Submitted by Fabricia Fialho Reginato (fabriciar) on 2015-06-30T01:26:23Z No. of bitstreams: 1 CristinaFerabolli.pdf: 1444963 bytes, checksum: 3a500787cd63e67d3ffdedda874efc97 (MD5) / Made available in DSpace on 2015-06-30T01:26:23Z (GMT). No. of bitstreams: 1 CristinaFerabolli.pdf: 1444963 bytes, checksum: 3a500787cd63e67d3ffdedda874efc97 (MD5) Previous issue date: 2014 / Nenhuma / Esta pesquisa teve como objetivo analisar os principais fatores que levaram os bancos brasileiros a utilizarem instrumentos de securitização no período de 2005 a 2012. Avaliou-se ainda o cenário da crise financeira mundial e a se a mesma modificou o padrão da securitização no mercado brasileiro. Os resultados obtidos através da aplicação do modelo de regressão logística em uma amostra de 643 observações indicam que a liquidez é o principal fator determinante na opção pela securitização, seguido pelo capital regulatório. Além disso, o tamanho do banco também apresenta relevância estatística, sinalizando possíveis ganhos de escala nas operações de securitização. Não foram encontradas evidências de utilização da securitização por transferência de risco de crédito e por performance, nem evidências de mudanças no padrão da securitização, no Brasil, no período pré e pós crise. / This research aims to analyze the main factors leading Brazilian banks to use securitization instruments in the period of 2005-2012. It was also evaluated the scenario of the global financial crisis and whether it changed the pattern of securitization in Brazil. The results obtained by applying the logistic regression model in a sample of 643 observations indicate that liquidity is the main determining factor in the choice of securitization, followed by regulatory capital. Moreover, the size of the bank also presents statistical relevance, signaling possible economies of scale in securitization transactions. There is no evidence of the use of securitization for credit risk transfer and performance, nor evidence of changes in the pattern of securitization, in Brazil, in the pre and post crisis.

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

>Magister Scientiae - MSc / The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of Basel II. The new regulation seeks to provide incentives for greater awareness of differences in risk through more risk-sensitive minimum capital requirements based on numerical formulas. This attempt to control bank behaviour has a heavy reliance on regulatory ratios like the risk-based capital adequacy ratio (CAR). In essence, such ratios compare the capital that a bank holds to the level of credit, market and operational risk that it bears. Due to this fact the objectives in this dissertation are as follows. Firstly, in an attempt to address these problems and under assumptions about retained earnings, loan-loss reserves, the market and shareholder-bank owner relationships, we construct continuous-time models of the risk-based CAR which is computed from credit and market risk-weighted assets (RWAs) and bank regulatory capital (BRC) in a stochastic setting. Secondly, we demonstrate how the CAR can be optimized in terms of equity allocation. Here, we employ dynamic programming for stochastic optimization, to obtain and verify the results. Thirdly, an important feature of this study is that we apply the mean-variance approach to obtain an optimal strategy that diversifies a portfolio consisting of three assets. In particular, chapter 5 is an original piece of work by the author of this dissertation where we demonstrate how to employ a mean-variance optimization approach to equity allocation under certain conditions.

The International Accounting Standard Board (IASB) introduced an amendment to the International Accounting Standard 39 – Financial Instruments: Recognition and Measurement (IAS 39) and to International Financial Reporting Standard 7 – Financial Instruments: Disclosures (IFRS 7) on 13 October 2008. These amendments allowed entities to reclassify non-derivative financial assets from the fair value option to historical cost. The purpose of this study is to explore how Global Systemically Important Banks (G-SIBs) applied the amendment to IAS 39 since 2008/2009. The study is guided by four main objectives in which the first two objectives explores how the G-SIBs applied the reclassifications during the allowed period, 2008/2009 and the period beyond 2009 when the application of the standard should have been stopped. The study further investigates if any G-SIBs used restatements to circumvent the requirements of the IAS 39 that does not allow reclassifications into and out of the ‘designated as at fair value' category. Finally, the study explores the impacts of the reclassifications on the G-SIBs' ROE and total regulatory capital with the aim to determine if G-SIBs reaped any long-term benefits from the reclassifications and whether any traces of earning and capital management exist in the way G-SIBs applied the amendment to IAS 39. To achieve these objectives a comparative case study approach, which is qualitative in nature/scope was used with 10 G-SIBS forming part of the units of the analysis of the study. The study finds that: (i) 70 percent of G-SIBs reclassified assets during 2008/2009; (ii) a significant improvement on the reported net income was observed with a slight improvement on the return on equity and regulatory capital during 2008/2009, while the long-term impacts on ROE and total capital are insignificant; and (iii) G-SIBs did not restate comparative figures to evade the prohibition on reclassifications into and out of the ‘designated as at fair value' category. As far as can be reasonably established, this kind of study has not been published before for G-SIBs. As such, the study contributes by including the analysis of G-SIBs and the long-term implications of applying the amendment to IAS 39 to the current literature, as well as adding another possible type of a restatement to the financial restatements' literature. All these aspects are currently lacking in the existing literature.

Submitted by José Augusto Mazzoni Martins Ferreira (josemazzoni@bancobbm.com.br) on 2017-11-01T19:45:43Z No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2017-11-29T13:53:47Z (GMT) No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) / Made available in DSpace on 2017-11-29T13:54:08Z (GMT). No. of bitstreams: 1 Dissertacao - José Mazzoni (versão final).pdf: 1837578 bytes, checksum: 7e30e5efce6e72b928dccfb012c11a50 (MD5) Previous issue date: 2017-01-24 / This work evaluates the regulatory capital required by Brazilian Central Bank (“BCB”) from financial institutions under its regulation, concerning the standard approach for marked risk, compared to alternative approaches commonly used by the financial industry, equivalent to VaR and Stress-Testing models. For a chosen group of risky assets (foreign currencies, stocks, stock indexes, commodities and interest rates), it was calculated the regulatory capital required by BCB under standard approach and compared to the estimated potential losses, according the alternative models. The results evidence a conservative position by BCB related to market risk of foreign currencies and interest rates, being more suitable for commodities and lenient for equities and their respective indexes. It is also possible to observe the existence of regulatory arbitrage, in which there is very low regulatory capital requirement (or no requirement) for certain risky assets portfolios. / Esse trabalho avalia o capital requerido pelo Banco Central do Brasil (“BCB”) das instituições financeiras por ele reguladas, para risco de mercado segundo abordagem padronizada, em comparação com métricas comumente adotadas pela indústria financeira, referentes aos modelos de VaR e Stress-Testing. Para um determinado grupo escolhido de ativos arriscados (moedas, ações, índice de ações, commodities e taxas de juros), foi aplicada a abordagem do BCB para o capital regulatório requerido e comparada com a perda potencial estimada pelos modelos alternativos. Os resultados evidenciam uma postura bastante conservadora por parte do BCB em relação aos riscos de mercado de moedas e taxas de juros, sendo mais ponderada para commodities e leniente para ações e seus respectivos índices. Pode-se também avaliar a existência de arbitragens regulatórias, onde há exigência muito baixa de capital regulatório (ou nenhuma exigência) para determinados portfólios arriscados.

Submitted by Cristiane Oliveira (cristiane.oliveira@fgv.br) on 2011-05-26T13:10:51Z No. of bitstreams: 1 71070100742.pdf: 1357936 bytes, checksum: 317ce99e12150f05d086d02057a7e979 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia(suzinei.garcia@fgv.br) on 2011-05-26T15:01:17Z (GMT) No. of bitstreams: 1 71070100742.pdf: 1357936 bytes, checksum: 317ce99e12150f05d086d02057a7e979 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia(suzinei.garcia@fgv.br) on 2011-05-26T15:03:06Z (GMT) No. of bitstreams: 1 71070100742.pdf: 1357936 bytes, checksum: 317ce99e12150f05d086d02057a7e979 (MD5) / Made available in DSpace on 2011-05-26T17:18:19Z (GMT). No. of bitstreams: 1 71070100742.pdf: 1357936 bytes, checksum: 317ce99e12150f05d086d02057a7e979 (MD5) Previous issue date: 2011-04-15 / This dissertation aims to examine the factors that drive the bank decision process of capital/investment structure and to evaluate the effectiveness of regulatory intervention in Brazil. This study is divided into three chapters. The first chapter presents, in a systematic fashion, the theoretical and empirical literature to explain the financing and investment decisions of a heavily regulated banking firm. It also describes the evolution of international standards of prudential capital regulation, since the publication of the first Basel Accord until the initial steps of Basel III, and the regulatory scenario in Brazil. The second chapter, through a dynamic model of the trade-off theory, analyzes the determinants of Brazilian banks‟ capital buffer between 2001 and 2009, suggesting that: (i) regulatory capital requirements and adjustment costs may influence banks decisions; (ii) supervisory authority evaluations may impact capital buffers; (iii) market discipline may not being effective in improving bank solvency; and (iv) there is a negative relationship between the buffer and business cycle, which may represent a pro-cyclical bank’s capital management. Finally, the third chapter uses supervisory authority ratings (CAMEL) to provide evidences that the supervisory and regulatory pressures induce banks in Brazil to undertake downwards short term adjustments in leverage and also in portfolio risks. / Esta tese tem por objetivo examinar os fatores que direcionam o processo decisório de estrutura de capital/investimento do banco e avaliar a efetividade da intervenção regulatória no Brasil. O trabalho está divido em três capítulos. No primeiro capítulo, apresenta-se, de forma sistematizada, arcabouço teórico e evidências empíricas na literatura para explicar o comportamento da firma bancária, fortemente regulada, em suas decisões de financiamento e investimento. Além disso, descreve-se a evolução dos padrões internacionais de regulação prudencial de capital, desde a publicação do primeiro Acordo de Basiléia até as medidas iniciais de Basiléia III, apresentando também o contexto normativo no Brasil. No segundo capítulo, por meio de modelo dinâmico da teoria de trade-off, analisam-se os determinantes do buffer de capital dos bancos brasileiros entre 2001 e 2009. Os resultados sugerem que: (i) o requerimento regulatório de capital e os custos de ajustes de capital influenciam nas decisões dos bancos; (ii) as avaliações da autoridade de supervisão bancária impacta os colchões de capital; (iii) a disciplina de mercado pode não ser efetiva em aumentar a solvência dos bancos; e (iv) existe uma relação negativa entre o colchão de capital e o ciclo de negócios que pode representar uma gestão procíclica de capital dos bancos. Por fim, no terceiro capítulo, utiliza-se metodologia proprietária dos escores das instituições conferidos pela autoridade supervisora (CAMEL), para apresentar evidências de que as pressões regulatória e de supervisão no Brasil induzem os bancos a realizarem ajustes de curto prazo relativamente menores na alavancagem e, principalmente, no risco do portfólio.

Made available in DSpace on 2016-06-02T20:06:09Z (GMT). No. of bitstreams: 1 5715.pdf: 2528313 bytes, checksum: 746d913fa84ee6f5f9d8b191ad1d8cce (MD5) Previous issue date: 2014-01-16 / Financiadora de Estudos e Projetos / In this paper we propose a new method for the calculation of regulatory capital required for operational risk. This method is based on some important assumptions for calculation of this capital, for instance, expert opinion, dependence between loss variables considering the joint probability associated to two loss events. The copula theory is applied to determine this joint probability. Furthermore, we present two more methods, sum method proposed by Basel II Accord (2004) and non-perfect correlation method proposed by Frachot et al. (2004). Finally, we perform a simulation studies in order to compare all the methods presented in this dissertation. / Neste trabalho propomos um novo método para o cálculo do capital regulatório para o risco operacional. O método proposto é utilizado para calcular o capital regulatório para duas classes de risco e é baseado em alguns pressupostos considerados importantes no cálculo deste capital. Entre esses pressupostos se destacam a opinião de especialistas e a captação de dependência entre as variáveis perdas considerando a probabilidade dos eventos de perdas ocorrerem conjuntamente. Essa probabilidade é captada via cópula. Além disso, apresentamos mais dois métodos, o do somatório, proposto pelo Acordo de Basileia II (2004), e o da correlação não-perfeita, proposto por Frachot et al. (2004). Finalmente, realizamos um estudo de simulação com o objetivo de comparar os capitais regulatórios totais calculados em cada método.

To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. We discuss alternatives totheBasel Pillar II capital add-on based on multi-factor models for held capitaland howthese can be applied so that only concentration (or sector) risk affects theoutcome,even in a portfolio with prominent idiosyncratic risk. Further, the stabilityandreliability of these models are evaluated. We found that this idiosyncraticrisk canefficiently be removed both on a sector and a portfolio level and that themulti-factormodels tested converge.We introduce two new indices based on Risk Weighted Assets (RI) and EconomicCapital (EI). Both show the desired effect of an intuitive dependence on the PDand LGD. Moreover, EI shows a dependence on the inter-sector correlation. Inthesample portfolio, we show that the high concentration in one sector could be(better)justified by these methods when the low average LGD and PD of this sector weretaken into consideration. / För att behålla solvens itider av svår lågkonjunktur håller banker och finansiellainstitutioner buffertar med kapital som reflekterar risken i balansräkningen. Istoradrag så är mängden kapital som hålls beroende av en kombination av externa kravfrån regulatorer och interna uppskattningar av kredit risken. Den häravhandlingendiskuterar alternativ till Basel pelare II kapital påslaget som är baserade påmulti-faktor modeller för kapital och hur dessa kan appliceras så att endastkoncentration(eller sektor) risk påverkar resultat, även i en portfölj med tydligidiosynkratiskrisk. Utöver detta behandlas stabilitet och reliabilitet hos dessa modeller.Genomdetta hittas att den idiosynkratisk risk kan effektivt tas bort på bådeportfölj- ochsektornivå och att de multifaktor modeller som testas konvergerar.Den här avhandlingen introducerar två nya index, baserat på Risk WeightedAssets(RI) och Economic Capital (EI). Båda visar på den önskade effekten av ettintuitivtberoende av PD och LGD. Dessutom visar EI ett beroende av inter-sektor korrela-tion. Med stickprovsportföljen som används var det tydligt att högkoncentrationi en sektor kunde (bättre) rättfärdigas av båda dessa metoder då LGD och PD försektorn i fråga har beaktats.

Solvency II is the new European Union (EU) legislation which will replace the capital adequacy regime for the insurance industry. Considering that the banking sector has experienced a similar change through the different Basel Accords (Basel), there is an opportunity for the insurance industry before The results indicate similar distortions between developing countries while the major driver behind the cost of capital for developing countries is equity market volatility, and not credit risk as might have been expected. Finally, the fourth research problem relates to another objective of financial regulations: to reflect the risks that financial institutions face. The risk sensitivities of economic and regulatory capital for credit risk are investigated empirically using a dynamic optimisation model in one of the first studies of its kind. Results show that economic capital is a superior risk measure to regulatory capital from a systemic- and institution-specific risk perspective. This, along with calls to strengthen Pillar 2 disciplines following the financial crisis, leads to a suggestion that economic capital could be considered as a Pillar 1 capital requirement, replacing the current forms of Pillar 1 regulatory capital. the implementation of Solvency II to learn from the weaknesses and shortcomings in Basel to ensure that the design of Solvency II will, as far as possible, compensate for these. The financial crisis of 2007 to 2010 highlighted certain weaknesses and shortcomings of Basel and there is accordingly an opportunity for the insurance industry to learn from these deficiencies and to strengthen Solvency II to help prevent similar events in the insurance industry. This thesis investigates these weaknesses in Basel in an attempt to determine the extent to which these are inherently included in Solvency II. The first research problem of this thesis examines these weaknesses in Basel and relates them back to Solvency II to determine which, and to what extent, some of them may have been included in Solvency II. The second research problem leads from the first and critically explores an objective of financial regulations, namely to provide financial institutions with equal competitive conditions (the so-called ‘level playing field’) from a regulatory perspective. To achieve this objective, there is an implicit assumption that the cost of capital between countries is equal. Investigation into the cost of capital between both developed and developing countries using a modified weighted average cost of capital model indicates that the cost of capital between developed and developing countries differs and that regulations based on capital requirements tend to favour developed countries. This means that current financial regulations cannot achieve this objective as intended. The third research problem investigates the cost of capital between various developing countries to determine firstly whether similar competitive distortions exist among such countries, while secondly exploring the drivers behind the cost of capital in such countries through linear regression analyses. / PhD (Risk Management), North-West University, Potchefstroom Campus, 2013