Há distintos métodos matemáticos para o cálculo do capital mínimo de uma instituição financeira. A literatura relacionada ao tema os segrega essencialmente em duas formas. A primeira utiliza a volatilidade do valor dos ativos na determinação das potenciais perdas inesperadas e, conseqüentemente, do capital mínimo. Esse método está presente no pilar 1 do Novo Acordo de Capital da Basiléia. A segunda utiliza como base a volatilidade de resultados para determinar o montante de variação máxima negativa dessa variável para o cálculo do capital mínimo, a um determinado nível de probabilidade e em um horizonte de tempo. Esse montante de potencial variação máxima requer uma conversão para capital utilizando uma taxa livre de risco. Em outras palavras, o método com base na volatilidade de resultados procura determinar um capital mínimo que, investido a uma taxa livre de risco, seja capaz de cobrir a variação máxima de resultado esperada para a instituição financeira. Esse trabalho testa empiricamente as duas abordagens para os 50 maiores bancos presentes no mercado brasileiro. O objetivo é verificar afirmações presentes na literatura e relacionadas às diferenças entre as abordagens. / There are different methods for determining the minimum capital of a financial institution. The academic literature related to this subject essentially groups them into two approaches. The first uses asset volatility to obtain potential unexpected losses and, therefore, the minimum capital. This approach is present on the first pillar of the New Basel Capital Accord. The second approach uses earnings volatility to obtain the maximum negative change of this variable to calculate the minimum capital, given a confidence level and a time horizon. This potential maximum change must be translated into capital by using a risk-free rate. In other words, the earnings volatility approach aims to obtain a minimum capital which, invested in a risk-free rate, can generate a return to cover the potential maximum negative change in earnings. This research empirically tests the two approaches on the 50 biggest banks present in the Brazilian financial system. The objective is to verify statements present on the academic literature and related to the differences between the approaches.

O risco de mercado pode ser entendido como o risco de perdas em decorrência de oscilações em variáveis econômicas e financeiras, como taxas de juros, taxas de câmbio, preços de ações e de commodities. A adequada evidenciação dos aspectos relacionados ao risco de mercado tem assumido importância crescente no sistema financeiro, por diversos fatores, como as crises financeiras de amplitude global, o desenvolvimento dos derivativos, os colapsos empresariais decorrentes de deficiências na gestão de riscos, e as exigências de capital em função dos riscos incorridos pelas instituições. O objetivo da pesquisa é verificar e analisar o grau de evidenciação, por parte das instituições financeiras com atuação no Brasil, quanto às questões relativas ao risco de mercado. Para a avaliação das informações prestadas, são utilizadas como parâmetro as recomendações de evidenciação do Comitê de Supervisão Bancária da Basiléia, bem como informações sobre as práticas de divulgação de instituições financeiras no mercado internacional, a partir de levantamentos realizados pelo BIS (Bank for International Settlements). Assim, questiona-se se as instituições financeiras com atuação no Brasil têm apresentado aderência aos padrões internacionais de evidenciação na área de risco de mercado. Os resultados obtidos com a pesquisa empírica, que consistiu na análise de relatórios anuais (de 1997 a 2002) de bancos com atuação no Brasil, permitem concluir que a evidenciação bancária no mercado doméstico, apesar de mostrar indicadores de evolução na área de riscos de mercado, ainda apresenta um nível incipiente de transparência quando comparado com as práticas de divulgação de instituições do sistema financeiro internacional. Identifica-se, assim, a necessidade de melhoria do nível de disclosure bancário brasileiro. Para tanto, mais do que impor regras que tornem compulsórios determinados padrões de evidenciação, requer-se o desenvolvimento de todo o conjunto de precondições legais, institucionais e culturais relevantes para o amadurecimento do mercado de capitais doméstico e de seus sistemas de governança corporativa. / Market risk may be understood as the risk of losses resulting from fluctuation in economic and financial variables, such as interest rates, exchange rates, stock and commodities prices. The adequate disclosure of aspects related to market risk has assumed increasing importance in the financial system, because of several factors, such as global financial crises, development of derivatives, business collapses due to deficiencies in risk management, and regulatory capital requirements related to risks assumed by the institutions. The objective of this work is to verify and analyze the degree of disclosure, presented by financial institutions operating in Brazil, concerning market risk. For the assessment of the information rendered, a benchmark was constituted with the disclosure recommendations of the Basel Committee on Banking Supervision and information about the disclosure practices of financial institutions in the international financial market, based on surveys carried out by BIS (Bank for International Settlements). Thus, the question is whether the financial institutions operating in Brazil have been presenting adherence to international standards of disclosure in market risks area. The results obtained with the research, which consisted in the assessment of annual reports (from 1997 to 2002) of banks operating in Brazil, allow to conclude that banking disclosure in the domestic market, in spite of indicating an evolution in the market risks area, still presents an incipient level of transparency when compared with the disclosure practices of international financial institutions. It is identified a need for improving the disclosure level of Brazilian banks. For this, it is not enough to impose rules that make compulsory certain disclosure standards; it is necessary the development of legal, institutional and cultural preconditions that are required for the maturing of the domestic capital market and its corporate governance systems.

O Acordo da Basiléia, originalmente criado em 1988 e posteriormente reformulado em 2004, estabelece critérios para a regulação do setor bancário com o intuito de garantir a estabilidade do sistema financeiro internacional. Para atingir estes objetivos, o seu principal instrumento é a requisição .de que os bancos internacionalmente ativos devem manter níveis mínimos de capital e relação aos seus ativos ajustados pelo risco. O objetivo do presente trabalho é analisar as motivações econômicas para esta requisição de capital do setor bancário, assim como analisar suas principais implicações. Iniciamos este trabalho com uma breve descrição histórica do Acordo da Basiléia e do papel da estrutura de capital do setor bancário neste Acordo. Em seguida, apresentamos uma descrição da teoria econômica dos contratos e as principais aplicações desta teoria para o estudo da estrutura de capital de uma firma em geral e do setor bancário em particular. Por fim, mostramos como os resultados obtidos pela teoria econômica justificam a estrutura geral do Acordo da Basiléia, e ressaltamos os principais desafios que serão enfrentados na pratica por seus formuladores. / The Basel Capital Accord, created in 1988 and reformulated in 2004, defines patterns for the banking sector with the aim of achieving the stability of the international financial system. It main instrument is theuse of minimum capital requirements. This work tries to understand the economic underpining of the Basel Capital Accord and its main inplications. We start with a description of the Accord and explain the role of the minimum capital requirements. We then introduce the main elements of the microeconic models of contract theory and use this models to explain the importance of the capital structure of a bank. Finally, we show how the main results of the models base don the insights of contract theory explain most of the features of the Basel Capital Accord and introduce its main limitations.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-05-25T16:47:56Z No. of bitstreams: 1 Thaís de Freitas Daneberg.pdf: 541423 bytes, checksum: bacdac65273261a6393202c2fb42295c (MD5) / Made available in DSpace on 2015-05-25T16:47:56Z (GMT). No. of bitstreams: 1 Thaís de Freitas Daneberg.pdf: 541423 bytes, checksum: bacdac65273261a6393202c2fb42295c (MD5) Previous issue date: 2015-01-16 / Nenhuma / O objetivo desta pesquisa foi avaliar os impactos da adoção das normas internacionais nos indicadores econômico-financeiros de instituições financeiras brasileiras, por meio dos indicadores de solvência, estrutura patrimonial e de captação, e de rentabilidade. Replicou-se o estudo internacional de Miranda (2008), cujos indicadores econômico-financeiros foram calculados para bancos de alguns países da União Europeia. Outro estudo com influência significativa foi o de Farias et al. (2014). A amostra foi composta de dezenove instituições financeiras listadas na BM&FBovespa e a Caixa Econômica Federal. Os relatórios contábeis foram extraídos preferencialmente da página eletrônica BM&FBovespa, no ano de 2009 no formato BR GAAP e no ano de 2010 a reapresentação de 2009 em IFRS. Para verificação do impacto das normas internacionais, foram realizadas análises por meio da comparação das médias de cada um dos indicadores econômico-financeiros, calculados em ambos os padrões contábeis. Os resultados retornados pelo teste Mann Whitney sinalizaram que não há diferença significativa entre as médias dos indicadores econômico-financeiros de instituições financeiras calculados em BR GAAP e IFRS. O resultado do estudo difere-se do achado de Miranda (2008) no qual, para alguns indicadores e países, foram identificadas diferenças relevantes. Entretanto observou-se por meio da variação das médias que para os indicadores econômico-financeiros: encaixe voluntário, liquidez imediata, alavancagem e retorno sobre o patrimônio líquido, as médias dos resultados foram superiores no formato BR GAAP, enquanto que para participação em empréstimos, empréstimos/depósitos e capitalização, as médias maiores foram encontradas em IFRS. Os principais conceitos que refletiram nas alterações dos indicadores econômico-financeiros foram: a nova classificação de equivalente de caixa, mensuração de valor recuperável das operações de crédito e derivativos, menor provisão para créditos de liquidação duvidosa, aplicação do conceito de valor justo e modificações quanto à participação dos acionistas não controladores. Apesar de não serem encontradas alterações estatisticamente significativas considerou-se que a carteira de crédito cresceu, devido à aplicação da IAS 39, que adia o reconhecimento dos créditos perdidos, assim as IFRS aparentemente aumentaram o conservadorismo das instituições financeiras, também quando considerada a redução dos depósitos e aplicações interfinanceiras de liquidez. Porém sob a ótica das provisões da carteira de crédito elas se mostraram menos conservadoras, proporcionando melhores resultados. / The objective of this research was to evaluate the impacts of the adoption of international standards in economic and financial indicators of Brazilian financial institutions, through the solvency indicators, capital structure and funding, and profitability. Replied to the international study of Miranda (2008), in which economic and financial indicators were calculated for banks in some countries of the European Union. Another study with significant influence was Farias et al.(2014). The sample consisted of nineteen financial institutions listed on the BM&FBovespa and the Caixa Econômica Federal. Financial reporting, preferably were taken from the web page BM&FBovespa, in 2009 in BR GAAP format and in 2010 the 2009 restatement under IFRS. To verify the impact of international standards, analyzes were performed by comparing the averages of each economic and financial indicators, calculated in both accounting standards. The results returned by Mann Whitney test indicate that there is no significant difference between the means of economic and financial indicators of financial institutions calculated in BR GAAP and IFRS. The result of the study differs from Miranda’s finding (2008) in which significant differences were identified for some indicators and countries. However it was observed by varying: the averages for the economic and financial voluntary fitting indicators, immediate liquidity, leverage and return on equity, that the average of the results was higher in BR GAAP format, while that for participation in loans, loans / deposits and savings, the highest means were found in IFRS. The main concepts reflecting changes at economic and financial indicators were: the new cash equivalents classification, measurement of impairment of loans and derivatives, less allowance for doubtful accounts, the idea of fair value and changes as to the non-controlling shareholders. Although not statistically significant changes were found, the loan portfolio grew due to the application of IAS 39, which defers the which defers the recognition of lost assets, so the IFRS apparently increased financial institutions’ conservatism, also when considering the reduction of deposits and interbank investments. But from the perspective of the loan portfolio provisions they were less conservative, providing better results.

Um sistema de classificação de risco de crédito eficiente é fundamental para que uma instituição financeira (IF) possa realizar uma boa gestão de risco de crédito. No Brasil, as operações de crédito de IFs devem ser classificadas em nove níveis de risco que, em ordem crescente, são: \"AA\", \"A\", \"B\", \"C\", \"D\", \"E\", \"F\", \"G\" e \"H\". As provisões para créditos de liquidação duvidosa, um dos maiores itens de despesa das IFs, são constituídas em função destas classificações. Também no Novo Acordo de Capital da Basiléia as classificações de risco de crédito são relevantes na determinação do capital exigido das IFs para absorver perdas inesperadas em seus portfolios de crédito. Esta pesquisa teve como objetivo verificar, no período compreendido entre dezembro de 2005 e dezembro de 2006, o comportamento dos sistemas de classificação das IFs brasileiras no que diz respeito a um dos principais aspectos a serem observados nos procedimentos de validação de sistemas de classificação de risco de crédito, a saber, o poder discriminante do sistema. A literatura sobre validação de sistemas de classificação de crédito define poder discriminante como sendo a habilidade do sistema em diferenciar, ex ante, casos \"bons\" de casos \"ruins\". Existem diversos métodos para realizar a medição do poder discriminante. Neste estudo, o método utilizado foi uns dos mais citados na literatura, qual seja, o Receiver Operating Characteristic (ROC) cujo índice é a Area under an ROC Curve (AUROC). Utilizando uma amostra aleatória com 488.318 operações de crédito das 14.185.929 operações disponíveis no Sistema de Informações de Crédito do Banco Central do Brasil (SCR) cujos montantes, na data-base de dezembro de 2005, eram iguais ou superiores a R$ 5.000,00, foram estimadas as AUROCs de 261 IFs que, para garantir a qualidade da estimação, possuíam em dezembro de 2006 um número mínimo de operações consideradas normais, assim entendidas as operações classificadas como \"AA\", \"A\", \"B\", \"C\", \"D\", e consideradas anormais, as classificadas como \"E\", \"F\", \"G\" e \"H\" incluindo as baixas como prejuízo. Realizadas as estimações de AUROCs, foi possível verificar se existem relações significantes entre o poder discriminante observado e algumas das características das IFs, quais sejam, tipo de controle da IF: público, privado nacional e privado estrangeiro; porte da IF: grande, médio, pequeno e micro; e tipo de IF: bancária, não-bancária cooperativa de crédito e não-bancária outras; e modalidade de crédito operada pelas IFs: crédito pessoal, capital de giro, aquisição de veículos, financiamento rural e arrendamento mercantil. Os resultados alcançados, utilizando testes de Qui-quadrado, ANOVA para dois fatores e regressão linear múltipla, mostraram que os sistemas de classificação de risco de crédito da grande maioria das IFs pesquisadas, aproximadamente 79,7% do total, possuíam poder discriminante. Os resultados mostraram também que não havia relação entre o tipo de controle da IF e o poder discriminante de seu sistema, nem entre o poder discriminante e a modalidade de crédito operada pela IF. Entretanto, foi verificada a existência de relação entre poder discriminante e porte da IF. A proporção de IFs de micro porte, normalmente cooperativas de crédito, cujos sistemas não apresentaram poder discriminante, aproximadamente 39,6%, foi significativamente maior que o valor esperado, cerca de 9,3%, enquanto que todas as IFs classificadas como sendo de grande porte apresentaram sistemas de classificação com poder discriminante. / An efficient credit rating system is essential for a financial institution (FI) achieve sound management of credit risk. In Brazil, the credit operations of FIs are classified into nine ratings that, in ascending risk order, are: \"AA\", \"A\", \"B\", \"C\", \"D\", \"E\", \"F\", \"G\" and \"H\". Provisions for doubtful borrowers, one of the major items of expenditure of FIs, are formed according to these ratings. Also in the New Basel Capital Accord the credit ratings are relevant in determining the required capital from FIs to absorb unexpected losses on their credit portfolios. This study aimed to verify, between December 2005 and December 2006, the behavior of the credit rating systems of Brazilian FIs regarding one of the main issues to be observed in the procedures for the credit rating system validation: the discriminant power of the system. The literature on the credit rating system validation techniques defines discriminant power as the system ability to differentiate, ex ante, \"good\" cases from \"bad\" cases. Although there are several methods to perform the measurement of discriminant power, the study used the most cited in the literature: the Receiver Operating Characteristic (ROC) whose index is the Area Under a ROC Curve (AUROC). Using a random sample with 488,318 credit operations from the 14,185,929 available operations in the Credit Information System of the Central Bank of Brazil (SCR) whose amounts, at December 2005, were equal to or greater than R$ 5,000,00, were estimated the AUROCs of 261 IFs that, to ensure the quality of the estimate, in December 2006 had a minimum number of operations considered normal, as well understood as the credit operations classified as \"AA\", \"A\", \"B\", \"C,\" or \"D\", and a minimum number of operations considered abnormal, the operations classified as \"E\", \"F\", \"G\" and \"H\" including write-offs. After calculating the AUROC estimative for each FI, was verified whether there are significant relationships between the discriminant power and some of the observed characteristics of the FIs, which were FI control: public, private, national and foreign private; FI size: large, medium, small and micro; FI type: banking, non-banking credit union and other non-bank; and credit types operated by FIs: personal credit, working capital, auto loan, rural credit and leasing. The results achieved by using chi-square tests, two-factors ANOVA and multiple linear regression showed that the credit rating system from the vast majority of the FIs surveyed, approximately 79.7%, had discriminant power. The results also shown that there was no relationship between the FI control and the discriminant power, and neither between the discriminant power and the credit type operated by FI. However, it has been verified that there was a significant relationship between discriminant power and the FI size. The proportion of FIs of micro size, commonly credit union, whose systems hadn\'t discriminant power, approximately 39.6%, was significantly greater than the expected value, about 9.3%, while all FIs classified as large size had ratings systems with discriminant power.

This dissertation studies the implications of financial intermediaries on international financial markets and bank lending. Chapter 1 explores the relevance of financial intermediaries for the pricing of foreign exchange. Recent theoretical work has highlighted the importance of financial intermediaries in rationalizing exchange rate movements and I empirically assess whether the theoretical predictions hold true in the data. I show that financial intermediary capital, a proxy for their health and/or risk-bearing capacity, provides an economic source of risk that helps explain both the carry trade and the cross-section of currency returns across a variety of strategies. Currencies that more positively co-move with intermediary capital provide high excess returns as intermediaries must be compensated for currency depreciation and losses at times when their capital erodes and their marginal utility is high. I demonstrate the dominance of intermediary-based asset pricing theories over consumption-based asset pricing theories, thus rationalizing theoretical models with a central role for financial intermediaries in asset markets. I then show that intermediary capital provides one economic source of risk embedded within the more dominant carry factor and serves as an orthogonal source of risk to the global risk embedded within the dollar factor. This paper thus serves as motivation for the further development of open economy models with financial intermediaries and a deeper understanding of the underlying economic sources of risks that underlie the factor structure of exchange rates. Chapter 2 studies the impact of US monetary policy shocks on international bank lending at the aggregate level. I ask whether country-banking systems that are more exposed to dollar funding decrease their cross-border lending by more than less exposed countries following contractionary US monetary policy announcements. For a given country borrower, I show that this is indeed the case as a 25 basis point increase in the previous quarter decreases cross-border lending supply growth by 4% more from a country-banking system that is 10% more reliant on dollar funding. This is mainly driven by decreases in cross-border lending to banks and the non-bank private sector, highlighting potential channels for the international transmission of US monetary policy. Chapter 3 assesses the effects of the US money market fund reform of October 2016 on syndicated bank lending and more broadly examines the relevance of dollar funding from US money market funds. I exploit the heterogeneity in foreign banks' reliance on US money market funds to uncover whether the decline in dollar funding attributed to the reform affected their lending. I find that although larger exposure to US money market dollar funding is attributed with larger declines following the reform, this did not pass through to dollar denominated lending, contrary to conventional wisdom. I find that banks substituted for some of the loss in dollar funding by increasing borrowing from US government money market funds, but this was not sufficient to offset the loss in funding. My results thus suggest that global banks have access to substitute sources of dollar funding that smoothed the loss in dollar funding on lending.

Despite the vast research on the productive aspect of rewards, little is known on how the changes in employees’ behaviour, made to enhance their chances of achieving a reward, influence employee well-being. Previous work has failed to address the process of reward-seeking behaviour from an employee’s point of view as the focus was on the motivational aspect of rewards. This thesis uses the case of Malta’s financial institutions to examine the relationship between reward-seeking behaviour from bonuses and promotions and employee well-being by drawing on expectancy theory and self-determination theory. To achieve its aims, this study adopts a qualitative approach, wherein 42 semi-structured interviews with employees and four interviews with human resources managers are conducted at financial institutions in Malta – two of which are small and medium-sized enterprises and one is a large-sized institution. Memos and diary notes are also used to complement the data collected from the semi-structured interviews. Overall, the results strongly support the idea that while almost everyone values rewards, employees differ in their willingness to engage in reward-seeking behaviour and its influence on well-being. This thesis contributes to knowledge through the development of a theoretical model – the four quadrant reward-seeking behaviour – well-being model. This typology based model classifies employees into four main categories, namely, highly motivated, apathetic, work-life balanced and work-life imbalanced. This two by two matrix also led to another model that depicts reward-seeking behaviour and well-being as a non-sequential process. The findings have practical implications for human resources practitioners as they now have the capacity to visualise the actual employee mix according to the categories of the model and act on any significant gaps.

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This work covers a substantial mosaic of related concepts in utility theory as applied to financial decision-making. It reviews some of the classical notions of Benthamite utility and the normative utility paradigm offered by the von Neumann-Morgenstern expected utility theory; exploring its major pitfalls before moving into what is postulated as an entropic notion of utility. Extrinsic utility is proposed as a cardinally measurable quantity; measurable in terms of the expected information content of a set of alternative choices. The entropic notion of utility is subsequently used to model the financial behavior of individual investors based on their governing risk-return preferences involving financial structured products manufactured out of complex, multi-asset options. Evolutionary superiority of the Black-Scholes function in dynamic hedging scenarios is computationally demonstrated using a haploid genetic algorithm model programmed in Borland C. The work explores, both theoretically and computationally, the psycho-cognitive factors governing the financial behavior of individual investors both in the presence as well as absence of downside risk and postulates the concepts of resolvable and irresolvable risk. A formal theorem of consistent preference is proposed and proved. The work also analyzes the utility of an endogenous capital guarantee built within a financial structured product. The aspect of investor empowerment is discussed in terms of how financial behavior of an investor may be transformed if he or she is allowed a choice of one or more assets that may gain entry into the financial structured product. Finally there is a concluding section wherein the different facets are placed in their proper perspective and a number of interesting future research directions are also proposed.