Submitted by ramon silva vilarins (rsvilarins@gmail.com) on 2016-06-23T12:02:04Z No. of bitstreams: 1 tese_final.pdf: 914787 bytes, checksum: f76ebd195ce25157615f7f14bebdee55 (MD5) / Rejected by Pamela Beltran Tonsa (pamela.tonsa@fgv.br), reason: Bom dia Ramon, Para que possamos dar andamento a sua submissão é necessário um pequeno ajuste. RESUMO E ABSTRACT não pode ter borda. Apos o ajuste submeter novamente para analise. Qualquer duvida estamos a disposição. Att, Pâmela. Tonsa on 2016-06-23T14:25:04Z (GMT) / Submitted by ramon silva vilarins (rsvilarins@gmail.com) on 2016-06-23T14:43:13Z No. of bitstreams: 1 tese_final.pdf: 914257 bytes, checksum: c2720e7e809ab96d52c03e041847360c (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2016-06-23T14:48:08Z (GMT) No. of bitstreams: 1 tese_final.pdf: 914257 bytes, checksum: c2720e7e809ab96d52c03e041847360c (MD5) / Made available in DSpace on 2016-06-23T14:49:28Z (GMT). No. of bitstreams: 1 tese_final.pdf: 914257 bytes, checksum: c2720e7e809ab96d52c03e041847360c (MD5) Previous issue date: 2016-06-01 / This dissertation analyzes the impact of government bailout policies on the risk of the banking sector in OECD countries between 2005 and 2013. First, in line with the moral hazard hypothesis, I verify that financial institutions with high bailout expectations assume higher risks than others. Second, I find that, in normal times, rescue guarantees to large financial institutions distort competition in the sector and increase the risk of the other institutions. However, during the recent financial crisis, increases in the rescue expectation of competitors of an institution, to the extent that they represent a reduction in its chance of bailout, decrease its risk taking. Additionally, in a crisis period, I find that the deterioration in the countries’ sovereign capacity to bailout banks is associated with lower risk taking; on average, i.e., the increase in risk taking is higher in countries with a lower credit default swap spread. / Esta tese analisa, entre 2005 e 2013, o impacto das políticas governamentais de resgate sobre o risco do setor bancário nos países da OCDE. Primeiro, em linha com a hipótese de moral hazard, verifica-se que instituições financeiras com expectativa elevada de bailout, assumem riscos mais elevados do que as demais. Segundo, constata-se que, em períodos normais, garantias de socorro às grandes instituições distorcem a competição no setor e incrementa o risco das demais. Durante a crise, entretanto, mostra-se que elevações na expectativa de resgate dos concorrentes de uma instituição, à medida que representa uma redução em sua chance de eventual socorro governamental, diminuem sua tomada de riscos. Adicionalmente, em período de crise também é evidenciado que: reduções na capacidade financeira dos países estão associadas a menor assunção de riscos; em média, o aumento na tomada de riscos é maior nos países com menor spread de Credit Default Swap.

This master thesis deals with the area of external audit of banks and its relations with regulatory and supervisory authorities. Its goal is to identify and describe the specifics, which differs bank's financial statements audit from audit of other non-banking institutions, and discuss cooperation between external auditors and supervisory authorities. The first section defines the general framework of the external audit with an emphasis on legal aspects. In the second part are described the phases of the common audit procedures. The third section defines the characteristics of banking institutions and describes the specifics of audit methodology and procedures applied during the audit of the bank. The final part discusses the role, responsibility and cooperation of banks, external auditors and regulatory and supervisory authorities.

Les banques sont des institutions à part, car elles sont au coeur du fonctionnement des économies et de la dynamique de croissance des pays. Leurs services représentent de ce fait un bien public, et il est donc primordial de les maintenir éloignées autant que possible du risque de faillite. Toutefois, des crises bancaires surviennent régulièrement et affectent les sociétés, souvent de manière durable et profonde, à l’image de la crise financière des subprimes qui a éclaté en 2007, et dont nous ne connaissons pas encore toutes les conséquences désastreuses. Pour prévenir le risque de faillite et de crises bancaires, les autorités de régulation nationales ont développé des filets de sécurité qui, en partie, suivent les standards internationaux de réglementation et de supervision bancaire développés par le Comité de Bâle sur le contrôle bancaire, sous l’égide de la Banque des Règlements Internationaux. Cependant, les crises récurrentes se produisent et nous montrent les limites de la régulation bancaire et, surtout, nous indiquent que celle-ci doit être en permanence revue et adaptée, de façon dynamique, à l’évolution des systèmes bancaires et de l’innovation financière. L’un des principaux objectifs est de s’assurer que les banques soient suffisamment et solidement capitalisées pour faire face à des pertes exceptionnelles inattendues. Par ailleurs, il est primordial, afin d’assurer une stabilité financière durable, que les superviseurs bancaires soient à même de contrôler efficacement les banques et d’entreprendre les actions nécessaires pour que ces dernières demeurent à des niveaux de risques engagés raisonnables et qui ne menacent ni leur solvabilité, ni celle de l’ensemble du système bancaire. Enfin, les banques sont censées être régulées par le marché (discipline de marché), sur la base des informations qu’elles sont tenues de divulguer publiquement, sur leur santé financière. Dans ces politiques de régulation bancaire et de prévention du risque de crise, il ne faut pas oublier le rôle de l’assureur dépôt, à qui certains économistes et instances internationales veulent prêter de plus en plus de pouvoir sur les banques. Nous montrons dans notre travail de thèse, à travers des analyses empiriques menées sur des données contemporaines, les insuffisances des politiques de régulation et de supervision bancaire, les erreurs commises dans l’approche de la régulation bancaire, et nous présentons les aspects qu’il serait souhaitable de prendre en compte, pour approcher une politique de réglementation et de supervision bancaire plus efficace, et dynamique, dans l’objectif de maintien de la stabilité bancaire. Nous avançons notamment qu’il est nécessaire de mieux prendre en compte la nature de l’activité des différents types d’institutions financières qui composent les systèmes bancaires, et dont la nature et le degré d’exposition aux risques ne sont pas les mêmes. Il est également important de considérer les caractéristiques de l’environnement institutionnel dans lequel évoluent les banques, de manière à développer une structure de supervision adaptée et efficace. En définitive, nous étudions dans cette thèse un large ensemble de déterminants économiques et institutionnels, susceptibles d’impacter la stabilité bancaire, de manière à identifier celles des politiques de régulation qu’il s’agirait de mettre en oeuvre, afin d’assurer dans l’avenir un meilleur maintien de la stabilité financière des banques. / Banks are special institutions because they are central to the functioning of economies and to economic growth. Their services represent a public good. Therefore, it is essential to keep them as far as possible from risk of bankruptcy. However, banking crises occur regularly and affect societies, often dramatically and over a long period, like the current subprime financial crisis which burst into 2007, and which consequences are still not very well perceived. To prevent the risk of bankruptcy and banking crisis, the national authorities of regulation have developed safety nets. These follow partially the international standards of regulation and banking supervision developed by the Basel Committee on Banking Supervision under the aegis of the Bank for International Settlements. However, recurrent crises occur and show us the limits of the banking regulation and, especially, indicate that the latter should be continually revised and adapted to the evolution of banking systems and financial innovations. One of the main goals is to make sure that banks are enough capitalized to face unexpected large losses. In order to achieve long-lasting financial stability, it is essential that banking supervisors can monitor efficiently banks. By doing so, the risk taken by banks would be sustainable and would not threaten either their own solvency or the whole banking system solvency. Finally, banks are supposed to be regulated by the market (market discipline) on the basis of information about their financial health which should be disclosed publicly. Along the policies of banking regulation and crisis risk prevention, one should not forget the role of the deposit insurers. Indeed, some economists and international authorities want to attribute more power over banks to deposit insurers. In our research, the empirical analysis, based on contemporary data, show the weakness of the actual regulation and banking supervision policies and the mistakes in banking regulation. Different features of the banking system that should be taken into account for an efficient implementation of regulation and banking supervision policies are also discussed in this work. Hence, we suggest that the type of financial institutions' activities should be better taken into account as it changes with the degree of risk exposure. We also find that it is important to consider the characteristics of the institutional environment in which banks evolve in order to develop a suitable and efficient supervision agency. To summarize, we study in this thesis a large range of economic and institutional determinants of the banking system, which are likely to affect the banking stability. By doing so, we are able to identify the regulation policies which would be the most likely to preserve the financial stability of banks.

This thesis contains three self-contained chapters, covering different subjects but using similar methods: The Effect of Foreclosure Laws on Securitization: Evidence from U.S. States shows that mortgage loans are less likely to be securitized in states with costlier foreclosure procedures. I interpret this in light of prior literature showing a higher foreclosure risk for securitized loans, due to unwillingness to renegotiate by the agents working on behalf of investors. Moreover, the magnitude of the effect increases for loans with higher risk of default, and disappears for loans where state foreclosure laws usually do not apply. Do daughters make family firms more sustainable? studies listed companies with a family owning a large block of shares, and asks how the family composition affects the company’s policies. Creating a novel Swedish data set, I find that environmental performance improves when the family has more daughters. The effect does not seem to operate through more adult daughters leading to more female CEOs or board members, or through the appointment of family members as CEOs. Bank taxes, leverage and risk uses staggered changes in US state-level bank taxation, and documents an increase in leverage when taxes are raised. Banks partly dampen the effect by adjusting their Tier 2 capital (a lower-quality form of regulatory capital that is less able to absorb losses), and by reducing the risk on the asset side of the balance sheet as measured by regulators. / <p>Diss. Stockholm :  Stockholm School of Economics, 2015. Introduction together with 3 papers</p>

Submitted by CAIO FERREIRA (caioguitton@gmail.com) on 2014-09-05T18:50:58Z No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF.pdf: 2285607 bytes, checksum: e5a358ff99406c4bb8c6bdd2d494edcb (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: .... on 2014-09-05T18:57:56Z (GMT) / Submitted by CAIO FERREIRA (caioguitton@gmail.com) on 2014-09-05T19:00:32Z No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF2.pdf: 2286004 bytes, checksum: 5589eb8c8ca4d7b9a4506584a2045c07 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: .... on 2014-09-05T19:06:40Z (GMT) / Submitted by CAIO FERREIRA (caioguitton@gmail.com) on 2014-09-05T19:13:55Z No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF2.pdf: 2286004 bytes, checksum: 5589eb8c8ca4d7b9a4506584a2045c07 (MD5) / Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: ... on 2014-09-05T19:14:44Z (GMT) / Submitted by CAIO FERREIRA (caioguitton@gmail.com) on 2014-09-05T19:17:02Z No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF3.pdf: 2286073 bytes, checksum: 3f3af32812885bee6ac6c97f5a66c1ec (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-09-05T19:18:13Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF3.pdf: 2286073 bytes, checksum: 3f3af32812885bee6ac6c97f5a66c1ec (MD5) / Made available in DSpace on 2014-09-05T19:20:03Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO - CAIO HENRI GUITTON TAVARES FERREIRA VF3.pdf: 2286073 bytes, checksum: 3f3af32812885bee6ac6c97f5a66c1ec (MD5) Previous issue date: 2014-08-07 / This present study examined the extent to which the market structure of the Brazilian banking industry - at levels of concentration and competition - affects the risk appetite of its agents. Thus, we examined the relationship between concentration indicators (C3 and HHI), competition (H-statistic) and risk (NPL, Z-score) for the period comprehended between 2001 and 2013. The relationship between non-performing loans (NPL), concentration and competition was empirically tested using panel data models. The results indicates that bank concentration has a significant impact on the NPL, suggesting that more concentrated systems are more fragile. On the other hand, the results for competition and NPL indicates that a more competitive environment may generate a more stable financial system. / O presente trabalho analisou em que medida a estrutura de mercado da indústria bancária brasileira – em níveis de concentração e competição – afeta o apetite ao risco de seus agentes. Para tanto, o estudo examinou a relação entre indicadores de concentração (C3 e HHI), competição (Estatística-H) e de risco (NPL, Z-score) para o período entre 2001 e 2013. A relação entre non-performing loans (NPL), concentração e competição foi empiricamente testada através de modelos de dados em painel. Os resultados indicam que a concentração bancária tem impacto significativo no NPL, sugerindo que sistemas mais concentrados são mais frágeis. Por outro lado, os resultados para competição e NPL indicam que em ambientes mais competitivos podem gerar sistemas financeiros menos instáveis.

The dissertation covers issues related to the definition of legal category "banking risk" as a variety entrepreneurial risk; set out modern approaches to legal regulation and management banking risks, their relationship with the principles Basel Committee on Banking Supervision; the concept of "legal risk" from the perspective of domestic banking regulator; management mechanism introduced legal risk in the implementation of the Basel standards banking supervision committee; other possible approaches to determining legal risk and its place in banking risk management system. / В диссертации освещены вопросы, связанные с определением правовой категории «банковский риск» как разновидности предпринимательского риска; изложены современные подходы к правовому регулированию и управлению банковскими рисками, их соотнесение с принципами Базельского комитета по банковскому надзору; исследовано понятие «правовой риск» с позиции отечественного банковского регулятора; представлен механизм управления правовым риском при реализации стандартов Базельского комитета по банковскому надзору; приведены другие возможные подходы к определению правового риска и его места в системе управления банковскими рисками.

This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...

Diese Arbeit umfasst drei unabhängige Aufsätze, welche die Auswirkungen verschiedener regulatorischer Maßnahmen auf das Bankenrisiko und/oder die Finanzstabilität untersuchen. Zunächst wird der Einfluss von Eigenkapitalanforderungen auf den Zusammenhang zwischen Bankgröße und Volatilität analysiert. Unsere Panel-Datenanalyse zeigt, dass strengere Eigenkapitalanforderungen den Nexus zwischen Größe und Volatilität schwächt. Große Banken haben, ceteris paribus, einen weniger volatilen Kreditbestand, wenn sie strengerer Kapitalregulierung ausgesetzt sind. Gemäß dem Granularitätskonzept kann dies ebenfalls die makroökonomische Stabilität erhöhen. Als Nächstes untersuche ich, ob MiFID II die frühzeitige Informationsweitergabe über Änderungen von Analystenempfehlungen an einzelne Anleger, genannt Tipping, reduziert hat. Die Ergebnisse zeigen, dass die absoluten Renditen und Handelsvolumina einen Tag vor Veröffentlichung einer Hoch- oder Herabstufung vor und nach Inkrafttreten von MiFID II signifikant ansteigen. Da die Aktienkurse am Veröffentlichungstag weiter steigen bzw. fallen, profitieren ausgewählte Anleger trotz der regulatorischen Änderung weiterhin von einem Informationsvorteil. Dies hat vermutlich negative Auswirkungen auf den Finanzmarkt insgesamt. Zuletzt untersuche ich wie sich die Ausgabe von Contingent Convertible (CoCo) Anleihen, die als regulatorisches zusätzliches Kernkapital (AT1) geltend gemacht werden können, auf das Bankenrisiko auswirkt. Meine Analyse zeigt, dass AT1-CoCo-Anleihen ein bis drei Jahre nach Ausgabe zu einem signifikant höheren Bankenrisiko führen. Übereinstimmend mit theoretischen Studien deutet dies darauf hin, dass CoCo-Anleihen ihr Potenzial zur Stärkung der Eigenkapitalbasis der Banken durch die regulatorischen Anforderungen genommen wurde. / This thesis comprises three independent essays evaluating the impact of different regulatory policies on bank risk and/or financial stability. First, we examine the effects of capital regulation on the link between bank size and volatility. Our panel data analysis reveals that more stringent capital regulation weakens the size-volatility nexus. Hence, large banks show, ceteris paribus, lower loan portfolio volatility when facing more stringent capital regulation. According to the granularity concept, that can increase macroeconomic stability. Next, I evaluate if MiFID II reduced the early information disclosure on analyst recommendation changes to selected investors - so-called tipping. I find absolute returns and turnover rise significantly on the day preceding the up- or downgrade release before and after MiFID II became law. Given that stock prices move further in the revision direction on publication day, selected investors continue to profit from an informational advantage, notwithstanding the regulatory change. That is likely harmful to the financial market overall. Lastly, I examine the impact of issuing contingent convertible (CoCo) bonds that qualify as regulatory additional tier 1 (AT1) capital on bank risk. My treatment effects analysis reveals that issuing AT1 CoCo bonds results in significantly higher risk-taking one to three years after the issuance. That is in line with previous theoretical studies suggesting that regulators have stripped CoCo bonds of their potential to strengthen the banks’ capital bases.

El objetivo de este estudio es analizar el impacto de la diversificación sobre el rendimiento y el riesgo. Se emplea un panel de datos de frecuencia mensual para el periodo 2010-2019 y se utiliza el estimador de MGM por la naturaleza dinámica del modelo. Los resultados muestran que la diversificación de la cartera de préstamos no tiene efecto en el rendimiento del sistema bancario, sin embargo, se observa que los bancos con mayores riesgos pueden aumentar sus rendimientos si aumentan su nivel de concentración por sector económico y departamento. El efecto en el riesgo dependerá del tipo de concentración, un mayor nivel de concentración de préstamos por sector y departamento disminuirá el riesgo crediticio; pero una mayor concentración de préstamos por tipo de crédito aumentará el nivel de riesgo. Además, se observó que no hay ningún efecto sobre el riesgo ni el rendimiento dependiendo de si el banco es de capitales domésticos o extranjeros. Los hallazgos son importantes para los bancos al elegir su estrategia crediticia y clave para las autoridades regulatorias. / The objective of this study is to analyze the impact of diversification on performance and risk. A monthly frequency data panel is used for the period 2010-2019 and the MGM estimator is used because of the dynamic nature of the model. The results show that loan portfolio diversification does not affect the performance of the banking system, however, it is observed that banks with higher risks can increase their returns by increasing their level of concentration by economic sector and department. The effect on risk will depend on the type of concentration, a higher level of loan concentration by sector and department will decrease credit risk; but a higher concentration of loans by type of credit will increase the level of risk. Besides, it was noted that there is no effect on risk or return depending on whether the bank is domestic or foreign-owned. The findings are important for banks when choosing their credit strategy and key for regulatory authorities. / Trabajo de investigación

Text in English / The goals of this research were to explore, describe and explain the crime of associated robbery, which at the time of this study, was a scientifically unknown phenomenon. Associated robbery is defined as “a bank-related robbery (by association) of cash or attempt thereto, committed against a bank client or his/her delegate, at any stage while en-route to or from a bank branch, ATM or cash centre or inside the branch to effect a deposit, or, withdrawal” (SABRIC 2013:4) This robbery is divided into two main categories, namely robbery before cash deposit and robbery after cash withdrawal. As found in literature and also evident in the findings of this study, more incidents and related cash losses are reported from robbery after withdrawal, which is sub-divided into muti scam, money bomb and spiked drink. This study followed an exploratory, sequential, mixed-method research approach where the qualitative phase took place first – followed by the quantitative phase. The topic was firstly explored by collecting qualitative data via in-depth, one-on-one interviews (from a phenomenological point of view) where mutual meaning was sought, as understood by victims of associated robbery. To gather quantitative data, 500 bank clients (i.e. individuals, small business owners and stokvel/saving club members) completed a survey questionnaire. Their perspective on the phenomenon of associated robbery was thus explained and described through the use of descriptive statistics, particularly univariate and bivariate statistical analysis. The most significant contribution made by this study, is embedment of the preventative measures used by the banking industry and other stakeholders such as the SAPS into the Situational Crime Prevention (SCP) and Crime Prevention Through Environmental Design (CPTED) principles approaches. This model is heavily grounded on 12 SCP strategies, namely: access control; deflecting offenders; controlling facilitation; entry/exist screening; formal surveillance; surveillance by employees; natural surveillance; target removal; reducing temptation; rule setting; stimulating conscience; and facilitating compliance. Furthermore, the model emphasises that the combating of associated robberies is a collaborative effort and thus the individual (bank client), the banking industry, the criminal justice system (CJS) and the general public all have to work together in fighting this endemic. The lack of knowledge mainly from a victim’s perspective was identified as one of the challenges faced. However, this presented an opportunity for this study to make a significant contribution to the development of scientific literature. Moreover, the use of opportunity theories to explain the reasons why individuals are victimised placed the phenomenon in the criminological research milieu – thus pioneering a way for researchers who may wish to conduct future research on the same topic. / Criminology and Security Science / D. Litt. et Phil. (Criminology)