A gestão do risco de liquidez e a concessão de crédito durante os períodos de crise

Dissertação de Mestrado Apresentada ao Instituto Superior de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Contabilidade e Finanças, sob orientação do Doutor Mário Joel Matos Veiga de Oliveira Queirós.

Evaluation of surrogate markers for human immunodeficiency virus infection among blood donors at the blood bank of "Hospital Universitário Regional Norte do Paraná", Londrina, PR, Brazil

This study evaluated the usefulness of the anti-HBc, hepatitis C virus antibodies (anti-HCV), human T cell lymphotropic virus I and II antibodies (anti-HTLV I/II), serologic tests for syphilis, and surface antigen of hepatitis B virus (HBsAg) as surrogate markers for the risk for HIV infection in 80,284 serum samples from blood donors from the Blood Bank of "Hospital Universitário Regional Norte do Paraná", Londrina, Paraná State, Brazil, analyzed from July 1994 to April 2001. Among 39 blood donors with positive serology for HIV, 12 (30.8%) were anti-HBc positive, 10 (25.6%) for anti-HCV, 1 (2.6%) for anti-HTLV I/I, 1 (2.6%) was positive for syphilis, and 1 (2.6%) for HBsAg. Among the donors with negative serology for HIV, these markers were detected in 8,407 (10.5%), 441 (0.5%), 189 (0.2%), 464 (0.6%), and 473 (0.6%) samples, respectively. The difference was statistically significant (p < 0.001) for anti-HBc and anti-HCV. Although the predictive positive value for these surrogate markers were low for HIV infection, the results confirmed the anti-HBc and anti-HCV as useful surrogate markers for HIV infection thus reinforcing the maintenance of them in the screening for blood donors contributing to the prevention of the small number of cases in which HIV is still transmitted by transfusion.

Seroprevalence for hepatitis E virus (HEV) infection among volunteer blood donors of the Regional Blood Bank of Londrina, State of Paraná , Brazil

A cross-sectional study was carried out among 996 volunteer blood donors enrolled from May 1999 to December 1999 to determine the seroprevalence of hepatitis E virus (HEV) infection among volunteer blood donors of the Regional Blood Bank of Londrina, State of Paraná, Brazil, and to evaluate whether the rate of seroprevalence of IgG anti-HEV antibodies is associated with sociodemographic variables and with seropositivity for hepatitis A virus (HAV) infection. All participants answered the questionnaire regarding the sociodemographic characterisitcs. Serum samples were tested for IgG antibodies to HEV (anti-HEV) by an enzyme linked immunoassay (ELISA). All serum samples positive for anti-HEV IgG and 237 serum samples negative for anti-HEV were also assayed for IgG anti-HAV antibodies by ELISA. Anti-HEV IgG was confirmed in 23/996 samples, resulting in a seroprevalence of 2.3% for HEV infection, similar to previous results obtained in developed countries. No significant association was found between the presence of anti-HEV IgG antibodies and the sociodemographic variables including gender, age, educational level, rural or urban areas, source of water, and sewer system (p > 0.05). Also, no association with seropositivity for anti-HAV IgG antibodies was observed (p > 0.05). Although this study revealed a low seroprevalence of HEV infection in the population evaluated, the results showed that this virus is circulating among the population from Londrina, South Brazil, and point out the need of further studies to define the clinical and epidemiological importance of HEV infection and to identify additional risk factors involved in the epidemiology and pathogenesis of this infection in this population.

Peritubular Capillaries C4d Deposits in Renal Allograft Biopsies and Anti HLA I/II Alloantibodies Screening. Incidence and Clinical Importance

Aim: To characterise clinically the patients with C4d in peritubular capillaries deposits (C4dPTCD) and/or circulating anti-HLA class I/II alloantibodies. To determine the correlation between positive C4dPTCD and circulating anti-HLA class I/II alloantibodies during episodes of graft dysfunction. Subjects and Methods: C4d staining was performed in biopsies with available frozen tissue obtained between January 2004 and December 2006. The study was prospective from March 2005, when a serum sample was obtained at the time of biopsy to detect circulating anti-HLA class I/II alloantibodies. Results: We studied 109 biopsies in 86 cadaver renal transplant patients. Sixteen of these (14.7%) presented diffuse positive C4dPTCD. There was a 13.5% rate of +C4dPTCD incidence within the first six months of transplantation and 16% after six months (p>0.05). Half of the +C4dPTCD in the first six months was associated with acute humoral rejection. After six months, the majority of +C4dPTCD (n=7/8) was present in biopsies with evidence of interstitial fibrosis/tubular atrophy and/or transplant glomerulopathy. The C4dPTCD was more frequent in patients with positive anti-HCV antibodies(p<0.0001), a previous renal transplant (p=0.007), and with a panel reactivity antibody (PRA) ≥ 50%(p=0.0098). The anti-HCV+ patients had longer time on dialysis (p=0.0019) and higher PRA(p=0.005). Circulating anti-HLA I/II alloantibodies were screened in 46 serum samples. They were positive in 10.9% of samples, all obtained after six months post transplant. Circulating alloantibodies were absent in 92.5% of the C4d negative biopsies. Conclusion: We found an association between the presence of C4dPTCD and 2nd transplant recipients,higher PRA and the presence of anti-HCV antibodies. The presence of HCV antibodies is not a risk factor for C4dPTCD per se, but appears to reflect longer time on dialysis and presensitisation. In renal dysfunction a negative alloantibody screening is associated with a reduced risk of C4dPTCD (<10%).

Banif Bank: Value creation in the Maltese market

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Creating a business model for a pharmaceutical bank in Lisbon

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Financial crisis spillovers to the corporate sector: Bank-dependent borrowers versus bond market paticipants

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

How bank business models relate with risk?: The case of Portugal in times of financial crisis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Bank-firm relationships and financial crisis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Bank capital and stock performance around the subprime lending risis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Design of a balanced scorecard-type management system for a back-office department in a bank

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The role of deposit insurance and bank’s asset size in the 2008 financial crisis

In this paper we analyze the role of deposit insurance in providing the market with liquidity in times of financial turmoil. To do so, we look at the variation in insured and uninsured deposits between 2005Q3 and 2011Q3, controlling for liquidity, solvency and capital adequacy indicators, and find evidence that deposit insurance does provide some confidence in keeping funds in banks in times of turmoil. Additionally we follow an event study methodology to assess the impact of deposit insurance oriented policies on bank holding companies stock market returns, and find a TBTF effect.

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Basel III new capital requirements, impacts and bank behavior

For some years, researchers could not find a clear effect of capital adequacy on the risk profile of banks, as shareholders could increase the riskiness of the assets (qualitative effect), crowding-out the effect of reduced leverage (volume effect). Some shareholders might have the will to increase the riskiness of the assets, but they may lack the power to do so. Considering only ”powerful” shareholders, definitive conclusions were drawn but with constant ownership profile. In this paper I investigate whether there is a significant change in the type of shareholders in response to regulatory capital shocks and, if so, will the banking system be in the hands of more “desired” shareholders. I find that ownership profile responds to a regulatory shock, changing the risk appetite of the ruling power at the bank. I find more banks and the government in the ownership of undercapitalised banks and much less institutional shareholders and free float. I claim that these new shareholders may not the desired ones, given the objective of the regulatory change, as they are associated with a preference for more leverage. One possible explanation for this crowding-out effect is that regulators are trying to contain idiosyncratic risk (more linked to the riskiness of the assets) with a rule that contains systematic risk (capital adequacy). This has a distorting effect on ownership. Another insight can be drawn from the tests: supervisors should be aware of significant ownership movements that cause the crowding-out.

The determinants of net interest margins & net interest spreads in the Russian & Japanese Commercial Banking sectors

This study presents an empirical investigation of the determinants of net interest margins and spreads in the Russian and Japanese banking sectors with a particular focus on commercial banks. Net interest mar-gins and spreads serve as indicators of financial intermediation efficiency. This paper employed a bank-level unbalanced panel dataset prolonging from 2005 to 2014. My main empirical results show that bank characteristics explain the most of the variation in not only net interest margins but also in spreads. Capi-talization, liquidity risk, inflation, economic growth, private and government debt are important determi-nants of margin in Russia. In Japan to the contrary loan and deposit market concentration along with bank size do predominate. Common significant variables in both countries are the substitution effect, cost effi-ciency and profitability. Turning to net interest spreads, micro- and macro-specific variables are the main significant drivers in Russia. I reach the conclusion that there are no significant determinants of net interest spreads in Japan within the original selection of variables, but operating efficiency and deposits to total funding seem to prevail. In both countries, there are solid differences in the net interest margins as well as spreads once the pre- and the post-crisis periods are considered.