871 research outputs found
Extracting temporal patterns from smart city data
Mestrado de dupla diplomação com a DULAY UNIVERSITYIn the modern world data and information become a powerful instrument of management, business, safety, medicine and others. The most fashionable sciences are the sciences which allow us to extract valuable knowledge from big volumes of information. Novel data processing techniques remains a trend for the last five years, in a way that continues to provide interesting results. This paper investigates the algorithms and approaches for processing smart city data, in particular, water consumption data for the city of Bragança,
Portugal. Data from the last seven years was processed according to a rigorous methodology, that includes five stages: cleaning, preparation, exploratory analysis, identification of patterns and critical interpretation of the results. After understanding the data and choosing the best algorithms, a web-based data visualizing tools was developed, providing dashboards to geospatial data representation, useful in the decision making of municipalities.В современном мире данные и информация стали одним из самых мощных инстру- ментов в управлении, бизнесе, безопасности, медицине, науке и социальной сфере. Са- мыми модными и востребованными науками в настоящий момент являются науки, поз- воляющие извлекать полезные знания из больших объемов информации. Новые методы обработки данных остаются тенденцией последних пяти лет и продолжают генерировать интересные результаты. В данной работе исследуются алгоритмы и подходы для обработ-ки данных "умного города", в частности, данных о потреблении воды в городе Браганса, Португалия. Данные за последние семь лет обрабатывались в соответствии со строгой методологией, включающей пять этапов: очистка, подготовка, исследовательский анализ,
выявление закономерностей и критическая интерпретация результатов. Цель исследова-ниия - определение шаблонов поведения в потрблении воды связанных с определенными событиями и построение модели прогнозова на основе найденных закономерностей. В результате исчерпывающего анализа с помощью множества методов было установлено отсутствие систематических зависимостей в рассматриваемом типе данных. На заключи-тельном этапе был создан инструмент визуализации данных, обеспечивающий динами-ческие панели для представления аналитических данных о распределении потребления.
Разработанный инструмент управления аналитикой полезен для принятия решений му-ниципалитетом
Impact of the Covid-19 on liquidity of emerging market bonds
ISCAL Working Papers SeriesWe analyze liquidity of the emerging market (EM) bonds during the Covid-19 fueled uncertainty. Using bid/offer spreads we demonstrate that the apogee of both, liquidity and credit stresses is reached in late-March, and that although liquidity has improved since then, it has not yet returned to the pre-Covid levels. In particular, we find that the EM financials are more resilient to liquidity shocks than the EM corporates and
sovereigns. Moreover, we observe a decoupling in the dynamics of the liquidity and credit risk metrics, as credit spreads have been tightening very slowly due to the Covid-19-triggered repricing of default risk.info:eu-repo/semantics/publishedVersio
IFRS 9 compliant adjustment of CDS implied point-in-time PDs to through-the-cycle default frequencies
Working Paper com arbitragem científicaThis paper presents an economically justified International Financial Reporting Standard 9 (IFRS 9) compliant solution around the impairment component related to Expected Credit Loss (ECL) modeling. Under IFRS 9 the probabilities of default (PDs) employed in ECL calculation must be real-time estimates, i.e., the PDs must be point-in-time and incorporate forward-looking information. While market indicators of future debt performance, as credit default swap (CDS) spreads and yield curves, are frequently available in the market, at least for large issuers, they cannot be used directly for PD estimates, as non-default risks, such as liquidity, transparency, and other, explain a relevant part of a fixed-income issue´s credit spread. Still, IFRS 9 requires a neutral character of PD estimations. We demonstrate how to calibrate single-name CDS implied PDs by examining the relationship between individual point-in-time forward-looking credit spreads and historically observed long-term average default frequencies. As CDS spreads are individual measures corresponding to a concrete reference entity while default frequencies represent aggregate measures across homogeneous groups of issuers, to make an economically meaningful calibration possible the CDS data must be averaged over time and rating, sector and/or geography to allow for comparison of comparable metrics. Our easy-to-implement solution specifically targeting IFRS 9 purposes is illustrated on a sample of corporate issuers. The proposed adjustment framework permits to reach better understanding by banks and financial institutions of complex ongoing interactions between the impairment and economic capital requirements in relation to credit lossesinfo:eu-repo/semantics/publishedVersio
Flight-to-Quality phenomenon as a source of financial instability
Doutoramento em EconomiaA general theoretical framework is proposed to analyse Flight-to-Quality events, defined as a mass investment migration from risky to safe assets. The model consists of only two asset classes, risky and safe. The framework is applied to Flights-to-Quality from emerging market public debt to U.S. treasuries, in the period 1998-2010. An alarm signal system is designed to warn of upcoming Flights-to-Quality and their terminations, and is applied: (i) to delimiting hypothetical Flights-to-Quality on an ex-ante basis, which are compared with
historically observed episodes, to test the quality of the alarm signals; (ii) to elaborate dynamic interest rate risk hedge strategies, characterized by higher returns and lower volatility in comparison with statically hedged investments. The proposed framework potentially allows for improving the timeliness of financial policies, which can be triggered by the alarm signals. It can also be a useful tool for defining adequate policies to be implemented acting either on an insufficient supply of the safe assets or on a decreasing demand for the risky investments, thus contributing to a more stable economic environment.Propõe-se uma abordagem teórica para análise de eventos Flight-to-Quality, definidos como a migração em massa de investimentos em, activos com risco para investimentos em activos sem risco. O modelo considera apenas dois tipos de activos, com e sem risco. A abordagem é aplicada a eventos Flight-to-Quality da dívida pública de mercados emergentes para dívida pública norte-americana, no período 1998-2010. É desenhado um
sistema de sinais de alerta para emitir sinais de aviso relativos ao início e ao término dos
eventos Flight-to-Quality, o qual é utilizado para: (i) a identificação ex-ante (hipotética) dos
eventos, os quais são comparados com os eventos históricos observados, para testar a qualidade dos sinais gerados; (ii) para elaborar estratégias dinâmicas de cobertura de risco
da taxa de juro, que asseguram rendimentos mais elevados e menor volatilidade que estratégias de cobertura de risco estáticas. A abordagem proposta permite melhorar o tempo de resposta das políticas financeiras, as quais podem ser despoletadas pelos sinais de alarme. E pode também ser um instrumento útil para a definição de políticas, seja para correcção de uma oferta insuficiente de activos sem risco ou de uma procura insuficiente pelos activos com risco, contribuindo assim para um ambiente económico mais estável
Emerging market debt and the COVID-19 pandemic: A time–frequency analysis of spreads and total returns dynamics
© 2020 John Wiley & Sons, Ltd. We apply wavelet analyses to study the impact of COVID-19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness. Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD-denominated debt. We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID-19 of investments in bonds issued by developing economies. We document differences in patterns exhibited by various indices describing behaviour of option-adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies. We report well-defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis-à-vis the media coverage
A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets
© 2020 Elsevier B.V. We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January–May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules
Typological classification, diagnostics, and measurement of flights-to-quality
This paper proposes a total return-based framework to study flight-to-quality phenomenon of fixed-income securities. It consists of three elements: (i) the general definition of event; (ii) the typological classification of the phenomena to be able associate them with the phases of business cycle; (iii) automated technique to diagnose the time frames and to measure the impact of flight-to-quality on debt instruments. The proposed framework is applied to analyse capital movements from Emerging Markets public debt to the U.S. Treasuries and vice versa within the period 1998-2010. The results show that different phases of business cycles and GDP rates behaviours, including turning points, could be
associated with flights-to-quality of different types and nature.Financial support provided by the Fundação para a Ciência e Tecnologia/FCT under the POPH/FCE program. Financial support provided by the Fundação para a Ciência e Tecnologia/FCT under the FCT/POCTI program, partially funded by FEDER, is gratefully appreciated
Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt
An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules
Governed by the cycle: interest rate sensitivity of emerging market corporate debt
This study addresses interest rate sensitivity of emerging market corporate debt. Previous research suggests that interest rate sensitivity of corporate bonds depends on residual maturity of issues, creditworthiness of issuers, embedded options and other idiosyncratic factors. However, the dependence of interest rate sensitivity on phases of the business cycle has not received an appropriate academic attention. This paper provides empirical evidence and theoretical interpretation of a dichotomy of interest rate sensitivity across the phases of the cycle, and sheds light on how credit spreads respond to interest rates. The historical span of the research covers the period of 2004–2016. The fndings imply that hedging interest rate risk ought to be a dynamic process and take into consideration where the economy is positioned in the current business cycle. This research provides important insights on the nature of interest rate sensitivity, capable of enhancing fnancial stability and improving efciency of fnancial system.info:eu-repo/semantics/publishedVersio
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