A Methodological model to assist the optimization and risk management of mining investment decisions

Identifying, quantifying, and minimizing technical risks associated with investment decisions is a key challenge for mineral industry decision makers and investors. However, risk analysis in most bankable mine feasibility studies are based on the stochastic modelling of project “Net Present Value” (NPV)which, in most cases, fails to provide decision makers with a truly comprehensive analysis of risks associated with technical and management uncertainty and, as a result, are of little use for risk management and project optimization. This paper presents a value-chain risk management approach where project risk is evaluated for each step of the project lifecycle, from exploration to mine closure, and risk management is performed as a part of a stepwise value-added optimization process.

Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Risk management for mathematical optimization under uncertainty

We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC strategies.

Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Myocardial Perfusion Imaging Is a Strong Predictor of Death in Women

OBJECTIVES We sought to assess the prognostic value and risk classification improvement using contemporary single-photon emission computed tomography myocardial perfusion imaging (SPECT-MPI) to predict all-cause mortality. BACKGROUND Myocardial perfusion is a strong estimator of prognosis. Evidence published to date has not established the added prognostic value of SPECT-MPI nor defined an approach to detect improve classification of risk in women from a developing nation. METHODS A total of 2,225 women referred for SPECT-MPI were followed by a mean period of 3.7 +/- 1.4 years. SPECT-MPI results were classified as abnormal on the presence of any perfusion defect. Abnormal scans were further classified as with mild/moderate reversible, severe reversible, partial reversible, or fixed perfusion defects. Risk estimates for incident mortality were categorized as <1%/year, 1% to 2%/year, and >2%/year using Cox proportional hazard models. Risk-adjusted models incorporated clinical risk factors, left ventricular ejection fraction (LVEF), and perfusion variables. RESULTS All-cause death occurred in 139 patients. SPECT-MPI significantly risk stratified the population; patients with abnormal scans had significantly higher death rates compared with patients with normal scans, 13.1% versus 4.0%, respectively (p < 0.001). Cox analysis demonstrated that after adjusting for clinical risk factors and LVEF, SPECT-MPI improved the model discrimination (integrated discrimination index = 0.009; p = 0.02), added significant incremental prognostic information (global chi-square increased from 87.7 to 127.1; p < 0.0001), and improved risk prediction (net reclassification improvement = 0.12; p = 0.005). CONCLUSIONS SPECT-MPI added significant incremental prognostic information to clinical and left ventricular functional variables while enhancing the ability to classify this Brazilian female population into low-and high-risk categories of all-cause mortality. (J Am Coll Cardiol Img 2011;4:880-8) (C) 2011 by the American College of Cardiology Foundation

Evaluation of risks at MANTEM

International statistics show that the problem of the accidents at work is far away to be solved (ILO estimates that every year about 270 million work accidents and 160 million occupational diseases resulting in the death of more than 2 million workers occurs in the world). That's why the EU global goal concerning the community' strategy for occupational health and safety for 2007-2012 is to reduce in 25% the incidence rate of occupational accidents and diseases. In this prospect it is presented a case study which justify the need to develop studies in Safety, Hygiene and Health at Work area as a way to encourage the managers to implement preventive actions and strategies, besides meeting the legal requirements, in order to reduce the occurrence of work accidents, improve the work conditions and therefore obtain benefits in added values and reinforced competition. The general objective of this study is to describe the work situations, identify the dangers and associate the potential risks and consequences; evaluate and value the risk. The study uses the Failure Table methodology and, in the business area of an organization which will be from now on designated as MANTEM that works in the electromechanical maintenance area. The results were, amongst others, some actions to be implemented to eliminate/minimize risks.

A gestão do risco associado à negociação de energia eléctrica através de contratos bilaterais e mercado spot

Num mercado de electricidade competitivo onde existe um ambiente de incerteza, as empresas de geração adoptam estratégias que visam a maximização do lucro, e a minimização do risco. Neste contexto, é de extrema importância para desenvolver uma estratégia adequada de gestão de risco ter em conta as diferentes opções de negociação de energia num mercado liberalizado, de forma a suportar a tomada de decisões na gestão de risco. O presente trabalho apresenta um modelo que avalia a melhor estratégia de um produtor de energia eléctrica que comercializa num mercado competitivo, onde existem dois mercados possíveis para a transacção de energia: o mercado organizado (bolsa) e o mercado de contratos bilaterais. O produtor tenta maximizar seus lucros e minimizar os riscos correspondentes, seleccionando o melhor equilíbrio entre os dois mercados possíveis (bolsa e bilateral). O mercado de contratos bilaterais visa gerir adequadamente os riscos inerentes à operação de mercados no curto prazo (mercado organizado) e dar o vendedor / comprador uma capacidade real de escolher o fornecedor com que quer negociar. O modelo apresentado neste trabalho faz uma caracterização explícita do risco no que diz respeito ao agente de mercado na questão da sua atitude face ao risco, medido pelo Value at Risk (VaR), descrito neste trabalho por Lucro-em-Risco (PAR). O preço e os factores de risco de volume são caracterizados por um valor médio e um desvio padrão, e são modelizados por distribuições normais. Os resultados numéricos são obtidos utilizando a simulação de Monte Carlo implementado em Matlab, e que é aplicado a um produtor que mantém uma carteira diversificada de tecnologias de geração, para um horizonte temporal de um ano. Esta dissertação está organizada da seguinte forma: o capítulo 1, 2 e 3 descrevem o estado-da-arte relacionado com a gestão de risco na comercialização de energia eléctrica. O capítulo 4 descreve o modelo desenvolvido e implementado, onde é também apresentado um estudo de caso com uma aplicação do modelo para avaliar o risco de negociação de um produtor. No capítulo 5 são apresentadas as principais conclusões.

A influência dos parâmetros nas estimativas VAR: caso prático

Dissertação de Mestrado em Finanças Empresariais

Gestão do risco em mercados de energia eléctrica recorrendo ao VaR por simulação de Monte Carlo

Mestrado em Engenharia Electrotécnica – Sistemas Eléctricos de Energia.

Implementação do modelo de Credit Var aplicado a uma carteira de crédito

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Matemática e Aplicações - Actuariado, Estatística e Investigação Operacional

Projecto solvência II - Modelação do risco de subscrição numa companhia de seguros não vida

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Matemática e Aplicações - Actuariado, Estatística e Investigação Operacional

Risco Operacional nas seguradoras – Estudo do caso Generali

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Fisiopatologia da microcirculação coronária e perfusão do miorcárdio : ecocardiografia de contraste do miocárdio e doppler transtorácico

RESUMO: Este trabalho tentou contribuir para a caracterização da fisiopatologia da microcirculação coronária em diferentes formas de patologia com o auxílio da ecocardiografia transtorácica. Com a aplicação da ecocardiografia Doppler transtorácica foi efectuado o estudo da reserva coronária da artéria descendente anterior e com a ecocardiografia de contraste do miocárdio foram analisados parâmetros de perfusão do miocárdio como a velocidade da microcirculação coronária, o volume de sangue miocárdico e a reserva de fluxo miocárdico. Estas técnicas foram utilizadas em diferentes situações fisiopatológicas com particular interesse na hipertrofia ventricular esquerda de diferentes etiologias como a hipertensão arterial, estenose aórtica e cardiomiopatia hipertrófica. Também na diabetes mellitus tipo 2 e na doença coronária aterosclerótica, estudámos as alterações da microcirculação coronária. Com a mesma técnica de ecocardiografia de contraste do miocárdio foi analisada a perfusão do miocárdio num modelo experimental animal sujeito a uma dieta aterogénica. Além das conclusões específicas em relação a cada um dos trabalhos efectuados há a referir como conclusões gerais a sua fácil aplicabilidade e exequibilidade em âmbito clínico, a sua reprodutibilidade e precisão. Quando comparadas com técnicas consideradas de referência mostraram resultados com significativa correlação estatística. Em todos os doentes e nos grupos controle foi possível comprovar e quantificar o gradiente de perfusão transmural em repouso e durante a acção de stress vasodilatador, relevando a importância da perfusão sub-endocárdica na função do ventrículo esquerdo. O estudo da microcirculação coronária no grupo de doentes com hipertrofia ventricular esquerda revelou que no grupo com hipertensão arterial existe disfunção da microcirculação coronária ainda antes de se observar aumento de massa do ventrículo esquerdo, e que esta disfunção é diferente em função da geometria ventricular. Nos doentes com estenose aórtica foi demonstrado que além da disfunção da microcirculação coronária, explicada pelo fenómeno de hipertrofia, existe outro componente extrínseco que depois de corrigido através de cirurgia de substituição valvular, conduziu a uma parcial normalização dos valores de reserva coronária. Na cardiomiopatia hipertrófica observou-se uma grande heterogeneidade de perfusão transmural e foi documentado, em imagens de ecocardiografia de contraste do miocárdio e após análise paramétrica, a ausência de perfusão do miocárdio na região sub-endocárdica durante o stress vasodilatador de reserva coronária diminuídos em fases precoces de evolução da doença. Foi demonstrado que a reserva coronária na DM2 em fases mais avançadas estava significativamente diminuída. Descrevemos também em doentes com DM2 e sem doença coronária angiográfica a existência de disfunção da microcirculação coronária. Durante o stress vasodilatador, observámos e documentámos neste grupo de doentes, a existência de defeitos de perfusão transitórios ou de diminuição da velocidade da microcirculação coronária. No grupo de doentes com doença coronária confirmámos o interesse da avaliação da reserva coronária após intervenção percutânea na definição de prognóstico pós EAM, em termos de recuperação funcional do ventrículo esquerdo. Em doentes com BCRE e de difícil estratificação de risco, foi possível calcular o valor de reserva coronária e estratificar o risco de doença coronária. Num modelo experimental animal demonstrámos a exequibilidade da técnica de ECM, e verificámos que nessas condições experimentais, uma sobrecarga aterogénica na dieta, ao fim de 6 semanas, comprometia severamente a reserva coronária. Estes resultados foram parcialmente reversíveis quando à dieta foi adicionada uma estatina. Estas técnicas pela sua não invasibilidade, fácil acesso, repetibilidade e inocuidade perspectivam-se de grande utilidade na caracterização de doentes com disfunção da microcirculação coronária, nas diferentes áreas de diagnóstico, terapêutica e prevenção. A possibilidade de adaptar a técnica em modelos experimentais animais também nos parece poder vir a ter grande utilidade em investigação.----------------ABSTRACT: This work is intended to be a contribution to the study of coronary microcirculation applying new echocardiographic techniques as transthoracic Doppler echocardiography of coronary arteries and myocardial contrast echocardiography. Coronary flow reserve may be assessed by transthoracic Doppler echocardiography, and important functional microcirculation parameters as microcirculation flow velocity, myocardial blood volume and myocardial flow reserve may be evaluated through myocardial contrast echocardiography. Microcirculation was analysed in different pathophysiological settings. We addressed situations with increased left ventricular mass as systemic arterial hypertension, aortic stenosis and hypertrophic cardiomyopathy. Also coronary microcirculation was studied in type 2 Diabetes and in different clinical forms of atherosclerotic coronary artery disease. Specific and detailed conclusions were withdrawn from each experimental work. In the overall it was concluded that these two techniques were important tools to easily assess specific pathophysiological information about coronary microcirculation at bed side which would be difficult to get through other techniques. When compared with gold standard techniques, similar sensibility and specificity was found. Because of their better temporal and spatial resolution it was possible to analyse the importance of transmural perfusion gradients, both in basal and during vasodilatation, and their relation to ischemia, and mechanical wall kinetics, as wall thickening and motion. Coronary microcirculation dysfunction was found in systemic arterial hypertension early evolution stages, also related to different left ventricular geometric patterns. Different etiopathogenical explanations for aortic stenosis coronary microcirculation dysfunction were analysed and compared after aortic valve replacement. Transmural myocardial perfusion heterogeneity pattern was observed in hypertrophic cardiomyopathy which was aggravated during adenosine challenge. Coronary microcirculation dysfunction was diagnosed in type 2 diabetes both with coronary artery disease and with normal angiographic coronary arteries. Dynamic transitory subendocardial perfusion defects with adenosine vasodilatation were visualized in these patients.In patients with left branch block, transthoracic Doppler echocardiography was able to suggest a coronary reserve cut-off value for risk stratification. Also it was possible with this technique to calculate coronary flow reserve and predict restenosis after PTCA Again, in an experimental animal model, applying myocardial contrast echocardiography technique it was possible to study the consequences of an atherogenic diet and statins action on the coronary microcirculation function. Because these techniques are easily performed at bed side, are harmless, use no ionizing radiation and because of their repeatability, reproducibility and accuracythey are promissory tools to assess coronary microcirculation. Both in clinic and research areas these techniques will probably have a role in clinical diagnosis, prevention and therapeutically decision.

Relationship between Neutrophil-To-Lymphocyte Ratio and Electrocardiographic Ischemia Grade in STEMI

Background: Neutrophil-to-lymphocyte ratio (NLR) has been found to be a good predictor of future adverse cardiovascular outcomes in patients with ST-segment elevation myocardial infarction (STEMI). Changes in the QRS terminal portion have also been associated with adverse outcomes following STEMI. Objective: To investigate the relationship between ECG ischemia grade and NLR in patients presenting with STEMI, in order to determine additional conventional risk factors for early risk stratification. Methods: Patients with STEMI were investigated. The grade of ischemia was analyzed from the ECG performed on admission. White blood cells and subtypes were measured as part of the automated complete blood count (CBC) analysis. Patients were classified into two groups according to the ischemia grade presented on the admission ECG, as grade 2 ischemia (G2I) and grade 3 ischemia (G3I). Results: Patients with G3I had significantly lower mean left ventricular ejection fraction than those in G2I (44.58 ± 7.23 vs. 48.44 ± 7.61, p = 0.001). As expected, in-hospital mortality rate increased proportionally with the increase in ischemia grade (p = 0.036). There were significant differences in percentage of lymphocytes (p = 0.010) and percentage of neutrophils (p = 0.004), and therefore, NLR was significantly different between G2I and G3I patients (p < 0.001). Multivariate logistic regression analysis revealed that only NLR was the independent variable with a significant effect on ECG ischemia grade (odds ratio = 1.254, 95% confidence interval 1.120–1.403, p < 0.001). Conclusion: We found an association between G3I and elevated NLR in patients with STEMI. We believe that such an association might provide an additional prognostic value for risk stratification in patients with STEMI when combined with standardized risk scores.