O objetivo principal deste artigo é estimar a contribuição dos bancos no mercado financeiro brasileiro ao risco sistêmico utilizando a metodologia proposta por Adrian e Brunnermeier (2011). Esta aplicação é relevante do ponto de vista de avaliação da regulação vigente, e na verificação dos padrões de risco vigentes mercado nacional. Entre os resultados encontrados, destacam-se três pontos distintos: (a) há uma grande divergência nos patamares de risco entre os períodos de baixa e alta estabilidade monetária; (b) a relação entre tamanho e risco gerado pelas instituições financeiras é não linear; e (c) assim como visto em trabalhos aplicados a outros países, o Value at Risk nem sempre acompanha a contribuição de um banco ao risco sistêmico, colocando em xeque as métricas da regulação vigente. / The main goal this of this paper is estimate the systemic risk contribution of the banks in the Brazilian financial markets, using the CoVaR methodology proposal in Adrian and Brunnermeier (2011). This application is relevant from the point of view of the effective regulation, and the examination of the patterns of the national market risk. Among the obtained results, stand out are three distinctive points: (a) there is a huge difference in levels of risk between poor and high stability environments; (b) the relationship between size and risk generated by financial institutions is not linear; and (c) as seen in previous works applied in others countries, the Value at Risk does not always follow the bank risk contribution to systemic risk, jeopardizing the metrics of the effective regulation.

A atividade bancária é intensamente regulada e supervisionada em grande parte do mundo. Atualmente uma das discussões mais importantes que vem sendo travadas no mundo acadêmico reside nos instrumentos de política prudencial: de um lado, o Acordo de Basiléia, que utiliza o requerimento de capital próprio; de outro, os defensores de emissões de dívidas de diversos graus de subordinação. Além de voltar especial atenção aos 25 Princípios para uma Supervisão Eficaz, recentemente divulgado pelo BIS (“Bank for International Settlements”), o objetivo deste trabalho é tentar elaborar um modelo formal que tente compatibilizar as duas formas de políticas prudenciais. / The banking activity is intensely regulated and supervisioned throughout the world. Nowadays, one of the most important discussions that can be found among the prudential policies’ studies concerns the type of prudential instrument that shall be used: Capital requirement as the basis of the Basel Accord, and subordinated debt issues. Our main objective will be to construct a model that can be compatible to both approaches. Besides that, we will pay attention to the Core Principles for an Effective Supervision recently published by the BIS (Bank for International Settlements).

Os Bancos Centrais executam a primordial função de buscar a estabilidade monetária em seus respectivos países. Além disto, são também responsáveis pela condução e gerenciamento do sistema de pagamentos e pela condição de prestamista de última instância. As atividades de fiscalização do sistema bancário, no entanto, podem ou não ser de incumbência das autoridades monetárias. Percebe-se, ao longo das décadas mais recentes, que alguns países vêm promovendo mudanças em suas estruturas de alocação das áreas de supervisão, tanto no sentido de delegar esta responsabilidade a uma agência quanto na possibilidade de integrar a supervisão bancária com outras áreas, tais como a de seguros e a do mercado de capitais e títulos. Estas questões, como a de deixar ou não a supervisão inserida dentro dos bancos centrais, e a da sua integração ou não com outras áreas, têm proporcionado diversos debates, tendo sido apontados tanto pontos favoráveis quanto desfavoráveis, em cada uma das situações propostas. No entanto, estes discursos são ainda incipientes, e tal análise ainda carece de novas reflexões. Foi a dificuldade teórica em se definir um modelo de maior eficiência institucional para os países que serviu como ponto de partida e incentivo para o presente estudo. Desta forma, o trabalho aqui apresentado teve como objetivo principal o de identificar características comuns entre alguns dos países que adotam modelos similares. Com base em testes econométricos, foram buscadas associações por meio de probabilidades. Os demais objetivos foram os de mostrar e discutir as experiências de alguns destes países, bem como evidências empíricas encontradas até o presente momento relacionadas ao tema principal deste trabalho. Além disto, a pesquisa descrita também procurou levantar as vantagens e as desvantagens de cada modelo. Os resultados encontrados mostraram haver relação entre os modelos adotados e os poderes do órgão supervisor, os poderes da auditoria externa, a localização geográfica, os índices de inflação, de renda, de nível de consolidação da supervisão financeira, de envolvimento do banco central no processo de supervisão e avaliação do sistema legal. Foi possível concluir que, seja qual for o modelo escolhido, a autoridade monetária deve continuar com alguma forma de participação no processo, seja de forma direta ou indireta, através de canais de comunicação abertos entre esta e os demais órgãos ou agências envolvidos. Isto se deve, principalmente, à ligação estreita que existe entre a solidez do sistema financeiro e a estabilidade monetária de um país, bem como pelo fato das funções de prestamista de última instância e de responsável pelos sistemas de pagamento permanecerem inseridas dentro dos bancos centrais. / Central Banks perform as their main function the search for monetary stability in their respective countries. Besides, they are also responsible for conducting and managing the national payments systems as well as for the condition of lender of last resort. The activities of banking supervision, however, may fall or not under the responsibility of Central Banks. One can realize, along the last decades, that some countries have been implementing some changes in their institutional allocation of banking supervision, either by delegating this responsibility to an agency (external to Central Bank) or by integrating banking supervision with different areas, such as supervision of insurance companies and capital/securities markets. Questions such as “to leave or not banking supervision under the responsibility of central banks?” or “to integrate or not banking supervision with different areas?” have generated several debates, and different aspects, favourable or not, have been pointed out, in each of the proposed situations. However, those discussions are still incipient, and this analysis is still lacking further reflection. It was exactly the theoretical challenge to define a model which should present a bigger institutional efficiency for different countries that has served both as a starting point and as a motivation for the present study. This way, the main goal of the present work was to identify some characteristics in common among some of the countries which have adopted similar models. Based in econometric tests, some associations between selected variables were searched, by means of probabilities estimation. The remainder objectives of the present research are described as follows: to present and to discuss the related experiences of a few selected countries which had adopted some of the analyzed models; to show some empirical evidences which are associated to the same analysis. Moreover, the here described research was also directed to collect the advantages and disadvantages that could be found out in each model. The achieved results pointed out to the existence of a relationship between the adopted model and the powers that the supervisory agency may possess; the powers of external auditing; geographical localization; income indexes; inflation indexes; indexes of level of consolidation of financial supervision; indexes to estimate the involvement of a central bank in the banking supervision process; and finally, an evaluation of the respective national legal system. It was also possible to conclude that, whatever is the selected model, the monetary authority should maintain some sort of participation in this process, either directly or indirectly; by means of communication channels that must be established between this authority and the remainder involved hierarchical structures or agencies. This conclusion is chiefly due to the close link that exists between the strength of a financial system and the monetary stability of a country, as well as to the fact that the functions of lender of last resort and the responsibility for the national payments system are still being under the responsibility of central banks.

Cette thèse examine les déterminants de la présence des banques à l’étranger et de leur mode d’implantation (succursales ou filiales) ainsi que les effets de leurs stratégies d’internationalisation sur leurs performances et sur le risque systémique. Elle est composée de trois essais empiriques sur l’internationalisation des banques européennes. Le chapitre 1 étudie si le niveau de développement des pays d’accueil et la maturité de leur système financier conditionnent l’impact de la réglementation bancaire sur les choix de localisation et de mode d’implantation à l’étranger, sous une forme exclusive de succursales ou de filiales ou selon un modèle mixte associant les deux formes. Les résultats indiquent sur la période 2011–2013 que les banques européennes choisissent d’être présentes plutôt dans les pays à hauts revenus qui ont des conditions strictes d’entrée et d'activités mais une supervision plus souple où elles s’implantent davantage sous forme de filiales. En revanche, elles privilégient les pays à revenus intermédiaires dont les autorités de supervision sont strictes mais ne restreignent pas les activités bancaires. Elles préfèrent également une présence avec des succursales dans les pays à bas revenus dont la réglementation est rigoureuse. Enfin, bien qu’une réglementation du capital plus sévère dissuade l’internationalisation des banques, toute implantation à l’étranger se fait néanmoins sous forme de succursales. Le chapitre 2 analyse comment la complexité organisationnelle et géographique des banques à l’étranger affecte le risque bancaire et la rentabilité de la banque-mère. Les résultats montrent que les banques présentes dans plus de pays prennent moins de risque, ont une plus faible probabilité de défaut, un plus faible risque de levier ainsi qu’une rentabilité plus faible. Il apparait également que les banques les plus complexes qui opèrent à la fois sous forme de filiales et de succursales dans plusieurs régions du monde sont, à l’exception du risque de l’actif, en moyenne moins risquées que celles qui s’installent uniquement sous forme de succursales. Le chapitre 3 considère la solidité de l’ensemble du système bancaire et teste si la présence des banques à l'étranger par le biais de filiales affecte le risque systémique différemment en temps normal (2005–2007), en temps de crise financière et de crise de la dette souveraine européenne (2008–2011) et au cours des années suivantes (2012–2013). L’analyse montre que la détention de filiales étrangères est associée en temps normal à un moindre risque systémique mais que lorsque le système bancaire fait face à des chocs sévères, l’effet est négatif, persistant et s’accroit durant les années d’après crises. Ces résultats suggèrent que l'internationalisation des banques contribue habituellement à une plus grande stabilité financière mais qu’elle amplifie l’impact systémique des crises. / This thesis examines the determinants of foreign banks’ presence and their organizational strategies abroad and tests how such internationalization affects bank performance and systemic risk. The dissertation is comprises of three empirical essays on European banks. The first chapter analyzes whether differences in economic development of the host countries and the maturity of their financial system are relevant to explain how banking regulation affects the choice of the foreign location and the organizational strategy of an exclusive organizational network with only branches or subsidiaries or a mix model with both affiliates’ types. The findings indicate that over the 2011–2013 period, European banks prefer high-income countries with numerous activity restrictions and weaker supervision but less developed countries with less restrictions and stronger supervision. Regarding the choice of foreign organizational form, banks rather operate subsidiaries in high and middle-income countries with stringent entry requirements but prefer branches in developing countries with stringent capital requirements and greater supervisory power. However, banks always tend to avoid locations with stronger capital regulation than at home. Yet when they are present in such countries, they operate branches. The second chapter investigates how foreign organizational and geographic complexity affect the parent bank’s individual risk and profitability. Our results show that being present abroad is beneficial for bank stability as it contributes to lower default risk. Banks present abroad through both subsidiaries and branches appear to be more stable than banks present under one form only. Being present with branches only is the most effective way to reduce risk-taking. Nevertheless, higher geographic dispersion of affiliates around different world regions is associated with higher volatility of earnings and higher profitability. Chapter 3 considers the state and soundness of the banking system and examines whether the presence of banks abroad with subsidiaries affects bank systemic risk differently during calm period (2005–2007), distress times of the global financial crisis and the European Sovereign debt crisis (2008–2011), and years after (2012–2013). We show for European listed banks that operating subsidiaries abroad is associated with lower systemic risk in normal times. However, when the banking system is facing severe shocks, such internationalization produces on systemic risk reversed and negative effects that are long-lived and aggravated in the years after the crises. Our findings suggest that bank internationalization and foreign complexity are important for greater stability in normal times but turn out to increase instability during years of financial turmoil and in the aftermath.

O objetivo principal deste artigo é estimar a contribuição dos bancos no mercado financeiro brasileiro ao risco sistêmico utilizando a metodologia proposta por Adrian e Brunnermeier (2011). Esta aplicação é relevante do ponto de vista de avaliação da regulação vigente, e na verificação dos padrões de risco vigentes mercado nacional. Entre os resultados encontrados, destacam-se três pontos distintos: (a) há uma grande divergência nos patamares de risco entre os períodos de baixa e alta estabilidade monetária; (b) a relação entre tamanho e risco gerado pelas instituições financeiras é não linear; e (c) assim como visto em trabalhos aplicados a outros países, o Value at Risk nem sempre acompanha a contribuição de um banco ao risco sistêmico, colocando em xeque as métricas da regulação vigente. / The main goal this of this paper is estimate the systemic risk contribution of the banks in the Brazilian financial markets, using the CoVaR methodology proposal in Adrian and Brunnermeier (2011). This application is relevant from the point of view of the effective regulation, and the examination of the patterns of the national market risk. Among the obtained results, stand out are three distinctive points: (a) there is a huge difference in levels of risk between poor and high stability environments; (b) the relationship between size and risk generated by financial institutions is not linear; and (c) as seen in previous works applied in others countries, the Value at Risk does not always follow the bank risk contribution to systemic risk, jeopardizing the metrics of the effective regulation.

A atividade bancária é intensamente regulada e supervisionada em grande parte do mundo. Atualmente uma das discussões mais importantes que vem sendo travadas no mundo acadêmico reside nos instrumentos de política prudencial: de um lado, o Acordo de Basiléia, que utiliza o requerimento de capital próprio; de outro, os defensores de emissões de dívidas de diversos graus de subordinação. Além de voltar especial atenção aos 25 Princípios para uma Supervisão Eficaz, recentemente divulgado pelo BIS (“Bank for International Settlements”), o objetivo deste trabalho é tentar elaborar um modelo formal que tente compatibilizar as duas formas de políticas prudenciais. / The banking activity is intensely regulated and supervisioned throughout the world. Nowadays, one of the most important discussions that can be found among the prudential policies’ studies concerns the type of prudential instrument that shall be used: Capital requirement as the basis of the Basel Accord, and subordinated debt issues. Our main objective will be to construct a model that can be compatible to both approaches. Besides that, we will pay attention to the Core Principles for an Effective Supervision recently published by the BIS (Bank for International Settlements).

O objetivo principal deste artigo é estimar a contribuição dos bancos no mercado financeiro brasileiro ao risco sistêmico utilizando a metodologia proposta por Adrian e Brunnermeier (2011). Esta aplicação é relevante do ponto de vista de avaliação da regulação vigente, e na verificação dos padrões de risco vigentes mercado nacional. Entre os resultados encontrados, destacam-se três pontos distintos: (a) há uma grande divergência nos patamares de risco entre os períodos de baixa e alta estabilidade monetária; (b) a relação entre tamanho e risco gerado pelas instituições financeiras é não linear; e (c) assim como visto em trabalhos aplicados a outros países, o Value at Risk nem sempre acompanha a contribuição de um banco ao risco sistêmico, colocando em xeque as métricas da regulação vigente. / The main goal this of this paper is estimate the systemic risk contribution of the banks in the Brazilian financial markets, using the CoVaR methodology proposal in Adrian and Brunnermeier (2011). This application is relevant from the point of view of the effective regulation, and the examination of the patterns of the national market risk. Among the obtained results, stand out are three distinctive points: (a) there is a huge difference in levels of risk between poor and high stability environments; (b) the relationship between size and risk generated by financial institutions is not linear; and (c) as seen in previous works applied in others countries, the Value at Risk does not always follow the bank risk contribution to systemic risk, jeopardizing the metrics of the effective regulation.

O mercado financeiro brasileiro é caracterizado pela elevada concentração bancária, onde os cinco maiores bancos detêm a maior parte dos ativos financeiros. Bancos pequenos e médios têm que disputar espaços com os grandes conglomerados financeiros. Questões como economia de escala e custo de observância às normas são essenciais para a sobrevivência destas instituições menores. A aprovação para a constituição de instituições financeiras no País é dada pelo Banco Central do Brasil, que estabelece os valores de capital mínimo, em função da modalidade de instituição. Por sua vez, o Comitê de Supervisão Bancária de Basiléia estabelece os padrões máximos de alavancagem, o que indica qual volume de carteira pode ser contratado, dado este patrimônio. Este trabalho tem como objetivo verificar se os valores de capital mínimo estabelecidos pelo Banco Central do Brasil são compatíveis com a estrutura de custo das instituições, e com o objetivo de retorno dos acionistas. Serão utilizados dados dos demonstrativos das instituições financeiras e, com base em modelo de regressão de dados em painel estático, será construída uma curva de retornos em função do porte da instituição. Este retorno, comparado com o custo de capital calculado pelo CAPM indicará a partir de que porte uma instituição financeira é viável. / The Brazilian financial market is characterized by its huge banking concentration, where the five largest banks hold most part of the assets. Small and medium size financial institutions have to compete with the larger financial conglomerates. Economy of scale and cost of compliance issues are essential for the survival of the smaller institutions. The approval of a new financial institution is given by the Brazilian Central Bank, who establishes the minimum equity value, depending on the type of institution intended. Additionally, the Basle Committee on Banking Supervision fixes the maximum leverage standards, what indicates the maximum credit portfolio possible, given this equity value. This thesis aims to verify if the minimum equity value established by the Brazilian Central Bank is compatible with the banks operational cost and the shareholder return objective. Data of the financial statements will be used in conjunction with static panel regressions, to construct the return curve regarding the dimension of the institution. This will be compared with the shareholder cost of capital, estimated by de CAPM, to indicate the minimum dimension, which makes feasible the institution.

The thesis reflects current issue of banking M&A in Europe and its consequences in the regulatory and supervisory area. The thesis sets a general topic of M&A into context of the banking industry. It drops the typology of consolidation entities, methods and reasons for consolidation. It examines the regulatory framework with accent on contemporary trends, namely the financial crisis and its impact into the regulatory and supervisory framework.

The aim of submitted thesis Supervision in banking is to define the nature and the importance of banking supervision, to justify its existence and to analyze the applicable mechanisms while the system of banking regulation and supervision in this thesis is primarily examined in the European context, with a focus on the Czech Republic. The thesis is divided into five main chapters. The first chapter is devoted to the financial system and the importance of banks in this system, it defines the characteristics of banking systems, provides the definition of the term bank and describes the banking system and the banking environment in the Czech Republic. The second chapter focuses on general aspects of banking regulation and supervision, it defines and distinguishes these concepts; furthermore, it specifies its objectives and deals with the arguments against banking regulation and supervision. The third chapter analyzes the various instruments of banking regulation, in particular the banking license, and other particular requirements, including but not limited to capital adequacy requirement. The chapter also deals with the compulsory deposits insurance and the position of the central bank as a lender of last resort. The fourth chapter focuses on banking supervision, which involves mainly the examination...