Made available in DSpace on 2016-06-02T20:06:09Z (GMT). No. of bitstreams: 1 5762.pdf: 2315381 bytes, checksum: 2d23013b02c4b33dcbf1b10405b613b9 (MD5) Previous issue date: 2014-02-12 / Financiadora de Estudos e Projetos / In this work, we present and discuss the operational risk in the financial institutions, Basel Accord II, the structure of dependence between cumulative operational losses, a tool for modeling this dependence (theory of copula) and the allocation of a capital, called regulatory capital. The usual method for calculation of regulatory capital for operational risk, suggested by Basel Committee, overestimates the final capital because it is considered that the losses are perfectly positively dependents. Then, we propose a new method for this calculation based on theory of copula for the bivariate case. Such method models the dependence between two losses and considers a index (representing the expert opinion). We discuss also a method studied on Alexander (2003) and perform a simulation study in order to compare all methods, the usual, the proposed and the convolution one. / Nesse trabalho, abordamos o risco operacional nas instituições financeiras sob o ponto de vista do Acordo de Basileia II, a característica da presença de dependência estocástica entre as variáveis aleatórias em questão, a ferramenta para modelagem de tal dependência (teoria de cópulas) e a alocação de capital regulatório. Como o método usual para alocação de capital regulatório sugerido pelo Acordo de Basileia II superestima tal capital por considerar que as variáveis perdas são perfeitamente dependentes, propomos neste trabalho uma metodologia alternativa, baseada em teoria de cópulas, para o caso bivariado. Tal metodologia modela a dependência entre duas perdas e ainda inclui a opinião de especialistas da área no modelo final. Também discutimos uma metodologia existente na literatura (método da convolução) e fazemos um estudo de simulação para analisar o comportamento dos métodos abordados: método usual, proposto e da convolução.

L’objet de ce travail est de proposer une démarche d’évaluation puis de réduction du risque de fraude. Cette démarche est basée sur la notion d’appropriation, c’est-à-dire le degré d’intériorisation de son environnement par l’individu. Il s’agit d’améliorer les appropriations respectives (ce que nous appelons « appropriation croisée ») des opérateurs (gérants ou traders) et des contrôleurs. Promouvoir cette appropriation croisée permettra aux opérateurs et aux contrôleurs de développer des interrelations attentives et permettra aux opérateurs de s’affranchir de l’idée de mythe dans laquelle ils peuvent se sentir enfermés, ces deux points devant conduire à diminuer le risque de fraude. L’appropriation, par elle-même, permettant également de développer des capacités difficilement imitables, notre idée est que l’appropriation croisée favorise une performance économique de long terme de l’organisation. La démarche que nous proposons s’effectue en trois temps, il s’agit tout d’abord de faire en sorte que les acteurs concernés aient une connaissance partagée des rôles de chacun, ce qui permettra ensuite de déterminer les facteurs critiques à améliorer. Le troisième temps consistant à mesurer le déficit d’appropriation croisée à l’aide d’un outil : la balance appropriative et à diriger les appropriations afin de rééquilibrer cette balance. / The aim of this work is to suggest an appropriation-related framework for evaluating and reducing the risk of fraud in financial markets. Its purpose is to improve respective appropriations (what we call “cross appropriation”) of operators (traders or fund managers) and controllers (in charge of controlling operator’s position and operations). The enhancement of this cross appropriation should lead to heedful interactions which will permit operators to escape from the heavy mythological suit they might wear, resulting in less psychological pain. This appropriation, by itself, providing a competitive advantage, this approach should then give a long-term economic performance to the organization because appropriation is involved and respective appropriations are well balanced, resulting in less fraud. This framework is three-steps. The first one is to make sure every stakeholder has a shared understanding of the organization, which will allow a right selection of critical factors. The third step consist in measuring the quality of the cross-appropriation with a tool: the appropriation scales and to direct appropriations towards a better equilibrium of the scales if needed.

Submitted by Marcia Silva (marcia@latec.uff.br) on 2015-10-28T15:24:58Z No. of bitstreams: 1 Dissert Alberto Carlos Caldeira Costa Coelho.pdf: 2546235 bytes, checksum: fae999869b3111d56936cf27a91be586 (MD5) / Made available in DSpace on 2015-10-28T15:24:58Z (GMT). No. of bitstreams: 1 Dissert Alberto Carlos Caldeira Costa Coelho.pdf: 2546235 bytes, checksum: fae999869b3111d56936cf27a91be586 (MD5) Previous issue date: 2010-11-04 / Este trabalho tem por objetivo identificar e avaliar a gestão dos possíveis grandes riscos (de grandes consequências), existentes no descomissionamento realizado na indústria do petróleo em ambiente offshore de uma unidade marítima fixa de exploração e produção do tipo jaqueta, localizada na Bacia de Campos, com uma lâmina d`água aproximadamente de 150 metros. Serão contemplados os grandes riscos e os cenários que se desdobram, a partir da identificação dos mesmos visando segurança operacional, ambiental e saúde ocupacional. Segundo estimativas de 2001, existiam cerca de 8.000 plataformas de petróleo offshore e 700 sondas de perfuração de poços exploratórios em mais de 500 campos em desenvolvimento, situados em mais de 100 países diferentes. Nos próximos vinte anos, se espera que mais de 6.500 plataformas e instalações venham a ser descomissionadas a um custo estimado de 20 a 40 bilhões de dólares. Entretanto, é bom lembrar que operação de descomissionamento de uma unidade marítima fixa de mesma proporção da do escopo deste trabalho, e em situação de localização idêntica, ainda não foi realizada por nenhuma operadora em nosso país. / This work aims to identify and assess potential major risks (huge consequences), existing decommissioning performed in the petroleum industry in offshore environment of a fixed unit of maritime exploration and production of kind jacket located in the Campos Basin with water depths of 150 meters. Will be addressed major risks and scenarios that unfold from their identification. According to estimates by 2001 there were about 8,000 offshore oil platforms and 700 rigs drilling exploratory wells in over 500 fields under development in more than 100 countries. In the next twenty years is expected to more than 6,500 platforms and facilities will be decommissioned at an estimated cost 29-40 billion dollars. However, it is good to remember that decommissioning operation of a maritime unit fixed proportion to the scope of this work and in the same situation and location, has not yet to be performed by any operator in our country.

台灣壽險業近年來面對利差損、國內低利環境，與國內長天期投資工具不足的窘境，因而保險法第146-4條修正後，壽險業者擴大持有國外投資部位。本研究以海外債券投資作為國外投資代理變數，探討海外債券投資與壽險公司之營運風險、經營績效的關係。採用2008年至2016年，共25家壽險公司不平衡追蹤資料，以OLS、Panel Data兩種統計方法作實證分析，再以金融海嘯到歐債危機的時間點，劃分成前期(2008年-2011年)、後期(2012年-2016年)作比較分析。 根據全期資料之分析：以線性模型來看，海外債券投資與營運風險為顯著負相關；和經營績效則是顯著正相關。若是非線性模型，海外債券投資與營運風險為U型相關，臨界點在18.83%。分期資料之分析則顯示：前期資料結果與全期資料一致。但後期資料的研究結果出現反轉，在線性模型下，海外債券投資與營運風險呈現顯著正相關，和經營績效則呈現顯著負相關；而非線性模型下，海外債券和營運風險的U型相關，臨界點下降至13.56%。 / In recent years, life insurers in Taiwan face the spread loss of interest rate, low interest rate environment and shortage of long-term instruments. Life insurers started to expand their foreign investments after the amendment of Article 146-4 of Insurance Act in 1992. This study aims to investigate the relations among overseas bonds investment, operational risk and business performance of life insurers. Data is composed of 25 life insurers from 2008 to 2016. With consideration of the global financial crisis and European debt crisis, this study then divides the data into two subsets (before and after the crises). The results shows that under the linear model there is a significant negative relation between overseas bonds and operational risk, but a significant positive relation between overseas bonds and business performance. Under non-linear model there is a significant U-shaped relationship between overseas bonds and operational risk, with the critical point at 18.83%. The results for the subset data before the crises (2008-2011) is consistent with the based on the whole data (2008-2016). However, the analysis for the subset data after the crises (2012-2016) display different result. Under the linear model, the relation between overseas bonds and operational risk is positive, but it is negative between overseas bonds and business performance. Additionally, the critical point of that U-shaped relationship between overseas bonds and operational risk under the non-linear model drops to 13.56%.

Cyber risk or data breach risk can be estimated similarly as other types of operational risk. First we identify problems of cyber risk models in existing literature. A large dataset consisting of 5,713 loss events enables us to apply extreme value theory. We adopt goodness of fit tests adjusted for distribution functions with estimated parameters. These tests are often overlooked in the literature even though they are essential for correct results. We model aggregate losses in three different industries separately and then we combine them using a copula. A t-test reveals that potential one-year global losses due to data breach risk are larger than the GDP of the Czech Republic. Moreover, one-year global cyber risk measured with a 99% CVaR amounts to 2.5% of the global GDP. Unlike others we compare risk measures with other quantities which allows wider audience to understand the magnitude of the cyber risk. An estimate of global data breach risk is a useful indicator not only for insurers, but also for any organization processing sensitive data.

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.

In January 2019, a new leasing standard called IFRS 16 was implemented because of the criticism received by the previous leasing standard, IAS 17. The main criticism of the previous standard was that significant assets were not being correctly reported on the balance sheet. The new standard requires that previous operating leases are now reported as a right-of-use asset and a lease liability on the balance sheet. IFRS 16 has resulted in a change to the financial position of companies, with the retail sector expected to see significant changes in key financial ratios. The purpose of the study was to increase understanding of the effects the new standard has on the risks and profitability of the retail sector. The study collected data from 44 companies operating in Scandinavia and key financial ratios were examined. Three comparison groups were selected to increase understanding of the differences between the various sectors. The Scandinavian retail sector's ROA, ROE, solidity, and leverage ratios showed significant changes after the implementation of IFRS 16. The financial risk, operating risk and profitability of the Scandinavian retail sector were indirectly affected as these are measured using the key financial ratios used in the study. The analysis model used in the study showed differences between the comparison groups, with the retail and air transport sectors having the greatest impact of the new standard. The study's conclusion is that the risks and profitability of the Scandinavian retail sector have changed after the implementation of IFRS 16, as the selected key financial ratios showed significant changes. / I januari 2019 beslutades det att en ny leasingstandard vid namn IFRS 16 skulle implementeras som en följd av den kritik den tidigare leasingstandarden IAS 17 fått motstå. Kritiken mot den tidigare standarden var till stor del att väsentliga tillgångar inte redovisades korrekt i balansräkningen. Den nya standarden innebär att de tidigare operationella leasingavtalen nu ska redovisas som en nyttjanderättstillgång och en leasingskuld i balansräkningen. IFRS 16 innebär att företagens finansiella ställningen förändras, där detaljhandeln är en av de sektorerna som förväntas få störst förändringar i nyckeltalen. Syftet med studien är att beskriva hur implemeteringen av IFRS 16 har påverkat den skandinaviska detaljhandelns risker och lönsamhet. Studien har genomförts med hjälp av datainsamling från 44 bolag verksamma inom Skandinavien och väsentliga nyckeltal har undersökts. Tre jämförelsesektorer valdes ut för att skapa en ökad förståelse i skillnaderna mellan de olika sektorerna. Den skandinaviska detaljhandelns ROA, ROE, Soliditet och skuldsättningsgrad visade väsentliga förändringar efter implementeringen av IFRS 16. Den finansiella risken, rörelserisken och lönsamheten för den skandinaviska detaljhandeln fick indirekt en påverkan eftersom dessa mäts med hjälp av de använda nyckeltalen. Analysmodellen som studien använde sig av visade skillnader mellan jämförelsesektorer där detaljhandeln samt flygtransport har påverkats mest av implementeringen av den nya standarden. Studiens slutsats är att den skandinaviska detaljhandelns risker och lönsamhet, har förändrats efter implementeringen av IFRS 16 eftersom de utvalda nyckeltalen visade på signifikanta förändringar.

The financial stability of the insurers is important to fulfil its role as a risk transfer mechanism and to protect the purchasers of their products. The European Union is introducing the Solvency II to modernise the current Solvency I regime and to harmonise the different insurance legislation of the members of the European Union. Solvency II introduces an architecture consisting of three pillars, with Pillar I setting the solvency capital requirements, Pillar II the governance and risk management requirements and Pillar III the reporting requirements. The South African Regulator initiated Solvency Assessment and Management for implementation in 2016 to align the South African prudential regulatory framework to meet the Solvency II requirements for third country equivalence. The problem that this study addressed is the possible effect that the introduction of Solvency Assessment and Management may have on the sustainability of short-term insurers in South Africa. The results of a empirical component of the study indicated that small and medium short-term insurers may be negatively impacted due to the costs incurred to implement and comply with the requirements of the new regulatory framework. The effect on the South African short-term industry can be that cover is concentrated among a few large short-term insurers. / Business Management / M. Com. (Business Management)

Made available in DSpace on 2016-04-25T18:40:28Z (GMT). No. of bitstreams: 1 Magali Aparecida Camazano.pdf: 740899 bytes, checksum: a0beef09f1c292595d15bc89e031aaca (MD5) Previous issue date: 2008-02-14 / Deregulation and globalization of financial services allied with the sophisticated technology used to perform financial operations have increased the complexity of banking activities resulting in the subsequent exposure of financial corporations to operational risk. Several cases of huge losses related to operational risk have been reported in the last 10 years as the bankruptcy of the traditional Barings Bank in England. Therefore, the New Basel Capital Accord (Basel II), published by the Basel Committee in 2004, established that internationally active banks are required to allocate capital to cope with operational risk (just as required for credit and market risks). The Brazilian Central Bank, following the demands as established by the Basel II Accord has also determined that Brazilian financial corporations are required to allocate regulatory capital to face operational risk as well as implement an operational risk management framework. At the same time, losses related to operational risk occurred in different segments of the economy where American corporations as Enron and WorldCom perpetrated huge accounting frauds resulting in their subsequent bankruptcy in 2001 and 2002 respectively. These events led to the enactment of the Sarbanes-Oxley Act of 2002. On account of the importance of operational risk management for the soundness of the financial market and the close relation existing between such risk and the requirements mandated by Sarbanes-Oxley, such as the enhancement of accounting internal controls and corporate governance attributes, this paper intends to study the influence as set forth by the American Act over the operational risk management within the Brazilian financial corporations that are required to comply with this Act such as Bradesco, Itaú and Unibanco. Thus, a comparison was made between the framework established by the Basel Committee for the banking operational risk management and the mandates of Sarbanes-Oxley Act. This study disclosed that both, either the Basel Committee framework as the Sarbanes-Oxley Act focus on the same purposes, that is, control and mitigate the events likely to result in operational risk. Sarbanes-Oxley enables the enhancement of both, accounting internal controls and corporate governance practices, as it will serve as an additional tool for the management of operational risk, cooperating with and supplementing the Basel Committee framework. Therefore, Sarbanes-Oxley allows the Brazilian financial corporations to lower the capital allocation for operational risk due to their decreasing exposure to related risk / A desregulamentação e a globalização dos serviços financeiros associadas à sofisticação das tecnologias financeiras têm aumentado a complexidade das atividades bancárias e a conseqüente exposição dos bancos ao risco operacional. Casos diversos de perdas catastróficas relacionadas ao risco operacional se fizeram presentes nos últimos 10 anos, a exemplo da quebra do tradicional Barings Bank, na Inglaterra. Por decorrência, o Novo Acordo de Capital da Basiléia (Basiléia II), divulgado pelo Comitê da Basiléia em 2004, introduziu a necessidade de alocação de capital para risco operacional (tal qual para os riscos de crédito e de mercado) pelos bancos internacionalmente ativos. O Banco Central do Brasil, à luz do Acordo Basiléia II, igualmente instituiu a necessidade de alocação de capital regulatório para o risco operacional por parte das instituições financeiras brasileiras, bem como a implementação de estrutura de gerenciamento do risco operacional. Paralelamente, prejuízos relacionados ao risco operacional ocorreram em outros segmentos da economia, destacando-se os escândalos contábeis e falências das empresas americanas Enron e WorldCom em 2001 e 2002, respectivamente, culminando na promulgação do Sarbanes- Oxley Act of 2002. Face à importância do gerenciamento do risco operacional para a solvência do mercado financeiro e à estreita relação existente entre tal risco e os requerimentos impostos pelo Sarbanes-Oxley, tais como o aprimoramento de controles internos contábeis e de aspectos de governança corporativa, este trabalho teve por objetivo estudar a influência das exigências da Lei americana sobre o gerenciamento do risco operacional das instituições financeiras brasileiras sujeitas à sua observância, a saber: Bradesco, Itaú e Unibanco. Para tanto foi adotado o método de procedimento comparativo, tendo sido realizado cotejo entre o marco regulatório do Comitê da Basiléia para o gerenciamento do risco operacional bancário e as exigências do Sarbanes-Oxley Act, cujo resultado revelou a existência de convergência entre ambos, pois possuem a mesma base conceitual de propósitos, qual seja, controlar os fatores de consubstanciação do risco operacional. O Sarbanes-Oxley proporciona o aperfeiçoamento dos controles internos contábeis e das práticas de governança corporativa, caracterizando-se como um instrumento adicional ao gerenciamento do risco operacional, contribuindo e complementando o marco regulatório do Comitê da Basiléia. Outrossim, o Sarbanes-Oxley propicia a redução de alocação de capital para risco operacional, pelas instituições financeiras brasileiras, haja vista seu potencial de redução à exposição ao referido risco

The financial stability of the insurers is important to fulfil its role as a risk transfer mechanism and to protect the purchasers of their products. The European Union is introducing the Solvency II to modernise the current Solvency I regime and to harmonise the different insurance legislation of the members of the European Union. Solvency II introduces an architecture consisting of three pillars, with Pillar I setting the solvency capital requirements, Pillar II the governance and risk management requirements and Pillar III the reporting requirements. The South African Regulator initiated Solvency Assessment and Management for implementation in 2016 to align the South African prudential regulatory framework to meet the Solvency II requirements for third country equivalence. The problem that this study addressed is the possible effect that the introduction of Solvency Assessment and Management may have on the sustainability of short-term insurers in South Africa. The results of a empirical component of the study indicated that small and medium short-term insurers may be negatively impacted due to the costs incurred to implement and comply with the requirements of the new regulatory framework. The effect on the South African short-term industry can be that cover is concentrated among a few large short-term insurers. / Business Management / M. Com. (Business Management)