Can the level of sustainability impact firms’ credit risk? A study on European firms

Sustainability has become a topic of increasing relevance. This dissertation investigates the impact of sustainability on the credit risk of European firms over the period of 2005 to 2021, aiming to answer the research question of whether the level of sustainability can impact firms‘ credit risk. Firms' Total ESG Scores and their corresponding Pillar Scores are used as sustainability measures for the analysis. To proxy credit risk, S&P ratings, converted into default probabilities using European transition matrices, are employed, thereby circumventing the problem of non-equidistant scaling of credit ratings. The final dataset consists of 412 European firms. The multivariate regression results show that a higher level of sustainability can reduce a firm's credit risk. However, these results are conditional on the rating category. Only firms with an investment-grade rating seem to benefit from a higher level of sustainability. Yet the impact of sustainability on their credit risk is not particularly large. Furthermore, the results of a sectoral analysis show that sustainability only has an impact on credit risk in certain industry sectors and that not all firms in the respective industries benefit equally. Finally, a temporal analysis shows that the impact of sustainability varies over time.A sustentabilidade tem vindo a tornar-se um tema de crescente relevância. Esta dissertação investiga o impacto da sustentabilidade no risco de crédito das empresas europeias durante o período de 2005 a 2021, com o objectivo de responder à questão de investigação de saber se o nível de sustentabilidade tem impacto no risco de crédito das empresas. Para a análise, os Total ESG Scores das empresas e os correspondentes Pillar Scores são utilizados como medidas de sustentabilidade. Para representar o risco de crédito, são utilizadas as notações da S&P, convertidas em probabilidades de incumprimento utilizando matrizes de transição europeias, contornando assim o problema do escalonamento não equidistante das notações de crédito. O conjunto final de dados é constituído por 412 empresas europeias. Os resultados da regressão multivariada mostram que um nível mais elevado de sustentabilidade pode reduzir o risco de crédito de uma empresa. No entanto, estes resultados são condicionados pela categoria de notação. Apenas as empresas com uma notação de grau de investimento parecem beneficiar de um nível mais elevado de sustentabilidade. No entanto, o impacto da sustentabilidade no seu risco de crédito não é particularmente grande. Além disso, os resultados de uma análise sectorial mostram que a sustentabilidade só tem impacto no risco de crédito em determinados sectores industriais e que nem todas as empresas dos respectivos sectores beneficiam da mesma forma. Por último, uma análise temporal mostra que o impacto da sustentabilidade varia ao longo do tempo

Testing Hu-Sawicki f(R) gravity with the Effective Field Theory approach

We show how to fully map a specific model of modified gravity into the Einstein-Boltzmann solver EFTCAMB. This approach consists in few steps and allows to obtain the cosmological phenomenology of a model with minimal effort. We discuss all these steps, from the solution of the dynamical equations for the cosmological background of the model to the use of the mapping relations to cast the model into the effective field theory language and use the latter to solve for perturbations. We choose the Hu-Sawicki f(R) model of gravity as our working example. After solving the background and performing the mapping, we interface the algorithm with EFTCAMB and take advantage of the effective field theory framework to integrate the full dynamics of linear perturbations, returning all quantities needed to accurately compare the model with observations. We discuss some observational signatures of this model, focusing on the linear growth of cosmic structures. In particular we present the behavior of $f\sigma_8$ and $E_G$ that, unlike the $\Lambda$CDM scenario, are generally scale dependent in addition to redshift dependent. Finally, we study the observational implications of the model by comparing its cosmological predictions to the Planck 2015 data, including CMB lensing, the WiggleZ galaxy survey and the CFHTLenS weak lensing survey measurements. We find that while WiggleZ data favor a non-vanishing value of the Hu-Sawicki model parameter, $\log_{10}(-f^0_{R})$, and consequently a large value of $\sigma_8$, CFHTLenS drags the estimate of $\log_{10}(-f^0_{R})$ back to the $\Lambda$CDM limit.Comment: 13 pages, 8 figure

Effective Field Theory of Cosmic Acceleration: constraining dark energy with CMB data

We introduce EFTCAMB/EFTCosmoMC as publicly available patches to the commonly used CAMB/CosmoMC codes. We briefly describe the structure of the codes, their applicability and main features. To illustrate the use of these patches, we obtain constraints on parametrized pure EFT and designer $f(R)$ models, both on $\Lambda$CDM and $w$CDM background expansion histories, using data from Planck temperature and lensing potential spectra, WMAP low-$\ell$ polarization spectra (WP), and baryon acoustic oscillation (BAO). Upon inspecting theoretical stability of the models on the given background, we find non-trivial parameter spaces that we translate into viability priors. We use different combinations of data sets to show their individual effects on cosmological and model parameters. Our data analysis results show that, depending on the adopted data sets, in the $w$CDM background case this viability priors could dominate the marginalized posterior distributions. Interestingly, with Planck+WP+BAO+lensing data, in $f(R)$ gravity models, we get very strong constraints on the constant dark energy equation of state, $w_0\in(-1,-0.9997)\,\,(95$.Comment: 12 pages, 3 figures, 2 tables. Matching version accepted by PRD. The EFTCAMB/EFTCosmoMC codes are available at: http://wwwhome.lorentz.leidenuniv.nl/~hu/codes

Effective Field Theory of Cosmic Acceleration: an implementation in CAMB

We implement the effective field theory (EFT) approach to dark energy and modified gravity in the public Einstein-Boltzmann solver CAMB. The resulting code, which we dub EFTCAMB, is a powerful and versatile tool that can be used for several objectives. It can be employed to evolve the full dynamics of linear scalar perturbations in any given single field dark energy or modified gravity model, once the latter is mapped into the EFT formalism. It offers a numerical implementation of EFT as a model-independent framework to test gravity on cosmological scales. EFTCAMB has a built-in check for the fulfillment of general stability conditions such as the absence of ghost and superluminal propagation of perturbations. It handles phantom-divide crossing models and does not contain any quasi-static approximation, but rather evolves the full dynamics of perturbations on linear scales. As we will show, the latter is an important feature in view of the accuracy and scale range of upcoming surveys. We show the reliability and applicability of our code by evolving the dynamics of linear perturbations and extracting predictions for power spectra in several models. In particular we perform a thorough analysis of f(R) theories, comparing our outputs with those of an existing code for LCDM backgrounds, and finding an agreement that can reach 0.1% for models with a Compton wavelength consistent with current cosmological data. We then showcase the flexibility of our code studying two different scenarios. First we produce new results for designer f(R) models with a time-varying dark energy equation of state. Second, we extract predictions for linear observables in some parametrized EFT models with a phantom-divide crossing equation of state for dark energy.Comment: 23 pages, 6 figures. Matching version accepted by PRD. Minor changes in the appendi

Do current cosmological observations rule out all Covariant Galileons?

We revisit the cosmology of Covariant Galileon gravity in view of the most recent cosmological data sets, including weak lensing. As a higher derivative theory, Covariant Galileon models do not have a $\Lambda$CDM limit and predict a very different structure formation pattern compared with the standard $\Lambda$CDM scenario. Previous cosmological analyses suggest that this model is marginally disfavoured, yet can not be completely ruled out. In this work we use a more recent and extended combination of data, and we allow for more freedom in the cosmology, by including a massive neutrino sector with three different mass hierarchies. We use the Planck measurements of Cosmic Microwave Background temperature and polarization; Baryonic Acoustic Oscillations measurements by BOSS DR12; local measurements of $H_0$; the joint light-curve analysis supernovae sample; and, for the first time, weak gravitational lensing from the KiDS collaboration. We find, that in order to provide a reasonable fit, a non-zero neutrino mass is indeed necessary, but we do not report any sizable difference among the three neutrino hierarchies. Finally, the comparison of the Bayesian Evidence to the $\Lambda$CDM one shows that in all the cases considered, Covariant Galileon models are statistically ruled out by cosmological data.Comment: 8 pages, 5 figures, 2 tables. The Covariant Galileon patch of EFTCAMB is released in the EFTCAMB developers version - accepted version by PR

Horava Gravity in the Effective Field Theory formalism: from cosmology to observational constraints

We consider Horava gravity within the framework of the effective field theory (EFT) of dark energy and modified gravity. We work out a complete mapping of the theory into the EFT language for an action including all the operators which are relevant for linear perturbations with up to sixth order spatial derivatives. We then employ an updated version of the EFTCAMB/EFTCosmoMC package to study the cosmology of the low-energy limit of Horava gravity and place constraints on its parameters using several cosmological data sets. In particular we use cosmic microwave background (CMB) temperature-temperature and lensing power spectra by Planck 2013, WMAP low-l polarization spectra, WiggleZ galaxy power spectrum, local Hubble measurements, Supernovae data from SNLS, SDSS and HST and the baryon acoustic oscillations measurements from BOSS, SDSS and 6dFGS. We get improved upper bounds, with respect to those from Big Bang Nucleosynthesis, on the deviation of the cosmological gravitational constant from the local Newtonian one. At the level of the background phenomenology, we find a relevant rescaling of the Hubble rate at all epoch, which has a strong impact on the cosmological observables; at the level of perturbations, we discuss in details all the relevant effects on the observables and find that in general the quasi-static approximation is not safe to describe the evolution of perturbations. Overall we find that the effects of the modifications induced by the low-energy Horava gravity action are quite dramatic and current data place tight bounds on the theory parameters.Comment: v1: 27 pages, 7 figures. v2: 28 pages, 7 figures. Changes in Figs. 2,3,4,6,7 and Tabs. 1,2. Matches published version in Phys. Dark Uni

A Digital Twin Based Self-Calibration Tool for Fault Prediction of FDM Additive Manufacturing Systems

Among the advantages of introducing digital twins on production systems, there is the ability to identify their eventual critical state and to enable predictive maintenance policies. The failure of a manufacturing process, in general, can be anticipated in phase of simulation, if tied up to wrong settings, or in phase of operation, if tied up to environmental variables. In both cases, knowing the conditions that could cause the failure allows to intervene in a timely and effective manner. Here a method is proposed to explore the system operating parameters in a systematic way: the system is able to process signals collected in real time by machine's sensors and to reproduce both the trajectories of the moving parts and the material deposition process. This also makes possible to predict manufacturing tolerances that will be obtained. On a FDM Cartesian 3D printer a self-calibration procedure is used to find the maximum torque that can be delivered by the drives at different speeds in an automatic and repeatable way to find the maximum speed and acceleration at which the machine can operate safely. Additional accelerometers were installed on the machine to validate the adopted procedure: tests results demonstrate the effectiveness of the system