Government bond yield spreads in EMU countries: The story of an ephemeral convergence

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

Bond fund runs: The financial crisis case

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

Transparency in project bond ratings: Assessment of rating methodologies and development of a proven rating simulator

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

Determinants of the Portuguese government bond yield spread

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

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

Social impact bond feasibility study

Youth unemployment is one of the most pressing social issues in Portugal, often associated to a lack of skills. Faz-Te Forward (FFWD), a Portuguese employability programme, has demonstrated great potential for impact in solving this issue, especially amongst a neglected segment of the population – those belonging to “sandwich families”. The present thesis, integrated in the SIB Research Programme from the Social Investment Lab, evaluates the feasibility of this programme to be financed through a Social Impact Bond, an innovative outcomes-based financing model. From a data analysis undertaken to FFWD’s historical information, a business case for a SIB was developed.

Social impact bond feasibility study: Children and youth at risk: the Projecto Família program

Social impact bonds are an increasingly popular method of unlocking typical social investment barriers and fuelling social innovation. This feasibility study aims to understand whether a social impact bond is a suitable tool for decreasing unnecessary foster care placements in Portugal, which have been proven to cause significant social and financial damage to societies. This research question is answered through a financial model which combines the costs of this social problem with Projecto Família’s intervention model, a leading intensive family preservation service. Main findings suggest using SIB funding for a 5-year project with the goal of generating the proper impact measurement metrics lacking in the field.

Measuring spillover effects in Euro Area equity and bond markets

Since its inception, the Eurozone has experienced significant financial integration. However, with the recent turbulent period, the dynamics of this integration may have changed. This study analyses the volatility spillovers from the US and aggregate Eurozone markets into ten Euro Area national equity and bond markets, using a regime-switching model with shifting shock sensitivities. The evidence confirms an increased impact of shock spillover intensity after the 2008 crisis in the equity market and a decrease of the same parameters for the bond market. In both markets, the overall impact of the Eurozone is greater when compared to the U.S.

Bond portfolio diversification

Portfolio diversification benefits have been extensively documented and acknowledge in the literature since 1952. However, the majority of the studies have focus on an equity context, and only very few on bonds. The study purposed tries to understand and measure the diversification benefits for a pure bond portfolio by investing in securities with different credit risks, maturities and even geographies. Diversification benefits were achieved under the proposed model and some conclusions were withdrawn.

Shared lives social impact bond feasibility study

Loneliness and isolation among the elderly is an enormous problem in Portugal. Interventions to tackle loneliness worldwide have had limited success, and new approaches are needed. Shared Lives is an adult foster placement service in the UK that shows significant promise in tackling both loneliness, isolation and other societal challenges linked with ageing. This feasibility study suggests that replicating a Shared Lives service in Portugal, using a Social Impact Bond (SIB), is viable and likely to create both social and financial value for all stakeholders involved. This study provides recommendations for how a Shared Lives SIB could be designed and implemented.

Social impact bond feasibility study AEIPS intervention

AEIPS is a Portuguese social organization promoting the integration of people with mental health illnesses and/or substance abuse in the community through the intervention model Housing First. The philosophy of Housing First aims at lifting people out of their homelessness status by providing instant access to individualized and permanent housing as well as support services. Housing First projects from all over the world have proved very positive results in terms of residential stability and community integration of its participants. This feasibility study evaluates the suitability of using a Social Impact Bond to fund the Housing First intervention of AEIPS in Portugal.

Bond of NSM FRP strengthened concrete: round robin test initiative

Despite the extensive research that has been conducted on the debonding behaviour of FRP strengthening systems, no standard methodology has been yet established on its experimental characterization. In this context, to assess the performance and reliability of small scale testing on NSM (near surface mounted) FRP strengthening systems, an experimental program was carried out on a series of nine NSM FRP strengthening systems, in the framework of an international Round Robin Testing (RRT). Eleven laboratories and seven manufacturers and suppliers participated in this extensive international exercise, which regarded both NSM and EBR FRP strengthening systems. Test results obtained for the NSM systems by the participating laboratories are discussed and compared in this paper to investigate the feasibility of the adopted single/double pulling shear test method, to investigate the mechanism of bond between NSM FRP reinforcement and concrete, and to investigate the level of variability obtained between the participating laboratories testing the same material batches. It is concluded that the tested variants in the adopted single/double shear pulling test have a significant influence, stressing the importance of the level of detail of standardized test protocols for bond verification. On overall, given the variants included in this study, the obtained variation in bond stress-slip behaviour between the laboratories remained fairly limited.

Evaluation of the bond performance in FRP-brick components re-bonded after initial delamination

The bond behavior between Fiber Reinforced Polymers (FRPs) and masonry substrates has been the subject of many studies during the last years. Recent accelerated aging tests have shown that bond degradation and FRP delamination are likely to occur in FRP-strengthened masonry components under hygrothermal conditions. While an investigation on the possible methods to improve the durability of these systems is necessary, the applicability of different bond repair methods should also be studied. This paper aims at investigating the debonding mechanisms after repairing delaminated FRP-strengthened masonry components. FRP-strengthened brick specimens, after being delaminated, are repaired with two different adhesives: a conventional epoxy resin and a highly flexible polymer. The latter is used as an innovative adhesive in structural applications. The bond behavior in the repaired specimens is investigated by performing single-lap shear bond tests. Digital image correlation (DIC) is used for deeper investigation of the surface deformation and strains development. The effectiveness of the repair methods is discussed and compared with the strengthened specimens.

Application of acoustic emission technique for bond characterization in FRP-masonry systems

The acoustic emission (AE) technique is used for investigating the interfacial fracture and damage propagation in GFRP-and SRG-strengthened bricks during debonding tests. The bond behavior is investigated through single-lap shear bond tests and the fracture progress during the tests is recorded by means of AE sensors. The fracture progress and active debonding mechanisms are characterized in both specimen types with the aim of AE outputs. Moreover, a clear distinction between the AE outputs of specimens with different failure modes, in both SRG-and GFRP-strengthened specimens, is found which allows characterizing the debonding failure mode based on acoustic emission data.

Moisture-induced degradation of interfacial bond in FRP-strengthened masonry

Externally bonded strengthening of masonry structures using Fiber Reinforced Polymers (FRPs) has been accepted as a promising technique. Although the effectiveness of FRPs in improving the performance of masonry components has been extensively investigated, their long-term performance and durability remain poorly addressed. This paper, tackling one of the aspects related to durability of these systems, presents an experimental investigation on the effect of long-term (one year) water immersion on the performance of GFRP-strengthened bricks. The tests include materials' mechanical tests, as well as pull-off and single-lap shear bond tests, to investigate the changes in material properties and bond behavior with immersion time, respectively. The effect of mechanical surface treatment on the durability of the strengthened system as well as the reversibility of the degradation upon partial drying are also investigated. The experimental results are presented and critically discussed.