Avaliação empírica do risco de mercado: expected shortfall vs value-at-risk

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2017O risco financeiro tem influenciado cada vez mais as decisões tomadas pelas instituições financeiras. Como tal, o preço de um ativo influencia os mercados financeiros, o que atinge diretamente as ações das instituições financeiras, uma vez que estas correm um risco, dado o investimento efetuado previamente. Neste seguimento, as instituições financeiras têm implementado algumas estratégias de prevenção e de gestão do risco, tais como o Value-at-Risk (VaR) e o Expected Shortfall (ES). O Value-at-Risk é um método de risco bastante utilizado pelas instituições financeiras. Contudo, a desvantagem deste método, ao não ser uma medida de risco coerente, propiciou a procura de um método alternativo, o Expected Shortfall, por parte das instituições financeiras. Embora, o Expected Shortfall tenha surgido para colmatar as lacunas do Value-at-Risk, este método também apresenta as suas desvantagens, pois é considerado uma medida não eliciável, segundo Roccioletti (2016) e Osmundsen (2016). Embora não seja relevante para o backtesting de acordo com Acerbi e Szekely (2014). Atualmente, ambos os métodos são utilizados para a avaliação do risco de mercado. Nesta dissertação apresenta-se uma análise de como são aplicadas, em séries financeiras, as várias formas de implementação do Value-at-Risk e do Expected Shortfall associado ao principal índice bolsista de Portugal, o PSI20. Recorreu-se a modelos paramétricos e não-paramétricos: o modelo com distribuição Normal e o modelo com distribuição e T-student, e o modelo Kernel, respetivamente. E, foi, também, utilizado o modelo GARCH com distribuição Normal. Por fim, foram aplicadas e analisadas metodologias de backtesting: o teste de Kupiec (1995) e o teste de Christoffersen (1998), para a avaliação dos diferentes modelos de previsão do Value-at-Risk e, ainda, os testes 1 e 2 desenvolvidos por Acerbi e Szekely (2014) para a previsão do Expected Shortfall. Para a série financeira em estudo conclui-se que o modelo paramétrico com distribuição Normal determina o melhor desempenho na previsão do risco, relativamente ao método Expected Shortfall.The financial risk has increasingly affect the decisions taken by financial institutions. As such, the price of an asset affects the financial markets, which directly affects the actions of financial institutions, since these are at risk, given an investiment made previously. Following this, financial institutions have implemented some risk prevention and risk management strategies, such as Value-at-Risk (VaR) and Expected Shortfall (ES). Value-at-Risk is a risk method widely used by financial institutions. However, the disadvantage of this method, not being a coherent measure, led to search for an alternative method, the Expected Shortall, by financial institutions. Although, Expected Shortfall has emerged to rectify the gaps of Value-at-Risk, this method also has its drawbacks, is it considered a non-elicitable measure, according to Roccioletti (2016) and Osmundsen (2016). Although it is not relevant for backtesting according to Acerbi e Szekely (2014). Currently, both methods are used for market risk evaluation. This dissertation present an analysis of how several forms of implementation of Value-at-Risk and Expected Shortfall associated with the main stock index of Portugal, the PSI20, are applied to financial series. We used parametric and non-parametric models: the model with Normal distribution and the model with T-student distribution, and the Kernel model, respectively. And , the GARCH model with Normal distribution was also used. Finally, we applied and analyzed backtesting methodologies: the Kupiec (1995) test and the Christoffersen (1998) test, for the evaluation of different Value-at-Risk forecasting models, as well as the tests 1 e 2 developed by Acerbi e Szekely (2014) for the Expected Shortfall forecasting. For the financial serie under study we conclude that the parametric model with Normal distribution determines the best performance in the risk forecast, in relation to the Expected Shorfall method

Toxicity Going Nano: Ionic Versus Engineered Cu Nanoparticles Impacts on the Physiological Fitness of the Model Diatom Phaeodactylum tricornutum

Increasing input of Metal Engineered Nano Particles (MeENPs) in marine ecosystems has raised concerns about their potential toxicity on phytoplankton. Given the lack of knowledge on MeENPs impact on these important primary producers, the effects of Copper Oxide (CuO) ENPs on growth, physiology, pigment profiles, fatty acid (FA) metabolism, and oxidative stress were investigated in the model diatom Pheodactylum tricornutum, to provide suitable biomarkers of CuO ENP exposure versus its ionic counterpart. Diatom growth was inhibited by CuO ENPs but not Ionic Cu, suggesting CuO ENP cytotoxicity. Pulse Modulated Amplitude (PAM) phenotyping evidenced a decrease in the electron transport energy flux, pointing to a reduction in chemical energy generation following CuO ENPs exposure, as well as an increase in the content of the non-functional Cu-substituted chlorophyll a (CuChl a). A significant decrease in eicosapentaenoic acid (C20:5) associated with a significant rise in thylakoid membranes FAs reflected the activation of counteractive measures to photosynthetic impairment. Significant increase in the omega 6/omega 3 ratio, underline expectable negative repercussions to marine food webs. Increased thiobarbituric acid reactive substances reflected heightened oxidative stress by CuO ENP. Enhanced Glutathione Reductase and Ascorbate Peroxidase activity were also more evident for CuO ENPs than ionic Cu. Overall, observed molecular changes highlighted a battery of possible suitable biomarkers to efficiently determine the harmful effects of CuO ENPs. The results suggest that the occurrence and contamination of these new forms of metal contaminants can impose added stress to the marine diatom community, which could have significant impacts on marine ecosystems, namely through a reduction of the primary productivity, oxygen production and omega 6 production, all essential to sustain heterotrophic marine life

Hydrogen peroxide production regulates the mitochondrial function in insulin resistant muscle cells: Effect of catalase overexpression

AbstractThe mitochondrial redox state plays a central role in the link between mitochondrial overloading and insulin resistance. However, the mechanism by which the ROS induce insulin resistance in skeletal muscle cells is not completely understood. We examined the association between mitochondrial function and H2O2 production in insulin resistant cells. Our hypothesis is that the low mitochondrial oxygen consumption leads to elevated ROS production by a mechanism associated with reduced PGC1α transcription and low content of phosphorylated CREB. The cells were transfected with either the encoded sequence for catalase overexpression or the specific siRNA for catalase inhibition. After transfection, myotubes were incubated with palmitic acid (500μM) and the insulin response, as well as mitochondrial function and fatty acid metabolism, was determined. The low mitochondrial oxygen consumption led to elevated ROS production by a mechanism associated with β-oxidation of fatty acids. Rotenone was observed to reduce the ratio of ROS production. The elevated H2O2 production markedly decreased the PGC1α transcription, an effect that was accompanied by a reduced phosphorylation of Akt and CREB. The catalase transfection prevented the reduction in the phosphorylated level of Akt and upregulated the levels of phosphorylated CREB. The mitochondrial function was elevated and H2O2 production reduced, thus increasing the insulin sensitivity. The catalase overexpression improved mitochondrial respiration protecting the cells from fatty acid-induced, insulin resistance. This effect indicates that control of hydrogen peroxide production regulates the mitochondrial respiration preventing the insulin resistance in skeletal muscle cells by a mechanism associated with CREB phosphorylation and β-oxidation of fatty acids

Benign follicular tumors

Benign follicular tumors comprise a large and heterogeneous group of neoplasms that share a common histogenesis and display morphological features resembling one or several portions of the normal hair follicle, or recapitulate part of its embryological development. Most cases present it as clinically nondescript single lesions and essentially of dermatological relevance. Occasionally, however, these lesions be multiple and represent a cutaneous marker of complex syndromes associated with an increased risk of visceral neoplasms. In this article, the authors present the microscopic structure of the normal hair follicle as a basis to understand the type and level of differentiation of the various follicular tumors. The main clinicopathological features and differential diagnosis of benign follicular tumors are then discussed, including dilated pore of Winer, pilar sheath acanthoma, trichoadenoma, trichilemmoma, infundibuloma, proliferating trichilemmal cyst/tumor, trichoblastoma and its variants, pilomatricoma, trichodiscoma/fibrofolliculoma, neurofollicular hamartoma and trichofolliculoma. In addition, the main syndromes presenting with multiple follicular tumors are also discussed, namely Cowden, Birt-Hogg-Dubé, Rombo and Bazex-Dupré-Christol syndromes, as well as multiple tumors of follicular infundibulum (infundibulomatosis) and multiple trichoepitheliomas. Although the diagnosis of follicular tumors relies on histological examination, we highlight the importance of their knowledge for the clinician, especially when in presence of patients with multiple lesions that may be the cutaneous marker of a cancer-prone syndrome. The dermatologist is therefore in a privileged position to recognize these lesions, which is extremely important to provide further propedeutic, appropriate referral and genetic counseling for these patients.info:eu-repo/semantics/publishedVersio

Modelling Hyperglycaemia in an Epithelial Membrane Model: Biophysical Characterisation

Biomimetic models are valuable platforms to improve our knowledge on the molecular mechanisms governing membrane-driven processes in (patho)physiological conditions, including membrane permeability, transport, and fusion. However, current membrane models are over simplistic and do not include the membrane’s lipid remodelling in response to extracellular stimuli. Our study describes the synthesis of glycated dimyristoyl-phosphatidylethanolamine (DMPE-glyc), which was structurally characterised by mass spectrometry (ESI-MS) and quantified by NMR spectroscopy to be further incorporated in a complex phospholipid (PL) membrane model enriched in cholesterol (Chol) and (glyco)sphingolipids (GSL) designed to mimic epithelial membranes (PL/Chol/GSL) under hyperglycaemia conditions. Characterisation of synthesised DMPE-glyc adducts by tandem mass spectrometry (ESI-MS/MS) show that synthetic DMPE-glyc adducts correspond to Amadori products and quantification by 1H NMR spectroscopy show that the yield of glycation reaction was 8%. The biophysical characterisation of the epithelial membrane model shows that excess glucose alters the thermotropic behaviour and fluidity of epithelial membrane models likely to impact permeability of solutes. The epithelial membrane models developed to mimic normo- and hyperglycaemic scenarios are the basis to investigate (poly)phenol-lipid and drug–membrane interactions crucial in nutrition, pharmaceutics, structural biochemistry, and medicinal chemistry

The Unusual Aggregation and Fusion Activity of the Antimicrobial Peptide W-BP100 in Anionic Vesicles

Cationic antimicrobial peptides (CAMPs) offer a promising strategy to counteract bacterial resistance, mostly due to their membrane-targeting activity. W-BP100 is a potent broad-spectrum cecropin-melittin CAMP bearing a single N-terminal Trp, which was previously found to improve its antibacterial activity. W-BP100 has high affinity toward anionic membranes, inducing membrane saturation at low peptide-to-lipid (P/L) ratios and membrane permeabilization, with the unique property of promoting the aggregation of anionic vesicles only at specific P/L ratios. Herein, we aimed to investigate this unusual behavior of W-BP100 by studying its aggregation and fusion properties with negatively-charged large (LUVs) or giant (GUVs) unilamellar vesicles using biophysical tools. Circular dichroism (CD) showed that W-BP100 adopted an α-helical conformation in anionic LUVs, neutralizing its surface charge at the aggregation P/L ratio. Its fusion activity, assessed by Förster resonance energy transfer (FRET) using steady-state fluorescence spectroscopy, occurred mainly at the membrane saturation/aggregation P/L ratio. Confocal microscopy studies confirmed that W-BP100 displays aggregation and detergent-like effects at a critical P/L ratio, above which it induces the formation of new lipid aggregates. Our data suggest that W-BP100 promotes the aggregation and fusion of anionic vesicles at specific P/L ratios, being able to reshape the morphology of GUVs into new lipid structures

The Unusual Aggregation and Fusion Activity of the Antimicrobial Peptide W-BP100 in Anionic Vesicles

Cationic antimicrobial peptides (CAMPs) offer a promising strategy to counteract bacterial resistance, mostly due to their membrane-targeting activity. W-BP100 is a potent broad-spectrum cecropin-melittin CAMP bearing a single N-terminal Trp, which was previously found to improve its antibacterial activity. W-BP100 has high affinity toward anionic membranes, inducing membrane saturation at low peptide-to-lipid (P/L) ratios and membrane permeabilization, with the unique property of promoting the aggregation of anionic vesicles only at specific P/L ratios. Herein, we aimed to investigate this unusual behavior of W-BP100 by studying its aggregation and fusion properties with negatively-charged large (LUVs) or giant (GUVs) unilamellar vesicles using biophysical tools. Circular dichroism (CD) showed that W-BP100 adopted an α-helical conformation in anionic LUVs, neutralizing its surface charge at the aggregation P/L ratio. Its fusion activity, assessed by Förster resonance energy transfer (FRET) using steady-state fluorescence spectroscopy, occurred mainly at the membrane saturation/aggregation P/L ratio. Confocal microscopy studies confirmed that W-BP100 displays aggregation and detergent-like effects at a critical P/L ratio, above which it induces the formation of new lipid aggregates. Our data suggest that W-BP100 promotes the aggregation and fusion of anionic vesicles at specific P/L ratios, being able to reshape the morphology of GUVs into new lipid structures

First screening of biocides, persistent organic pollutants, pharmaceutical and personal care products in Antarctic phytoplankton from Deception Island by FT-ICR-MS

In recent years, the Antarctic territory has seen a rise in the number of tourists and scientists. This has led to an increase in the anthropogenic footprint in Antarctic ecosystems, namely in terms of emerging contaminants, such as Biocides, Persistent Organic Pollutants (POPs) as well as Pharmaceutical and Personal Care Products (PPCPs). Yet scarce information on the presence of these emerging contaminants is available for trophic compartments, especially the phytoplankton community. Using high resolution Fourier-transform ion cyclotron-resonance mass spectrometry (FT-ICR-MS), an untargeted screening of the metabolome of the phytoplankton community was performed. Seventy different contaminant compounds were found to be present in phytoplankton collected at two sites in Port Foster Bay at Deception Island. These emerging contaminants included 1 polycyclic aromatic hydrocarbon (PAH), 10 biocides (acaricides, fungicides, herbicides, insecticides and nematicides), 11 POPs (flame retardants, paints and dyes, polychlorinated biphenyl (PCB), phthalates and plastic components), 5 PCPs (cosmetic, detergents and dietary compounds), 40 pharmaceutical compounds and 3 illicit drugs. Pharmaceutical compounds were, by far, the largest group of emerging contaminants found in phytoplankton cells (anticonvulsants, antihypertensives and beta-blockers, antibiotics, analgesic and anti-inflammatory drugs). The detection of several of these potentially toxic compounds at the basis of the marine food web has potentially severe impacts for the whole ecosystem trophic structure. Additionally, the present findings also point out that the guidelines proposed by the Antarctic Treaty and Protocol on Environmental Protection to the Antarctic Treaty should be revisited to avoid the proliferation of these and other PPCPs in such sensitive environments.info:eu-repo/semantics/publishedVersio

Views and Determinants of Safety & Security 2019

Artigos em diferentes áreas da Segurança e Saúde Ocupacional.info:eu-repo/semantics/publishedVersio

Views and determinants of safety and security 2018

Conjunto de artigos sobre determinadas temáticas relacionadas com a Segurança e Saúde no Trabalho.info:eu-repo/semantics/publishedVersio