality of the partition, which is supported by cluster validity indices. The process ends with the analysis of the discovered knowledge. To validate the proposed framework, a case study with a real database of 208 MV consumers is used.

Deformação miocárdica analisada por 2D strain em indivíduos com lúpus eritematoso sistémico

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de especialização: Ultrassonografia Cardiovascular.

IGRT com CBCT: o impacto na precisão em radioterapia

Mestrado em Radiações Aplicadas às Tecnologias da Saúde.

Zonal prices analysis supported by a data mining based methodology

A methodology based on data mining techniques to support the analysis of zonal prices in real transmission networks is proposed in this paper. The mentioned methodology uses clustering algorithms to group the buses in typical classes that include a set of buses with similar LMP values. Two different clustering algorithms have been used to determine the LMP clusters: the two-step and K-means algorithms. In order to evaluate the quality of the partition as well as the best performance algorithm adequacy measurements indices are used. The paper includes a case study using a Locational Marginal Prices (LMP) data base from the California ISO (CAISO) in order to identify zonal prices.

What do we know about the α/β for prostate cancer?

Since last decade, the debate on the parameter which reflects prostate cancer sensitivity to fractionation in a radiotherapy treatment, the α/β, has become extensive. Unlike most tumors, the low labeling indices (LI) and large potential doubling time that characterize the prostate tumor led some authors to consider that it may behave as a late responding tissue. So far, the existing studies with regard to this subject point to a low value of α/β, around 2.7 Gy, which may be considered as a therapeutic gain in relation to surrounding normal tissues by using fewer and larger fractions. The aim of this paper is to review several estimates that have been made in the last few years regarding the prostate cancer α/β both from clinical and experimental data, as well as the set of factors that have potentially influenced these evaluations.

Neonatal anthropometry: a tool to evaluate the nutritional status and predict early and late risks

Neonatal anthropometry is an inexpensive, noninvasive and convenient tool for bedside evaluation, especially in sick and fragile neonates. Anthropometry can be used in neonates as a tool for several purposes: diagnosis of foetal malnutrition and prediction of early postnatal complications; postnatal assessment of growth, body composition and nutritional status; prediction of long-term complications including metabolic syndrome; assessment of dysmorphology; and estimation of body surface. However, in this age group anthropometry has been notorious for its inaccuracy and the main concern is to make validated indices available. Direct measurements, such as body weight, length and body circumferences are the most commonly used measurements for nutritional assessment in clinical practice and in field studies. Body weight is the most reliable anthropometric measurement and therefore is often used alone in the assessment of the nutritional status, despite not reflecting body composition. Derived indices from direct measurements have been proposed to improve the accuracy of anthropometry. Equations based on body weight and length, mid-arm circumference/head circumference ratio, and upper-arm cross-sectional areas are among the most used derived indices to assess nutritional status and body proportionality, even though these indices require further validation for the estimation of body composition in neonates.

Image quality of myocardial perfusion-gated studies: effect of ingestion of different fat content in the reduction of extra-myocardial abdominal signal

Myocardial perfusion-gated-SPECT (MP-gated-SPECT) imaging often shows radiotracer uptake in abdominal organs. This accumulation interferes frequently with qualitative and quantitative assessment of the infero-septal region of myocardium. The objective of this study is to evaluate the effect of ingestion of different fat content on the reduction of extra-myocardial uptake and to improve MP-gated-SPECT image quality. In this study, 150 patients (65 ^ 18 years) who were referred for MP-gated-SPECT underwent a 1-day-protocol including imaging after stress (physical or pharmacological) and resting conditions. All patients gave written informed consent. Patients were subdivided into five groups: GI, GII, GIII, GIV and GV. In the first four groups, patients ate two chocolate bars with different fat content. Patients in GV – control group (CG) – had just water. Uptake indices (UI) of myocardium (M)/liver(L) and M/stomach–proximal bowel(S) revealed lower UI of M/S at rest in all groups. Both stress and rest studies using different food intake indicate that patients who ate chocolate with different fat content showed better UI of M/L than the CG. The UI of M/L and M/S of groups obtained under physical stress are clearly superior to that of groups obtained under pharmacological stress. These differences are only significant in patients who ate high-fat chocolate or drank water. The analysis of all stress studies together (GI, GII, GIII and GIV) in comparison with CG shows higher mean ranks of UI of M/L for those who ate high-fat chocolate. After pharmacological stress, the mean ranks of UI of M/L were higher for patients who ate high- and low-fat chocolate. In conclusion, eating food with fat content after radiotracer injection increases, respectively, the UI of M/L after stress and rest in MP-gated-SPECT studies. It is, therefore, recommended that patients eat a chocolate bar after radiotracer injection and before image acquisition.

Infestation of Aedes aegypti estimated by oviposition traps in Brazil

OBJECTIVE: To assess infestation levels of Aedes aegypti using the oviposition trap (ovitrap) method and to compare these results with data obtained with the use of indices traditionally applied in public programs aimed at fighting this vector. METHODS: Nine sentinel areas in Northeastern, Brazil, were assessed and infestation levels were measured for a nine-month period. Egg density and container indices were estimated and compared with previous results found using the house index and Breteau index. RESULTS: The results indicated that the area studied was infested with this vector during the entire study period and that the infestation was widespread in all areas. Different results were found with the different indices studied. There were areas in which the house index and the Breteau index were negative or close to zero, whereas the container index for the same area was 11% and the egg density index was 8.3%. CONCLUSIONS: The container and egg density indices allow better assessment of infestation rates in a city than the conventionally used indices (house index and Breteau index). At lower operational costs and easier standardization, these indices can be applied as a measurement tool for assessing infestation rates during entomological surveillance in programs to fight Aedes aegypti.

Avaliação ecocardiográfica de doentes propostos para terapêutica de ressincronização: impacto dos índices de dissincronia

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular - Área de especialização: Ultrassonografia Cardiovascular.

Caracterização da pescaria do peixe-espada preto nos Açores de 2008 a 2012

Dissertação de Mestrado, Estudos Integrados dos Oceanos, 13 de Fevereiro de 2014, Universidade dos Açores.

Satisfação com o trabalho em contexto organizacional: um estudo de caso, na Empresa de Eletricidade dos Açores

Dissertação de Mestrado, Sociologia, 24 de Março de 2014, Universidade dos Açores.

Suspected acute toxoplasmosis in pregnant women

OBJECTIVE: To determine the prevalence of reagent serology for suspected acute toxoplasmosis in pregnant women and to describe clinical, laboratory and therapeutic profiles of mothers and their children. METHODS: A retrospective study was conducted with IgM-anti-Toxoplasma gondii-reagent pregnant women and their children who attended the public health system in the state of Paraná, Southern Brazil, from January 2001 to December 2003. Information were obtained from clinical, laboratory (ELISA IgM/IgG) and ultrasonographic data and from interviews with the mothers. To test the homogeneity of the IgM indices in relation to the treatment used, the Pearson's Chi-square test was applied. Comparisons were considered significant at a 5% level. RESULTS: Two hundred and ninety (1.0%) cases of suspected IgM-reagent infection were documented, with a prevalence of 10.7 IgM-reagent women per 1,000 births. Prenatal care started within the first 12 weeks for 214/290; 146/204 were asymptomatic. Frequent complaints included headaches, visual disturbance and myalgia. Ultrasonography revealed abnormalities in 13 of 204 pregnancies. Chemoprophylaxis was administered to 112/227; a single ELISA test supported most decisions to begin treatment. Pregnant women with IgM indices =2.000 tended to be treated more often. Among exposed children, 44/208 were serologically followed up and all were IgG-reagent, and three IgM-reagent cases showed clinical symptoms. CONCLUSIONS: The existence of pregnant women with laboratorially suspected acute toxoplasmosis who were not properly followed up, and of fetuses that were not adequately monitored, shows that basic aspects of the prenatal care are not being systematically observed. There is need of implementing a surveillance system of pregnant women and their children exposed to T. gondii.