Nesta pesquisa foi observado os tipos de risco envolvidos nas operações de crédito dos bancos múltiplos que atuam no Brasil, foi observada a rentabilidade destes bancos com relação ao capital alocado para fazer frente aos riscos assumidos. Considerou-se o modelo de RAROC como uma medida de desempenho consistente por representar uma medida de retorno com relação ao risco do capital. Este fato ganha mais força quando são observadas as recomendações do Comitê de Basiléia, através da carta conhecida como Basiléia III. Nos dias de hoje, os bancos com atuação nacional estão passando pelo período de transição para implantação das recomendações contidas no Basiléia III. Com base nas recomendações do comitê este estudo apurou o RAROC das quatro maiores instituições bancárias que atuam no Brasil, considerando o total de ativos, respeitando o pré-requisito de possuírem ações negociadas no mercado aberto da BM&FBOVESPA. Neste estudo são abordadas diferentes metodologias para Cálculo do RAROC, se utilizando da legislação vigente e da legislação em implantação no Brasil por ocasião do Basiléia III para o cálculo da base de capital dos bancos. Definiu-se o RAROC pelo capital mínimo exigido como o modelo benchmark, logo, foi comparado o modelo benchmark com outros modelos de RAROC para perceber se existem diferenças significativas entre as metodologias, não tendo sido encontradas diferenças significativas entre as metodologias. O modelo benchmark se mostrou consistente a ponto de ser utilizado para o cálculo do EVA dos bancos selecionados na amostra para o período pesquisado. Apesar de não ser usual a utilização do RAROC para cálculo do EVA, este estudo mostra que o resultado obtido com o cálculo do RAROC também pode ser útil na apuração do EVA de instituições financeiras. / In this research, the types of risks involved in the credit operations of multiple banks which operate in Brazil were observed. The profitability of those banks with relation to the allocated capital to face the risks taken was also observed. The RAROC model was considered as a consistent performance measurement since it represents a return measurement in relation to the capital risk. Such a fact gets stronger when the recommendations of the Basel Committee are considered, through the accord known as Basel III. Nowadays, the banks operating nationally are going through a transition period for the implantation of the recommendations which are in the Basel III. Based on the Committee´s recommendations, this study verified the RAROC of the four largest banking institutions which operate in Brazil, taking into account the total of the assets, respecting the pre-requirement of having stocks negotiated in the open market of the BM&FBOVESPA. In this study, different methodologies for the Calculation of the RAROC are approached, making use of the valid legislation and of the implantation legislation in Brazil due to the Basel III for the calculation of the capital base of the banks. The RAROC was defined by the minimum capital requirement as the benchmark model, so the benchmark model was compared to other RAROC models to perceive if there are significant differences among the methodologies; no significant differences were found among the methodologies. The benchmark model was consistent to the point that it was used for the Calculation of the EVA of the banks chosen in the sample for the researched period. Although the use of the RAROC for the calculation of the EVA is not usual, this study shows that the result obtained with the RAROC calculation can also be useful in verifying the EVA of financial institutions.

Nesta pesquisa foi observado os tipos de risco envolvidos nas operações de crédito dos bancos múltiplos que atuam no Brasil, foi observada a rentabilidade destes bancos com relação ao capital alocado para fazer frente aos riscos assumidos. Considerou-se o modelo de RAROC como uma medida de desempenho consistente por representar uma medida de retorno com relação ao risco do capital. Este fato ganha mais força quando são observadas as recomendações do Comitê de Basiléia, através da carta conhecida como Basiléia III. Nos dias de hoje, os bancos com atuação nacional estão passando pelo período de transição para implantação das recomendações contidas no Basiléia III. Com base nas recomendações do comitê este estudo apurou o RAROC das quatro maiores instituições bancárias que atuam no Brasil, considerando o total de ativos, respeitando o pré-requisito de possuírem ações negociadas no mercado aberto da BM&FBOVESPA. Neste estudo são abordadas diferentes metodologias para Cálculo do RAROC, se utilizando da legislação vigente e da legislação em implantação no Brasil por ocasião do Basiléia III para o cálculo da base de capital dos bancos. Definiu-se o RAROC pelo capital mínimo exigido como o modelo benchmark, logo, foi comparado o modelo benchmark com outros modelos de RAROC para perceber se existem diferenças significativas entre as metodologias, não tendo sido encontradas diferenças significativas entre as metodologias. O modelo benchmark se mostrou consistente a ponto de ser utilizado para o cálculo do EVA dos bancos selecionados na amostra para o período pesquisado. Apesar de não ser usual a utilização do RAROC para cálculo do EVA, este estudo mostra que o resultado obtido com o cálculo do RAROC também pode ser útil na apuração do EVA de instituições financeiras. / In this research, the types of risks involved in the credit operations of multiple banks which operate in Brazil were observed. The profitability of those banks with relation to the allocated capital to face the risks taken was also observed. The RAROC model was considered as a consistent performance measurement since it represents a return measurement in relation to the capital risk. Such a fact gets stronger when the recommendations of the Basel Committee are considered, through the accord known as Basel III. Nowadays, the banks operating nationally are going through a transition period for the implantation of the recommendations which are in the Basel III. Based on the Committee´s recommendations, this study verified the RAROC of the four largest banking institutions which operate in Brazil, taking into account the total of the assets, respecting the pre-requirement of having stocks negotiated in the open market of the BM&FBOVESPA. In this study, different methodologies for the Calculation of the RAROC are approached, making use of the valid legislation and of the implantation legislation in Brazil due to the Basel III for the calculation of the capital base of the banks. The RAROC was defined by the minimum capital requirement as the benchmark model, so the benchmark model was compared to other RAROC models to perceive if there are significant differences among the methodologies; no significant differences were found among the methodologies. The benchmark model was consistent to the point that it was used for the Calculation of the EVA of the banks chosen in the sample for the researched period. Although the use of the RAROC for the calculation of the EVA is not usual, this study shows that the result obtained with the RAROC calculation can also be useful in verifying the EVA of financial institutions.

This thesis examines the links between Bourdieu’s concept of the capitals and social mobility. By using interviews conducted with families who have imigrated to Austin from Latin American countries, patterns of social mobility are traced alongside the accumulation of capitals, such as cultural capital, social capital, economic capital, symbolic capital, and techno-capital. Three generations of women are interviewed from three different families, allowing the family history to serve as the unit of analysis. Links are made between the transmission and transmissibility of capital and the ascension or descension of social mobility. / text

Nos últimos anos, o mercado segurador brasileiro tem apresentado forte expansão, a qual foi impulsionada pela estabilização econômica e o conseqüente aumento do consumo. No entanto, mediante um crescimento acelerado dos prêmios, eventuais desvios nas premissas adotadas na precificação podem expor as seguradoras a riscos pouco suportáveis no longo prazo. Este é um dos componentes do risco de subscrição, sendo o objeto do presente estudo. No âmbito regulatório, frente ao aumento das complexidades dos serviços financeiros e aos escândalos envolvendo grandes corporações, fez-se necessário o Novo Acordo da Basiléia, o qual introduziu metodologias de apuração da necessidade mínima de capital mais sensível a risco, beneficiando instituições melhor administradas na medida em que requer menor alocação de capital. Nessa mesma linha, no mercado segurador dos países membros da União Européia, segue o projeto Solvência II. Acompanhando a tendência mundial, no Brasil, foram promulgadas novas regras de solvência para o mercado segurador, sendo estabelecidas, num primeiro momento, regras de alocação de capital para cobertura do risco de subscrição, sendo os demais tipos de risco a serem tratados na seqüência. É importante esclarecer que, diferentemente do setor bancário, no mercado segurador brasileiro não é permitida a utilização do próprio modelo interno ou dos parâmetros deste para determinação do capital mínimo requerido regulatório, mas apenas a aplicação de fatores mais suavizados para tal fim. Assim, como este não observa o risco mensurado internamente, o capital regulatório passa a representar um potencial custo imposto às seguradoras, o qual pode impactar diretamente na rentabilidade das linhas de negócio. Nesse sentido, o presente estudo buscou investigar, sob a ótica e limitação de usuário externo das demonstrações contábeis, a existência de indícios que levam a supor que a nova regulamentação sobre o capital mínimo para cobertura do risco de subscrição penalizou as seguradoras de menor porte, tendo-se em vista o seu valor em risco para o nível de confiança de 99,5%. Para tanto, foi necessário: (a) apurar o capital mínimo regulatório, seja com ou sem modelo interno, (b) estimar o valor em risco de cada seguradora para o nível de confiança de 99,5% e (c) distinguir as seguradoras por porte, o qual foi determinado pela técnica de Análise de Conglomerados. O maior desafio foi determinar, para cada seguradora, o item (b), o qual consistiu na estimação das distribuições marginais das perdas por categoria de negócio e a agregação dessas pela aplicação da teoria de cópulas. Depois, calculou-se a razão entre (i) a somatória do grau de provisionamento com a alocação do capital regulatório (abordagens com e sem modelo interno) e (ii) o valor em risco ao nível de confiança de 99,5%. Em seguida, aplicou-se o teste de Mann-Whitney para comparar médias em função do porte. A partir da análise desenvolvida, observou-se que modelo regulatório se mostrou mais coerente quando aplicado às seguradoras médias e grandes, tendo-se em vista que apresentou menor dispersão no parâmetro calculado, cuja mediana estava em torno de 1. Ou seja, para essas, tal resultado sugere que o grau de provisionamento juntamente com o capital regulatório retrata, aproximadamente, o nível de confiança de 99,5%, em consonância com o Projeto Solvência II. A dispersão para as seguradoras pequenas é bem maior e a mediana está próximo a 1,5, o que indica que a abordagem regulatória requer em torno de 50% a mais de recursos que o nível de confiança de 99,5% exige. Esse resultado indica uma desvantagem competitiva se comparada às seguradoras de médio e grande porte. Portanto, os resultados dos testes sugerem que as novas regras de alocação de capital para o mercado segurador brasileiro penalizou as seguradoras de menor porte, impactando na rentabilidade, na precificação e na competitividade se comparada às médias e grandes, o que, por sua vez, tende a favorecer a concentração do setor. / In recent years, the Brazilian insurance market has shown strong growth, which was driven by economic stabilization and the consequent increase in consumption. However, on an environment accelerated growth of premiums, any deviations in the pricing assumptions may expose insurers to unbearable risks in the long term. This is one of the components of the underwriting risk which is the object of this study. In a regulatory side, increased complexities of the financial services and scandals involving large corporations resulted in the creation of the New Basel Accord, which introduced new methodologies to analyze the minimum capital required, considering the risk based capital approach, benefiting the better managed institutions as they require less capital allocation. In a similar vein, countries of the European Union follow the Solvency II project for their insurance market. Following the global trend, new solvency rules for the insurance market were approved in Brazil, being established in the first instance, rules of capital allocation to cover the underwriting risk. Other risk types will be addressed later by the government. It is important to clarify that, unlike the banking sector, the Brazilian insurance market is not allowed to use its own internal model or the parameters of this model to determine the minimum regulatory capital required, but only the application softened factors for this purpose. Thus, as it does not observe the risk internally measured, the regulatory capital becomes a potential cost imposed on the insurers, which can impact directly the profitability of the business lines. Therefore, from the point of view and limitation of external user of financial statements, the present study investigated the existence of signs that could lead to suppose that the new regulations on minimum capital to cover the underwriting risk have penalized the smaller insurance companies, when keeping in view their value at risk for the confidence level of 99,5%. To this end, it was necessary: (a) to determine the minimum regulatory capital, either approaches with or without internal model; (b) to estimate the value at risk of each insurer for the confidence level of 99,5%; and (c) to distinguish insurers by size, according to the cluster analysis technique. The biggest challenge was to determine, for each insurer, the item (b), which consisted in the estimation of marginal distributions of losses and aggregation of these by applying the theory of copulas. Then we calculated the ratio of (i) the sum of the degree of provisioning with the allocation of regulatory capital (approaches with and without internal model) and (ii) the value at risk at the level of confidence 99,5%. Next, we applied the Mann-Whitney Test to compare means of the insurers by size. From the developed analysis, it was observed that the regulatory model was more consistent on medium and large insures as they have shown a lower dispersion in the parameter of interest, presenting a median around 1. That is, for them, the result suggests that the level of provisioning along with the regulatory capital has approximately reflected the confidence level of 99,5%, which is in line with the Solvency II project. Small insurers have shown much higher dispersion and their median is close to 1,5. This indicates that the regulatory approach requires around 50% more resources than the confidence level of 99,5% requires. This represents a disadvantaged competition, if compared with large and medium sized companies. Therefore, the test results suggest that the new rules of capital allocation for the Brazilian insurance market has penalized the smaller insurers, impacting their profitability and competitive pricing when compared with the medium and large ones, which, in turn, tend to favor an industry concentration.

A atividade bancária envolve em suas operações diversas formas de riscos. Dentre esses riscos está o risco de crédito representado como sendo uma medida de incerteza relacionada ao recebimento de um valor compromissado concedido pela instituição financeira ao tomador de empréstimo. Nesse trabalho são apresentadas as principais metodologias de quantificação do risco de crédito como Credit Metrics, KMV, Credit Portfolio View e CreditRisk+. Esta última metodologia é aplicada a quatro portfólios de financiamentos à pessoa jurídica, evidenciando o Capital Econômico Alocado - CEA, a distribuição do risco de crédito em diferentes ramos e setores de atividade da economia e o spread necessário para cobrir as perdas esperadas e inesperadas. Após essa quantificação do risco de crédito, verifica-se, utilizando o conceito de Risk Adjusted Returno on Capital - RAROC, qual dos quatro portfólios de empréstimo bancário foi o mais rentável para a instituição financeira. / Banking operations involve several kinds of risk. Among those risks, there is one called the credit risk associated with a measure of uncertainty related to receiving pré-committed values from the financial institutions credit-takers. In this research, the main methodologies used for the quantification of credit risk are discussed: Credit Metrics, KMV, Credit Portfolio View e CreditRisk+. The later is then applied to four company-targeted lending portfolios, thus showing Allocated Economic Capital AEC, the distribution of credit risk in different sectors and industries in the economy, and the necessary spread for covering expected and unexpected losses. After this effort to quantify credit risk, proceed to check, using the concept of Risk Adjusted Return on Capital RAROC, which of the four lending portfolios proved to be more profitable for the financial institution.

The practice of parent-initiated school choice in China is characterized by the involvement of substantial amounts of money, various forms of capital, the explicit government policy of banning the practice in words but accommodating it in deeds. This research investigates the school choice situation in three middle schools in Nanning, China. Drawing on Bourdieu’s theory of the forms of capital and cultural and social reproduction and Brown’s Positional Conflict Theory, this thesis argues that the use of cultural, social and economic capital is widespread in the school choice process. With more capital of various types available, middle class families are at a competitive advantage compared to their working class counterparts in the current struggle to gain a place in a good school. The resources of the former families enable their children to gain more cultural capital through extracurricular enrichment activities, exercise more social capital through existing guanxi1 networks and focus more economic capital with which to pay large sums for choice fees, all of which result in the greater chances of entering a desired school. The change of the school admission policy since the mid-1990s from universal entrance examination for junior middle schools to the present school place assignment by proximity has resulted in an unintentional shift from meritocracy to “parentocracy”2. School choice effectively closes out opportunities for quality education for working class families, because they lack the cultural, social and economic capital that is necessary to “work the system”. As a result, school choice tends to insure the intergenerational transmission of existing social classes and to decrease the possibility of upward mobility for the next generation. 1 A network of contacts which an individual may draw upon to secure resources or advantage in the course of social life (see 4.1.2 for detail). 2 See Brown (1990).

In this thesis we are interested in the calculation of economic capital for the to- tal loss which is the sum of partial dependent losses, whose dependence structure is described by Archimedean and hierarchical Archimedean copulas. Firstly, the concept of economic capital and the ways of its aggregation are introduced. Then the basic definitions and properties of copulas are listed, as well as the depen- dence measures. After that we work with definition and properties of Archimedean copulas and their simulation. We also mention the most popular families of Ar- chimedes copulas. Next, hierarchical Archimedean copulas are defined, as well as the algorithm for their sampling. Finally, we present methods for estimating the parameters of copulas and the recursive algorithm for estimating the hierarchical Archimedean copula structure. In the last chapter we perform simulation studies of selected models using hierarchical Archimedes copulas. 1

Issues of educational inequality have been hotly debated in China ever since the higher educational reform in the late 1990s. High tuitions and the privileged access of advantaged groups are attracting more peoples concerns. This thesis examines the current status of Chinese student access to higher education in the post-reform era, and explores the urban-rural and strata differences among students with different social origins and family backgrounds. The expansion and tuition reform of Chinese higher education not only poses financing college as the biggest difficulty for those disadvantaged groups, but also perpetuates the established social hierarchy. This thesis finds that, despite the progress made in equalizing access by urban-rural and strata origins at the mass higher education era in China, disadvantaged groups remain their unfavorable status in accessing higher education, as compared to their counterparts who are economically, culturally, and socially superior. The initial quantitative access differences are gradually turning into qualitative disparities, the higher the demand for the university or/and major, the more urban and higher socioeconomic students enroll. The theories of financial, cultural, and social capital were employed in the thesis and provide a plausible explanation to the continuing disadvantaged status of poor groups. The methodology used is mainly a quantitative technique that resorts on a variety of secondary data, such as national and provincial yearbooks of educational statistics and census, large sample surveys, and case studies from previous research. The findings will have many policy implications concerning the expansion, financing, and affordability of higher education in China.

Issues of educational inequality have been hotly debated in China ever since the higher educational reform in the late 1990s. High tuitions and the privileged access of advantaged groups are attracting more peoples concerns. This thesis examines the current status of Chinese student access to higher education in the post-reform era, and explores the urban-rural and strata differences among students with different social origins and family backgrounds. The expansion and tuition reform of Chinese higher education not only poses financing college as the biggest difficulty for those disadvantaged groups, but also perpetuates the established social hierarchy. This thesis finds that, despite the progress made in equalizing access by urban-rural and strata origins at the mass higher education era in China, disadvantaged groups remain their unfavorable status in accessing higher education, as compared to their counterparts who are economically, culturally, and socially superior. The initial quantitative access differences are gradually turning into qualitative disparities, the higher the demand for the university or/and major, the more urban and higher socioeconomic students enroll. The theories of financial, cultural, and social capital were employed in the thesis and provide a plausible explanation to the continuing disadvantaged status of poor groups. The methodology used is mainly a quantitative technique that resorts on a variety of secondary data, such as national and provincial yearbooks of educational statistics and census, large sample surveys, and case studies from previous research. The findings will have many policy implications concerning the expansion, financing, and affordability of higher education in China.

The importance of economic and social capital for health has been well-documented. However, their impact on age-related differences in health is less clear. To address this issue, this study examined the impact of several individual level indicators of economic and social capital on selected health outcomes in middle and later life. Data for the analysis were drawn from the 2008 General Social Survey (Cycle 22) conducted by Statistics Canada. Using a study sample of those aged 45 and over (n=12,135), multivariate regression analyses assessed main, mediating and moderating effects of economic and social capital measures on chronic conditions, health or activity limitations, and self-reported health. The findings indicated that individual level economic capital and structural social capital were positively associated with health status in middle and later life. In addition, the findings revealed the importance of both bonding and bridging forms of social capital in middle and later life. As well, the findings suggest that individual level structural social capital is a more upstream social determinant of health than economic capital in middle and later life as economic capital was found to mediate the social capital-health relationship, but not vice versa. Lastly, no evidence was found for an individual level interaction between economic capital and structural social capital in middle and later life. The theoretical, empirical, and policy implications of these findings are outlined. / Graduate / 2013-12-14