Structural credit risk models and the determinants of credit default swap spreads

Following the financial innovation and the consequences of the recent 2008-2009 global financial crisis, the interest and resources allocated into measuring and modelling credit risk has seen a major increase by researchers and practitioners over the last decades. The main objective of this thesis is to explore the determinants of credit spreads, analysing first the performance of theoretical variables of default risk in explaining credit default swap (CDS) spreads, while introducing other firm-specific, macroeconomic, liquidity and credit rating factors. The dataset used is composed of non-financial European companies, for the period of 2010 to 2018 and we use panel data models to perform the econometric analysis. In addition, this study also analyses structural credit risk models, namely the Merton (1974) model and some of its limitations and extensions. Our empirical results show that theoretical determinants are statistically and economically significant and are able to explain 27% of the observed CDS spreads levels. After controlling for market liquidity, credit rating, firm and market-specific factors, we are capable of explaining 57% of the total CDS spreads levels and 21% of the spreads changes. Moreover, by performing a robustness analysis, we conclude that the investigated determinants perform better in explaining credit spreads, when the overall level of credit risk in the market is higher, which is consistent with previous evidence. Lastly, our results suggest that structural credit risk models would benefit if they were further developed to account for both theoretical and non-theoretical factors, such as macro-financial variables.Na sequência da inovação financeira e das consequências da recente crise financeira global de 2008-2009, o interesse e recursos alocados à medição e modelação do risco de crédito registaram um grande aumento, por parte de investigadores e profissionais ao longo das últimas décadas. Esta tese tem como objetivo explorar os determinantes dos spreads de crédito. Analisando primeiro o desempenho de variáveis teóricas de risco de crédito em explicar credit default swap (CDS) spreads, introduzindo também outros fatores específicos das empresas, macroeconómicos, de liquidez e de qualidade de crédito. O conjunto de dados utilizado é composto por empresas europeias não financeiras, com um período de tempo de 2010 a 2018 e usando modelos de dados em painel para realizar a análise econométrica. Os nossos resultados empíricos mostram que os determinantes teóricos são estatisticamente e economicamente significativos e são capazes de explicar 27% dos níveis observados de CDS spreads. Depois de controlarmos para a liquidez do mercado, a notação de crédito, os fatores específicos das empresas e mercado, somos capazes de explicar 57% do total dos CDS spreads e 21% das suas variações. Além disso, através de uma análise de robustez, concluímos que os determinantes investigados têm um melhor desempenho na explicação dos spreads, quando o nível de risco de crédito no mercado é maior, o que é consistente com estudos anteriores. Por último, os nossos resultados sugerem que os modelos estruturais de risco de crédito beneficiariam se fossem desenvolvidos para responder a fatores teóricos e não teóricos, como as variáveis macro-financeiras

Importance of Entrepreneurship in the Organizational Performance of Higher Education Institutions

The traditional mission of higher education institutions (HEIs) are training, research, and the transfer of knowledge to society. Nowadays, the third mission has been gaining importance, considering the increasing relevance given to the creation of value by HEIs for society. Entrepreneurial activity is one of the components with more impacts that value creation, but it is still seen as an activity parallel to the main missions of HEIs, where training still takes on special importance. At the same time, the general ized movement of analysis of the organizational performance of HEIs, associated to its strategy but es sentially associated with national agencies for accreditations and the rankings, have been direct impacts on its external image and the capacity to obtain students and financing. For the entrepreneurial activity to move from an activity parallel to a prominent activity within HEIs, it must firstly have a strategic framework, but also have measurement mechanisms, based on indicators, that allow to understand the evolution of performance in this area.info:eu-repo/semantics/publishedVersio

The implementation of a student-centered pedagogical approach based in information and communication technology

The process of teaching/learning is an ever changing reality, requiring a permanent adaptation of teaching methods with a view to continuous improvement and increased levels of student motivation. Moreover, the use of information technologies and communication in this same process is now an essential factor, not only as a mechanism for accessing content, but also as a tool for planning, learning, collaboration, assessment, among other variables. The combination of these two realities has forced teachers to a new approach to the pedagogical issues in higher education, with a greater concern with methodology and mechanisms to enable a constant improvement. The article demonstrates the importance that information technologies have in the definition and implementation of a pedagogical approach really focused on students, with their involvement in active teaching and learning. The pedagogical approach that is presented is based on three fundamental principles: (1) the student is the central element of teaching/learning process; (2) active learning should be permanent; and (3) self-study as a key mechanism of preparedness. This approach is divided into six components: (1) Planning, (2) Information, (3) Teaching, (4) Assessment, (5) Feedback and (6) Monitoring. The advance planning of activities is assumed as a key component, because students can plan their efforts throughout the academic year if, from the beginning and in an easier way, they have access to all information for the operation of Curriculum Units. The assessment has to be distributed continuous assessment, which includes different instruments at different times, to allow the assessment tool to adapt to the type of skill to be acquired, and to minimize dependence on the success of students from only one assessment instrument. The gap between the time of conducting the assessment and dissemination of results, which should be minimal, is seen as a major critical factor, not only by the student perception that the proposed approach works, but primarily as a mechanism of motivating students themselves. Finally, monitoring the whole process is an indispensable component, as it seeks to not only meet the expectations of students at first, but also their levels of satisfaction with the functioning of a unit at the end of the Curriculum in order to understand the differential satisfaction that the methodological approach can bring. This pedagogical approach is linked by Information Technology and Communication, without which it would be impossible to implement, given (1) the constant need of sharing information between teachers and students; (2) the problems of the failure and dropout rates particularly in the Engineering area, where it has been applied, and (3) the new profile of students with an increased appetite and dependence of information technologies and communication. The Moodle platform has been a privileged tool to support the activities of all teaching and learning. The results obtained have been very positive, not only as regards the success achieved by students, but also by the results of student satisfaction, giving good indications of the advantages that this approach, particularly in the motivation of students.info:eu-repo/semantics/publishedVersio

Revisiting the thermal relaxation of neutron stars

In this work we revisit the thermal relaxation process for neutron stars. Such process is associated with the thermal coupling between the core and the crust of neutron stars. The thermal relaxation, which takes place at around 10 -- 100 years, is manifested as a sudden drop of the star's surface temperature. Such drop is smooth for slow cooling objects and very sharp for those with fast cooling. In our study we focus particularly on the cooling of neutron stars whose mass is slightly greater than the value above which the direct Urca (DU) process sets in. Considering different mechanisms for neutrino production in each region of the star, and working with equations of state with different properties, we solve the thermal evolution equation and calculate the thermal relaxation time for ample range of neutron star masses. By performing a comprehensive study of neutron stars just above the onset of the direct Urca process we show that stars under these conditions exhibit a peculiar thermal relaxation behavior. We demonstrate that such stars exhibit an abnormally late relaxation time, characterized by a second drop of its surface temperature taking place a later ages. We qualify such behavior by showing that it is associated with limited spatial distribution of the DU process is such stars. We show that as the star's mass increase, the DU region also grows and the start exhibits the expected behavior of fast cooling stars. Finally we show that one can expect high relaxation times for stars in which the DU process takes place in a radius not larger than 3 km.Comment: 9 pages, 15 figure

Aprendizagem Baseada em Competências: Contributos para o Sucesso Académico

Trabalho apresentado em Congresso Nacional de Práticas Pedagógicas no Ensino Superior (CNaPPES 2019), 11-12 julho 2019, Santarém, PortugalN/

A Governação das Instituições de Ensino Superior pós Bolonha

O Processo de Bolonha veio trazer um conjunto de transformações importantes às Instituições de Ensino Superior (IES), num compromisso transversal que minimize diferenças entre instituições. No âmbito da governação, é de salientar uma consolidação de uma nova abordagem ao papel das IES nas Sociedades e um repensar do papel do Estado. A ideia central é as IES deixarem de ser vistas como entidades fechadas, passando a sua atividade a ser diretamente valorizada pela Sociedade, mantendo níveis de autonomia e prestação de contas que lhes permita abordagens competitivas. Uma perspetiva que tem tido impacto nas novas abordagens às estruturas internas de governação, que para além de assumirem maiores responsabilidades nos destinos das IES, têm de assegurar maior partilha dessas responsabilidades, numa lógica de gestão baseada na abordagem dos stakeholders. Em Portugal, essa perspetiva consubstanciou-se na criação do Conselho Geral, órgão de topo das IES Públicas Portuguesas, que integra membros internos, externos e estudantes. O presente artigo procura contribuir para a problemática da governação nas IES pós Declaração de Bolonha, desenvolvendo um quadro conceptual e analisando a experiência portuguesa no que se refere à integração de elementos externos nos processos de tomada de decisão das IES.The Bologna Process has brought a set of important changes to Higher Education Institutions (HEIs), in a transversal commitment that minimizes differences between institutions. In terms of governance, it is worth highlighting the consolidation of a new approach to the role of HEIs in Societies and a rethinking of the role of the State. The central idea is HEIs no longer seen as closed entities, becoming their activity directly valued by Society, maintaining levels of autonomy and accountability that allow them to have competitive approaches. A perspective that has had an impact on new approaches to internal governance structures, which, in addition to having to assume greater responsibilities in the destinations of HEIs, have to ensure a greater sharing of these responsibilities, in a management logic based on the stakeholders approach. In Portugal, this perspective was embodied in the creation of the General Council, a top body of Portuguese Public HEIs that includes internal, external members and students. This article seeks to contribute to the issue of governance in HEIs after the Bologna Declaration, developing a conceptual framework and analyzing the Portuguese experience regarding the integration of external elements in the decision-making processes of HEIs.info:eu-repo/semantics/publishedVersio