DG - Teses de Doutoramento / Ph.D. Thesis
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- Actuarial models for credit riskPublication . Dala, Fernando Luciano; Gaspar, Raquel MedeirosThis thesis presents a comprehensive exploration of advancements in credit risk regulation and risk modeling, from Basel I to Basel III, with a focus on the transition to more risk-sensitive frameworks and the application of advanced statistical techniques. Basel I introduced a standardized approach to assessing credit risk, while Basel II addressed its limitations by incorporating a more exible, risk-sensitive model. Basel III, developed in response to the 2007-2008 nancial crisis, further strengthened regulatory oversight and imposed stricter capital requirements to reduce bank risk-taking behaviors and bolster nancial stability. We delve into the application of survival analysis for loan portfolio risk assessment, demonstrating its potential to evaluate credit risk by predicting loan default probabilities over time. The methodology provides insights into loan performance dynamics through the construction of survival tables and the estimation of survival functions, improving risk detection and decision-making in the banking industry. Furthermore, the thesis integrates convolution methods and kernel density estimation (KDE) in modeling loan portfolio risk, providing both parametric and non-parametric approaches to estimate the distribution of aggregate losses. These techniques enhance the accuracy of key risk metrics, such as Value at Risk (VaR) and Expected Shortfall (ES), o ering a more exible and robust representation of risk for diverse portfolios. Finally, we re ne credit risk measurement under the Basel internal ratings-based (IRB) approach, focusing on the Asymptotic Single Risk Factor (ASRF) model and its limitations in capturing concentration risk. We propose extensions based on Pykhtin's (2004) multi-factor model, which incorporates sector and name concentration risks. Using a numerical simulation framework, we evaluate economic capital (EC) requirements and demonstrate that the multi-factor approach provides a more reliable framework for regulatory and economic capital assessments. By integrating these methodologies, this thesis aims to contribute to the advancement of risk management practices in the banking sector, o ering more precise tools for evaluating and mitigating credit risk.
- Análise de riscos em contratos de parcerias público privadas : evidências a partir de infraestruturas de estradas em MoçambiquePublication . Veniça, Lourenço; Mendonça, António
- Corporate digital ecosystem and project portfolio management : the leverage of project managementPublication . Mello, Helcio Guimarães de; Costa, Carlos Manuel Jorge daThe technological advancements of recent decades have profoundly transformed how companies operate. Organizations are increasingly challenged to deliver results by implementing processes, products, and services introduced with innovative elements. In today’s global and highly competitive market, a firm’s resilience and technological intensity are closely linked, highlighting the critical need for continuous strategic alignment between projects and organizational goals. The primary aim of this dissertation is to explore the core challenges that companies across various sectors face in executing their strategies in these complexities. A persistent issue is the fragmentation of project portfolios. Companies attempt to manage their resources effectively, seeking the optimal synergy and balance for success. Given that no organization has unlimited resources, achieving this balance and successfully managing and executing a project portfolio is vital for long-term sustainability. In addition, obtaining reliable information and data for project management and control is crucial. Both public and private companies are working to enhance their project management practices, with the role of the Project Management Office (PMO) becoming increasingly significant. The impact of the PMO on organizational performance and importance has been well-documented. Building on these fundamentals, this research analyzes the effects of PMOs on project portfolios and examines how an IT supported ecosystem contributes to organizational resilience. The model developed is innovative in its design and complexity, emerging from various interactions and relationships, along with new approaches and constructs such as adaptive digital resilience and the influence of organizational dynamics on projects with social, environmental, and economic dimensions. The framework also emphasizes the importance of integrated sustainability through the success of the project portfolio. To validate the model, a questionnaire was designed to collect data from project management professionals in both public and private sectors. The statistical tests performed confirmed the model’s viability.
- Business benefits from big data analytics : a multiple case study approachPublication . Romão, Flávio Alexandre Costa; Caldeira, Mário Fernando MacielBig Data Analytics Capabilities (BDAC) are increasingly acknowledged for their transformative impact on business practices and strategic frameworks by both practitioners and the academic community. Despite heightened interest, detailed research into the specific business benefits of BDAC is notably limited, with existing studies often adopting alternate analytical lenses. This research explores the realization of business benefits from BDAC across diverse sectors within the Portuguese market, employing Benefits Management lens based on a multiple case study research strategy. Concentrating on the primary commercial and operational activities within four distinct industries, this study examines the role of BDAC and its enablers in fostering revenue growth, cost efficiency, customer engagement, and compliance. Key findings stress the criticality of multidisciplinary collaboration, data democratization, and the strategical differentiation between traditional and advanced analytics. Additionally, this study provides insights into various organizational models – centralized, decentralized, and hybrid – offering significant perspectives on optimizing BDAC deployment for strategic leverage.
- Essays in agricultural credit riskPublication . Céu, Mário Raúl Santiago do; Gaspar, Raquel MedeirosEsta tese explora a intrincada dinâmica do risco de crédito na atividade agrícola. A investigação integra conhecimentos de vários ângulos, abrangendo factores como o ciclo vegetativo, actividades agrícolas específicas como a viticultura e olivicultura, a dimensão económica e considerações relacionadas com as alterações climáticas. Utilizando um conjunto abrangente de dados de empresas agrícolas, o estudo examina os preditores de falência, estima modelos de predição e relata o estado da arte, através de quatro artigos originais. Abordando as crescentes ameaças das alterações climáticas à produtividade agrícola, o primeiro artigo realiza uma revisão sistemática da literatura, identificando 39 artigos da Scopus e da Web of Science. Desta seleção, emergem três dimensões principais – (i) empréstimos agrícolas e risco de crédito, (ii) princípios verdes e sustentabilidade, e (iii) o contexto dos países em desenvolvimento. As conclusões sublinham a necessidade imperiosa de integrar as considerações climáticas nas políticas agrícolas e de crédito. São recomendadas estratégias proativas, abrangendo políticas de crédito personalizadas, melhor acesso ao crédito, capacitação financeira e combate às desigualdades sociais. O segundo artigo destaca o papel crucial do ciclo vegetativo na diferenciação entre empresas agrícolas saudáveis e falidas. Os preditores baseados na liquidez revelam-se eficazes para culturas não perenes, enquanto os preditores de atividade demonstram uma precisão superior para culturas perenes. O terceiro artigo estende o seu foco aos setores vitícola e olivícola de países mediterrânicos, apresentando 12 modelos adaptados para diferentes combinações de países e culturas. Os resultados sublinham a necessidade de modelos dedicados que tenham em conta as variações sectoriais e regionais para melhorar a precisão das previsões. O quarto artigo explora as dificuldades financeiras das pequenas empresas agrícolas, que constituem a maior parte do sector. Aproveitando uma amostra de 9.891 empresas, são estimados modelos de regressão logística. Notavelmente, a dimensão da empresa surge como um factor significativo, com as empresas mais pequenas a enfrentar maiores dificuldades financeiras. O estudo defende a inclusão do tamanho da empresa como covariável, enfatizando a sua relevância nas diferentes classes de dimensão. Esta análise multidimensional fornece um quadro abrangente para compreender e mitigar os desafios enfrentados pelas empresas agrícolas. A síntese destas diversas perspectivas oferece informações originais e valiosas para os decisores políticos, instituições financeiras e profissionais, abrindo caminho para uma melhor compreensão dos riscos financeiros, particularmente os riscos de crédito que estas empresas enfrentam num cenário de grande incerteza e desafios relacionados com a segurança alimentar e riscos climáticos.
- A relação entre a cultura de aprendizagem e a partilha de conhecimento intergeracional : o caso de AngolaPublication . Damião, Mauro Jorge Lopes; Gomes, JorgeA importância da cultura de aprendizagem no alcance da coesão intergeracional e dos objetivos organizacionais tem sido amplamente descrita na literatura. No entanto, pouca investigação sobre a sua influência na partilha de conhecimento intergeracional tem sido realizada no contexto organizacional internacional e, particularmente, no angolano. Essa realidade torna esta temática relevante para a criação de valor e de conhecimento, para a academia e as organizações. Assim, na sequência de um estudo realizado no contexto organizacional angolano, esta investigação teve como objetivo principal contribuir para uma melhor compreensão da influência das dimensões da cultura de aprendizagem na partilha de conhecimento ascendente e descendente, bem como compreender a influência dessas dimensões nas organizações enquanto organismos voltados para a concretização de objetivos e estruturas sociais. Para alcançar o objetivo deste estudo, foi realizada uma investigação suportada pelo método do estudo de caso conduzida em quatro empresas angolanas sedeadas exclusivamente no contexto organizacional angolano. A metodologia utilizada nesta investigação foi a de natureza qualitativa. Esta metodologia foi operacionalizada através da realização de recolha de documentos, observação participante e entrevistas semiestruturadas a quarenta e quatro profissionais subdivididos entre as quatro empresas selecionadas. Os resultados indicam que a cultura de aprendizagem, percebida no contexto angolano como uma norma cultural, nas suas múltiplas dimensões – comunicação interpessoal, confiança interpessoal e trabalho em equipa, influencia positivamente o processo de partilha de conhecimento ascendente e descendente. A influência da comunicação interpessoal dá-se, quando a troca de informações entre mais novos e mais velhos é de carácter formal e informal, essas informações são transmitidas através do uso faseado de vários meios de comunicação, com destaque para o contacto face-to-face (bidirecional/recíproco) e, ainda, sempre que a troca dessas informações ocorre de modo regular ou alternada e num contexto organizacional em que a estrutura é matricial. A influência da confiança interpessoal acontece, quando a troca de informações entre mais novos e mais velhos é de carácter informal, essas as informações são transmitidas através do contacto direto, face-to-face (bidirecional/recíproco), e as relações interpessoais que sustentam esta troca de informações são de natureza profissional e pessoal, fortes e contínuas e dão-se numa estrutura de carácter matricial ou orgânico. A influência do trabalho em equipa acontece, quando entre mais novos e mais velhos existe uma relação de confiança profissional e pessoal equilibradas, as suas crenças são partilhadas, as ideias contrárias toleradas, os valores e as normas organizacionais previamente estabelecidas são respeitados e, ao mesmo tempo, quando a troca de informações entre os membros da organização ocorre de modo formal e informal, com regularidade, reciprocamente, por intermédio do contacto face-to-face e num contexto organizacional cuja estrutura é de índole matricial.
- A marca país e a atração de investimento direto estrangeiro : o caso de AngolaPublication . Quilende, Manuel Machado; Oliveira, Sandra Miranda de; Silva, Rui Correia da; Mota, JoãoO presente estudo aborda a temática da marca-país e a atração de investimento direto estrangeiro, aplicado ao caso de Angola. O objetivo é o de contribuir para a compreensão da perceção que os empresários e investidores possuem relativamente aos determinantes da marca-país que mais influenciam, aquando da escolha de Angola como local de investimento. Com o intuito de se atingir os objetivos do estudo e responder às questões de investigação e às hipóteses, foi utilizado o método quantitativo que teve uma abordagem exploratória e descritiva. Para o efeito, utilizou-se uma amostragem não probabilística por conveniência, tendo-se recolhido dados numa amostra total de 455 investidores. Os inquiridos responderam, online e presencialmente, a um questionário desenvolvido para o estudo. Os resultados revelam que os investidores inquiridos têm de Angola uma imagem global positiva. A análise da correlação mostra-se moderada e positiva entre as dimensões da imagem da marca-país e as dimensões da variável de atração de oportunidades de investimento. Da análise de regressão linear efetuada, foi possível identificar os determinantes da imagem da marca-país que mais influenciam a atração de oportunidades de investimento direto estrangeiro em Angola, nomeadamente a dimensão do turismo, a dimensão da exportação e investimento, a dimensão dos valores e práticas culturais e a do quadro regulamentar.
- Examining customer behaviour and motivations for value co-destruction in tourism through the empowerment of mobile technologyPublication . Freire, Roberta Rocha; Veríssimo, JoséUnderstanding how the value of a tourism offer is co-destroyed instead of co-created can assist tourism players in better serving customers and mitigating customer misbehaviour. The widespread use of mobile technology significantly influences the tourism experience by empowering customers and enabling real-time interactions. Accordingly, the purpose of this doctoral dissertation is to investigate the customer value co-destruction behaviour and motivations facilitated by mobile technology in the tourism industry. To reach this goal, a series of studies were conducted, focusing on three main themes. First, an analysis on the status of the co-creation/co-destruction literature development inside the tourism industry revealed that co-destruction is still an uncharted territory in the tourism research field and the mobile technologies plays a relevant part on this industry cocreation process. Conducting a mapping analysis, this study gained an in-depth understanding of the intellectual structure surrounding our primary subjects, affirming the significance of mobile technologies in the value co-creation/co-destruction process within tourism. The subsequent study focused on exploring customer perceptions of their negative reviews and online comments, which are regarded as additional instances of customer-tocustomer (C2C) co-destruction interactions. It resulted from 17 semi-structured interviews. Among others, these study’s findings suggest that customers tend to carry out their customer-to-customer co-destruction interaction after the experience. Nevertheless, if an alternative solution is contemplated or feelings of frustration or neglect are detected, this pattern can be disrupted. The third study aimed to identify the causal conditions that trigger real-time customer-to-customer (C2C) co-destruction in tourism. Employing a fuzzy-set qualitative comparative analysis (fsQCA) supplemented by Necessary Conditions Analysis (NCA), it revealed three distinct pathways to real-time C2C co-destruction interactions and one path leading to a negative outcome. Additionally, it was found that no single causal condition is essential to prompt customers to engage in real-time C2C co-destruction. However, the absence of bad interpersonal communication behaviour emerged as a necessary condition for non-real-time C2C co-destruction initiated by customers. Employing a Pragmatic approach alongside a Socioeconomic Constructivism philosophical perspective, this dissertation utilized an abductive technique and a blend of methodological strategies to enhance interpretations of a phenomenon. The ServiceDominant Logic was selected as the theoretical framework due to its extensive application in tourism studies, offering a comprehensive understanding of service ecosystems and resource integration, particularly in the context of Web 2.0.
- On real estate diversification and valuation in investment portfolios : evidence from pension funds and real estate investment fundsPublication . Fernandes, Pedro Filipe Moreira Brites de Almeida; Neves, João Carvalho das; Caiado, Aníbal CristóvãoReal estate investment is attractive for investment portfolios’ diversification. It can be divided into direct and indirect investment: the urge and growth of indirect investment vehicles as Pension Funds (PFs) and Real Estate Investment Funds (REIFs) endured the financialization of real estate, bypassing some of the limitations of direct real estate investment. Therefore, this Thesis addresses three topics on real estate diversification and valuation in investment portfolios of PFs and REIFs: (i) the impact of real estate assets in Pension Funds for diversification and cash flow management; (ii) valuation issues to determine if a change in the accounting rules for property valuation in REIFs (the mandatory use of Fair Value Accounting to recognize property values) impacted their return and performance; (iii) the relationship between diversification and return within the investment portfolios of non-listed REIFs. This research discusses the impact of real estate diversification in non-listed investment funds and PFs, analyses its impact in cash flow management, helps practitioners to understand better how to balance portfolios weights with real estate, uses the HerfindahlHirschman Index under the context of real estate portfolios and employs a cluster analysis approach. We find evidence that indirect real estate investment does not contribute to increase the probability of cash flow increases and cash flow stability in Pension Funds; that both segment and geographical diversification create value (with focus on asset selection/choice) for non-listed REIFs; and, that the return of these funds has increased since 2015 due to the combined effect of the mandatory use of fair value accounting, higher redemption periods and economic growth.
- Essays on crypto assets and their role in financial marketsPublication . Almeida, José Afonso Martins; Gonçalves, TiagoThe present dissertation examines the role of cryptocurrencies within the financial landscape. The main goal of this dissertation is to understand the phenomena of cryptocurrencies and their relationships with the financial markets from the investment/investor perspective. This dissertation adopts a cumulative approach supported on systematic literature review and structured around a series of essays that collectively provide a comprehensive analysis of cryptocurrency markets relationships in the financial markets. The collection of essays offers insights into the emotional dynamics of investors, the strategic uses of cryptocurrencies during economic shocks, and the influence of AI and sustainable advancements on cryptocurrency markets. The first section of the thesis includes a systematic literature review that identifies and categorizes the existing body of research on cryptocurrency investments. Employing VOSviewer bibliographic coupling, 482 articles from the ABS 2021 journal list are analyzed, revealing four distinct clusters of literature: investor behavior and sentiment, portfolio diversification and hedging properties, market microstructure and efficiency, and volatility and risk management. This structured review sets the stage for the subsequent empirical essays. The first essay contributes with empirical evidence to investor behavior and sentiment literature cluster. It delves into the emotional interconnectedness among various financial markets. This study documents the temporal fluctuations, showing how markets switch between being net receivers and net transmitters of emotions based on market conditions, which emphasizes their adaptive nature. The research further explores the asymmetric behavior of emotions, particularly emphasizing fear as a significant catalyst enhancing market interconnectedness. Additionally, it details how the roles of markets vary with the intensity of sentiments like greed and fear through asymmetric quantile analysis, demonstrating how different levels of emotional intensity influence market dynamics. The second essay investigates the interaction between cryptocurrencies and Economic Policy Uncertainty (EPU) during the distinct phases of the COVID-19 pandemic. The analysis reveals that cryptocurrencies respond variably to EPU, with the relationship being most pronounced during acute phases of the pandemic. These findings suggest that cryptocurrencies do not consistently act as safe havens but rather as speculative assets that are highly sensitive to policy changes and investor sentiment. In the third essay, the focus shifts to the geopolitical context of the Russia-Ukraine conflict, examining cryptocurrencies' role during war times. This segment of the thesis identifies how major cryptocurrencies like Bitcoin, Ethereum, and Ripple fluctuate between roles as economic transmitters and receivers, highlighting their potential utility in international conflicts and sanctions evasion. The fourth essay evaluates the influence of AI on cryptocurrency market efficiency, particularly post the introduction of ChatGPT 3. It establishes that the introduction of ChatGPT 3 significantly enhanced market efficiency, with sectors associated with AI experiencing positive mean returns and increased liquidity. The final essay explores the dual impact of AI and sustainability on cryptocurrency market dynamics, particularly focusing on how these two themes influence volatility and returns across different market conditions. The results show that while sustainability-themed cryptocurrencies often drive market dynamics, AI-related cryptocurrencies have increasingly taken a leading role as transmitters of market influences, reflecting a shift in investor interest towards technology-driven financial products. Collectively, these essays offer empirical evidence on the cryptocurrency market across various contexts and provide insights for policymakers, investors, and scholars. It supports the formulation of regulatory frameworks and informed investment strategies emphasizing the need for an integrated approach to understanding and managing the multifaceted impacts of digital currencies on global finance.