Submitted by Ronaldo Medrado Helpe (ronaldo.helpe@gmail.com) on 2018-01-05T14:28:46Z No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Approved for entry into archive by Mayara Costa de Sousa (mayara.sousa@fgv.br) on 2018-01-10T23:17:12Z (GMT) No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Made available in DSpace on 2018-01-11T13:40:17Z (GMT). No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) Previous issue date: 2017-12-11 / A iminência da entrada em vigor das regras estabelecidas pelo acordo da Basileia III, motivado pela crise do subprime em 2009, desperta preocupação ao redor do mundo, inspirando inúmeros estudos que tentam antecipar potenciais efeitos desta regulamentação sobre a economia (BERROSPIDE e EDGE, 2010). O Brasil vive uma das piores recessões de sua história e as provisões para créditos ruins nos balanços dos bancos se avolumam, gerando um aumento do estoque de créditos tributários. Em linha com diversos estudos já realizados, este trabalho explorou efeitos decorrentes da implantação do acordo da Basileia III em relação ao capital mínimo regulatório exigido, com o diferencial de dar ênfase ao impacto da exclusão dos créditos tributários da base de capital dos bancos. O objetivo foi identificar se a restrição de capital trazida por tais deduções, no âmbito do novo acordo, poderia impactar o volume de créditos concedidos pelos bancos, impactando, portanto, o processo de recuperação econômica do Brasil. Verificou-se, através de uma pesquisa exploratória, que abordou uma amostra relevante de 38 bancos, que os avanços dos ajustes prudenciais de créditos tributários terão alto impacto sobre a base de capital das instituições financeiras. Tais deduções, geraram impactos em 28 bancos da amostra, chegando a representar mais de 100% da necessidade agregada de capital principal e 59% da necessidade agregada de capital nível 1 dos bancos analisados. Do ponto de vista de influência das deduções dos créditos tributários sobre as carteiras de crédito dos bancos, foi possível constatar que o impacto tende a ser pequeno, chegando a 1,5% de redução sobre o total da carteira de crédito dos bancos analisados. Essa conclusão, apesar de parecer incoerente à primeira vista, justifica-se pela capacidade dos bancos em atrair mais capital, em função de suas rentabilidades acima do custo de capital próprio. Essa análise nos permitiu confirmar a relevância dos créditos tributários das instituições financeiras sobre suas políticas de gestão de capital e verificar que as deduções de créditos tributários, apesar de representar restrições importantes de capital, não deverão impactar de forma relevante o crescimento das carteiras de crédito no sistema financeiro brasileiro. / The imminence of fully application of the rules established by Basel III, motivated by the subprime crisis in 2009, arouses concern around the world, motivating several papers trying to anticipate potential effects of this regulation (BERROSPIDE e EDGE, 2010). Brazil is facing one of the worst recessions in its history and the increase in provisions for bad credits, led to an increase in tax credits in the banks' balance sheets in Brazil. Aligned with several studies, this research explored the effects arising from the implementation of Basel III agreement in relation to minimum regulatory capital, with the differential of emphasizing the impact of the exclusion of tax credits from the capital base of banks. The objective was to identify if the restriction of capital brought by Tax Credits under the new agreement could impact the volume of credits granted by the banks, thus impacting the process of economic recovery in Brazil. It was verified through a relevant sample of 38 banks that tax credits will have a high impact on the banks' capital base. These deductions generated impacts on 28 sample banks, accounting for more than 100% of the aggregate principal capital requirement and 59% of the aggregate capital requirement of the banks analyzed. From the point of view of the influence of tax credit deductions on banks' credit portfolios, it was possible to verify that the impact tends to be small, reaching a reduction of 1.5% on the total loan portfolio of the banks analyzed. This conclusion, despite seeming at first glance to be inconsistent, is justified by the ability of banks to attract more capital, due to their profitability above the cost of equity. This analysis allowed us to confirm the relevance of tax credits of financial institutions on their capital management policies and to verify that deductions of tax credits, despite representing significant capital constraints, should not have a significant impact on the growth of credit portfolios in Brazil.

The aim of this diploma thesis is to analyse the development of the regulatory framework and its current state according to the latest Basel III framework. The new rules were created as a response to the financial crisis that started in 2007. The framework represents significant increase in quality, amount and transparency of the capital base in comparison with the pre-crisis situation. Basel III has both micro and macroprudential focus. The diploma thesis describes the development and shortcomings of regulatory framework that necessitated revisions of the regulatory rules over time. These rules evolve with the changes in the financial system and the way how financial risks are managed. Although the roots of financial crisis are related to the mortgage-backed securities market, the banking sector played an important role in spreading the problems. Therefore the diploma thesis will also concentrate on fundamental flaws that contributed to the financial crisis. Then the immediate corrective action taken as a response to the financial crisis are described. After that, the Basel III rules are presented in detail. The newest monitoring of the rules carried out by the Basel Committe and cost analysis carried out by IMF including evaluation based on various analyses of Basel III are presented. Basel III has addressed most of the flaws revealed in Basel II. However, some issues still remain unsolved, which can lead to future problems with the financial system stability.

El presente documento investiga los efectos de la política macroprudencial, medida por el requerimiento de capital sobre la economía peruana. Este estudio adapta y estima un modelo semi-estructural a la economía peruana, incorporando un instrumento de política macroprudencial y el sector crediticio. Para su estimación se utilizan datos de frecuencia trimestral y se estima mediante el Método Generalizado de Momentos. Se encuentra que el requerimiento de capital tiene un efecto negativo sobre el crecimiento del crédito y producto, y sobre la inflación. Además, mediante un análisis de escenarios se encuentra que los costos de la política macroprudencial resultan mayores que los de política monetaria. Por último, se encuentran indicios de que la política macroprudencial y monetaria deben coordinarse. / This document investigates the effects of macroprudential policy on the Peruvian economy, measured as the capital requirement ratio. This study adapts and estimates a semi-structural model to the Peruvian economy, incorporating a macroprudential policy instrument and a credit sector. The model is estimated using quarterly frequency data. It is estimated using the Generalized Method of Moments. The capital requirement has a negative effect on the growth of credit and product, and on inflation. Furthermore, through a scenario analysis, it is found that the costs of macroprudential policy are higher than those of monetary policy. Finally, there are signs that macroprudential and monetary policy need to be coordinated. / Trabajo de investigación

The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). Additionally, investment strategies for risk free assets are evaluated through a scenario based analysis. The findings support that the Equity shock of 39%, as proposed in the Standard formula, is appropriate for a diversified portfolio of global equities. Furthermore, to some extent; the Equity shock is also sufficient for a diversified global portfolio with an overweight of Swedish equities. Additionally, the findings shows that the Standard formula for Interest rate risks occasionally underestimates the true Interest rate risk. Furthermore, it’s shown that there are some advantage of selecting an investment strategy that stabilizes the Own fund of an insurance company rather than a strategy that minimizes the SCR. / Syftet med detta arbete är att utvärdera Standardformeln, som används för att beräkna solvenskapitalkravet (SCR) under Solvens II, med avseende på dess lämplighet för ett svensk försäkringsbolag. Modulerna som utvärderas är aktierisk (typ 1) och ränterisk. Utvärderingen genomförs med kvantitativa metoder och utifrån konceptet Value at Risk (VaR). Dessutom utvärderas investeringsstrategier för riskfria tillgångar genom en scenariobaserad analys. Resultaten stödjer att den av Standardformeln föreskrivna aktiechocken på -39 % är tillräcklig för en diversifierad global aktieportfölj. Dessutom är aktiechocken även tillräcklig för en diversifierad global portfölj med en viss övervikt mot svenska aktier. Vidare visar resultaten att Standardformeln under vissa omständigheter underskattar ränterisken. Slutligen visar den scenariobaserade analysen att det är fördelaktigt att välja en investeringsstrategi som stabiliserar Own fund, hellre än en strategi som minimerar SCR.

Le sujet principal de cette thèse porte sur les mesures de risque. L'objectif général est d'investiguer certains aspects des mesures de risque dans les applications financières. Le cadre théorique de ce travail est celui des mesures cohérentes de risque telle que définie dans Artzner et al (1999). Mais ce n'est pas la seule classe de mesure du risque que nous étudions. Par exemple, nous étudions aussi quelques aspects des "statistiques naturelles de risque" (en anglais natural risk statistics) Kou et al (2006) et des mesures convexes du risque Follmer and Schied(2002). Les contributions principales de cette thèse peuvent être regroupées selon trois axes: allocation de capital, évaluation des risques et capital requis et solvabilité. Dans le chapitre 2 nous caractérisons les mesures de risque avec la propriété de Lebesgue sur l'ensemble des processus bornés càdlàg (continu à droite, limité à gauche). Cette caractérisation nous permet de présenter deux applications dans l'évaluation des risques et l'allocation de capital. Dans le chapitre 3, nous étendons la notion de statistiques naturelles de risque à l'espace des suites infinies. Cette généralisation nous permet de construire de façon cohérente des mesures de risque pour des bases de données de n'importe quelle taille. Dans le chapitre 4, nous discutons le concept de "bonnes affaires" (en anglais Good Deals), pour notamment caractériser les situations du marché où ces positions pathologiques sont présentes. Finalement, dans le chapitre 5, nous essayons de relier les trois chapitres en étendant la définition de "bonnes affaires" dans un cadre plus large qui comprendrait les mesures de risque analysées dans les chapitres 2 et 3. / The aim of this thesis is to study several aspects of risk measures particularly in the context of financial applications. The primary framework that we use is that of coherent risk measures as defined in Artzner et al (1999). But this is not the only class of risk measures that we study here. We also investigate the concepts of natural risk statistics Kou et al (2006) and convex risk measure Follmer/ and Schied (2002). The main contributions of this Thesis can be classified in three main axes: Capital allocation, risk measurement and capital requirement and solvency. In chapter 2, we characterize risk measures with the Lebesgue property on bounded càdlàg processes. This allows to present two applications in risk assessment and capital allocation. In chapter 3, we extend the concept of natural risk statistics to the space of infinite sequences. This has been done in order to introduce a consistent way of constructing risk measures for data bases of any size. In chapter 4, we discuss the concept of Good Deals and how to deal with a situation where these pathological positions are present in the market. Finally, in chapter 5, we try to relate all three chapters by extending the definition of Good Deals to a larger set of risk measures that somehow includes the discussions in chapters 2 and 3.

[pt] Importante questão que se coloca atualmente é a capacidade de medição do volume de capital necessário, às sociedades seguradoras, para fazer frente aos diversos tipos de risco que tais companhias suportam no exercício de suas atividades. Esse volume de capital necessário deve ser tal que permita à companhia suportar variabilidades no negócio. As motivações para o desenvolvimento de modelos matemáticos visando à determinação desta necessidade de capital são tanto a preocupação das próprias companhias com a sua gestão de risco, como também aspectos relacionados ao estabelecimento de requerimentos de capital exigidos pelo regulador de seguro às sociedades seguradoras para fazer frente aos riscos suportados. Entre tais riscos, encontra-se a categoria dos riscos de subscrição, relacionados diretamente à operação central de uma seguradora (design de produto, precificação, processo de aceitação, regulação de sinistros e provisionamento). Esta dissertação apresenta uma proposta de modelo para determinação do volume necessário de capital para fazer frente aos riscos de subscrição, na qual tal categoria de riscos é segregada nos riscos de provisão de sinistros (relativos aos sinistros ocorridos e, assim, relacionados às provisões de sinistros) e nos riscos de emissão/precificação (relativos aos sinistros à ocorrer num horizonte de tempo de 1 ano, considerando novos negócios). Em especial, o modelo proposto utiliza processos de simulação que levam em consideração a estrutura de dependência das variáveis envolvidas e linhas de negócio, fazendo uso do conceito de cópulas condicionais. / [en] Important question that arises today is the ability to measure the amount of capital necessary to insurance companies, to cope with various types of risk that these companies support in performing their activities. This volume of capital required must be such as to enable the company to bear variability in business. The motivations for the development of mathematical models aimed at the determination of those capital needs are both the concern of companies with their own risk management, as well as aspects related to establishing capital requirements required by the insurance regulator to insurance companies to face the risks borne. Among such risks, is the category of underwriting risks, directly related to the core operation of an insurance company (product design, pricing, underwriting process, loss settlement and provisioning). This dissertation proposes a model for determining the appropriate amount of capital to cope with the underwriting risks, where such risk category is segregated in reserving risks (relative to incurred events) and pricing risks (relative to events occurring in the time horizon of 1 year, considering new businesses). In particular, the proposed model uses simulation processes that take into account the dependence structure of the variables involved and lines of business, making use of the concept of conditional copulas.

Le sujet principal de cette thèse porte sur les mesures de risque. L'objectif général est d'investiguer certains aspects des mesures de risque dans les applications financières. Le cadre théorique de ce travail est celui des mesures cohérentes de risque telle que définie dans Artzner et al (1999). Mais ce n'est pas la seule classe de mesure du risque que nous étudions. Par exemple, nous étudions aussi quelques aspects des "statistiques naturelles de risque" (en anglais natural risk statistics) Kou et al (2006) et des mesures convexes du risque Follmer and Schied(2002). Les contributions principales de cette thèse peuvent être regroupées selon trois axes: allocation de capital, évaluation des risques et capital requis et solvabilité. Dans le chapitre 2 nous caractérisons les mesures de risque avec la propriété de Lebesgue sur l'ensemble des processus bornés càdlàg (continu à droite, limité à gauche). Cette caractérisation nous permet de présenter deux applications dans l'évaluation des risques et l'allocation de capital. Dans le chapitre 3, nous étendons la notion de statistiques naturelles de risque à l'espace des suites infinies. Cette généralisation nous permet de construire de façon cohérente des mesures de risque pour des bases de données de n'importe quelle taille. Dans le chapitre 4, nous discutons le concept de "bonnes affaires" (en anglais Good Deals), pour notamment caractériser les situations du marché où ces positions pathologiques sont présentes. Finalement, dans le chapitre 5, nous essayons de relier les trois chapitres en étendant la définition de "bonnes affaires" dans un cadre plus large qui comprendrait les mesures de risque analysées dans les chapitres 2 et 3. / The aim of this thesis is to study several aspects of risk measures particularly in the context of financial applications. The primary framework that we use is that of coherent risk measures as defined in Artzner et al (1999). But this is not the only class of risk measures that we study here. We also investigate the concepts of natural risk statistics Kou et al (2006) and convex risk measure Follmer/ and Schied (2002). The main contributions of this Thesis can be classified in three main axes: Capital allocation, risk measurement and capital requirement and solvency. In chapter 2, we characterize risk measures with the Lebesgue property on bounded càdlàg processes. This allows to present two applications in risk assessment and capital allocation. In chapter 3, we extend the concept of natural risk statistics to the space of infinite sequences. This has been done in order to introduce a consistent way of constructing risk measures for data bases of any size. In chapter 4, we discuss the concept of Good Deals and how to deal with a situation where these pathological positions are present in the market. Finally, in chapter 5, we try to relate all three chapters by extending the definition of Good Deals to a larger set of risk measures that somehow includes the discussions in chapters 2 and 3.

Insurance contracts will be reported at fair values on insurers’ balance sheets from 2010. In this thesis, we will review the conceptual and theoretical backbone of the insurance fair valuation project while providing a summary of the key features of the fair valuation project. Then, we will conduct a case study aimed at finding, under the fair valuation regime, the best asset allocation strategy for a particular business unit that carries a hypothetical annuity portfolio using a single modelling framework for valuation, risk calculation and business appraisal.

[pt] Uma importante questão que se coloca para entidades abertas de previdência complementar e sociedades seguradoras que operam previdência complementar é a definição de uma gestão dos ativos e passivos (do inglês ALM – Asset and Liability Management). Tal questão se torna mais relevante em um cenário de alta competitividade, margens operacionais decrescentes, garantias mínimas de rentabilidade para um passivo estocástico de longo prazo e um período de queda da rentabilidade dos instrumentos financeiros, sendo estes muitas vezes de difícil precificação e pouco previsíveis num mercado volátil como o brasileiro. Somada a estas dificuldades, as companhias deste mercado estão sujeitas a uma regulação baseada em riscos, oriunda de práticas internacionais, adotada pelo órgão superior, Susep, que impõe restrições regulamentares para a manutenção da solvência das companhias, o que eleva a dificuldade da definição de um modelo. Diante deste cenário, esta dissertação apresenta uma proposta de ALM baseada em um modelo de programação estocástica multiestágio que tem como objetivo definir dinamicamente a alocação ótima dos ativos, incluindo títulos com pagamentos de cupons, e mensurar o risco de insolvência da companhia para o horizonte de planejamento. / [en] An important issue of open pension funds and insurance companies that operate supplementary pension is the definition of an asset and liability management (ALM) framework. Such a question becomes more relevant in a scenario of high competition, declining operating margins, minimum guaranteed returns to a stochastic long-term liability and a period of falling returns on financial instruments, these being often difficult to pricing and predictable in a volatile market such as Brazil. Added to these issues, those companies are subject to a risk-based regulation, derived from international practices adopted by the national insurance regulator, Susep, which imposes constraints to maintain solvency of companies and therefore increases the complexity of an ALM framework. Due this condition, this dissertation presents a proposition of ALM based on a multistage stochastic programming model, which aims to define a dynamic optimal asset allocation, including bonds with coupons payment, and measure the company s insolvency risk for the planning horizon.

The thesis "Credit risk from Basel II point of view" deals with new capital concept with main focus on the credit risk. The particular emphasis is laid on the chief issue of Basel II concept i.e. internal models. The thesis quite in detail describes the usage of basel parameters - LGD particularly - in various day-to-day business processes of credit institutions. An individual part of the thesis is devoted to credit risk mitigants and their impacts on the amount of capital requirements. The analysis carried out precedent Basel II implementation indicated the launching of Basel II should imply risk weighted assests to credit risk decline. This documents the last chapter.