Credit unions are traditionally small, community-embedded and co-operatively-owned financial services organizations that developed to correct various market failures. Recent changes to regulatory policy in the financial services industry in Canada, coupled with advances in technology and urbanization of the population, have led to numerous mergers and consolidations among credit unions, particularly in Western Canada. This has the potential to undermine some of the historic benefits of CUs when compared to other financial services organizations, as it may require credit unions to begin to operate more like banks. My thesis provides a detailed examination of how senior leaders in one large Western Canadian credit union are handling these issues, and explores what the broader implications might be for policy and governance of credit unions in Canada. Using data collected through semi-structured interviews with top management and board members, this study provides insight into senior leaders’ perceptions of and responses to competing institutional logics in a credit union. Implications for policy, as well as decision-making surrounding co-operative governance, strategy, and structure will be discussed.

Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital. Banks and financial institutions are encouraged to develop separate models for different types of products. In this thesis we apply and improve several new algorithms including support vector machine (SVM) techniques and mixed effects models to predict LGD for both corporate bonds and retail loans. SVM techniques are known to be powerful for classification problems and have been successfully applied to credit scoring and rating business. We improve the support vector regression models by modifying the SVR model to account for heterogeneity of bond seniorities to increase the predictive accuracy of LGD. We find the proposed improved versions of support vector regression techniques outperform other methods significantly at the aggregated level, and the support vector regression methods demonstrate significantly better predictive abilities compared with the other statistical models at the segmented level. To further investigate the impacts of unobservable firm heterogeneity on modelling recovery rates of corporate bonds a mixed effects model is considered, and we find that an obligor-varying linear factor model presents significant improvements in explaining the variations of recovery rates with a remarkably high intra-class correlation being observed. Our study emphasizes that the inclusion of an obligor-varying random effect term has effectively explained the unobservable firm level information shared by instruments of the same issuer. At last we incorporate the SVM techniques into a two-stage modelling framework to predict recovery rates of credit cards. The two-stage model with a support vector machine classifier is found to be advantageous on an out-of-time sample compared with other methods, suggesting that an SVM model is preferred to a logistic regression at the classification stage. We suggest that the choice of regression models is less influential in prediction of recovery rates than the choice of classification methods in the first step of two-stage models based on the empirical evidence. The risk weighted assets of financial institutions are determined by the estimates of LGD together with PD and EAD. A robust and accurate LGD model impacts banks when making business decisions including setting credit risk strategies and pricing credit products. The regulatory capital determined by the expected and unexpected losses is also important to the financial market stability which should be carefully examined by the regulators. In summary this research highlights the importance of LGD models and provides a new perspective for practitioners and regulators to manage credit risk quantitatively.

O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

Esta dissertação aborda a expansão da oferta de crédito e o consequente endividamento da população ocorridos no Brasil ao longo das últimas duas décadas. Os principais objetivos constituem analisar: o processo que conduz os consumidores ao superendividamento, estabelecendo as principais causas e eventos relacionados ao fenômeno; as formas como os endividados respondem ao endividamento, em termos de mecanismos e estratégias de enfrentamento; as percepções, sentimentos e significados atribuídos à condição de superendividado; e as consequências do superendividamento. A partir de uma perspectiva metodológica qualitativa, realizamos 18 entrevistas com roteiro semiestruturado com consumidores superendividados atendidos pelo Projeto Piloto de Prevenção ao Superendividamento, no Fórum Central em Porto Alegre. Os sujeitos foram selecionados tomando como critérios a conveniência e acessibilidade e os dados analisados através da técnica de análise de conteúdo. Os resultados encontrados corroboram as hipóteses que levantamos: o endividamento não se explica unicamente em função do consumismo, fator chave elencado na literatura; o fenômeno é complexo e possui uma multiplicidade de causas, relacionadas a elementos estruturais, entre os quais destacamos a desregulamentação das finanças, a estrutura do mercado de trabalho e os níveis de rendimento; estratégias de enfrentamento diversas são adotadas com efeitos distintos que guardam relação com as percepções que os indivíduos têm de suas dívidas, a severidade dos problemas e com seus efeitos. As consequências negativas também são variadas, destacando-se algumas de caráter econômico, como a redução do nível de vida e de consumo. Além desses outros efeitos encontrados são problemas de saúde física e mental, como stress, ansiedade e depressão, que decorrem dos sentimentos negativos de culpa em relação ao endividamento. Enfim, de modo geral, nossa investigação oferece um panorama das discussões teóricas e conceituais no campo da sociologia do crédito e do endividamento. A partir desses debates realizamos uma análise empiricamente fundamentada desses fenômenos constatando que a oferta de crédito, num contexto desfavorável aos consumidores, pela cobrança de altas taxas de juros e inexistência de regulação jurídica, quando direcionada a indivíduos em situação de vulnerabilidade econômica e social, dificultam a administração do orçamento em momentos de crise ou situações não esperadas. Esses elementos em conjunto contribuem na condução ao superendividamento, especialmente de indivíduos com baixos rendimentos ou em situação instável e precária de inserção no mercado de trabalho. Como resultado, essa condição gera um ciclo de pagamento de dívidas e juros capaz de exacerbar condições de pobreza e vulnerabilidade social, contribuindo, assim, para a reprodução das desigualdades sociais. / This research deals with the expansion of consumer credit and the indebtedness in Brazil that has occurred over the last two decades. The main objectives are to analyze the processes that leads consumers to over-indebtedness, establishing the main causes and events related to these phenomena; the ways in which indebted respond to the debts in terms of mechanisms and coping strategies; perceptions, feelings and meanings attributed to over-indebtedness condition; and their consequences. From a qualitative methodological perspective, we conducted 18 semi-structured interviews with over-indebted consumers seeking help in the Projeto Piloto de Prevenção ao Superendividamento, in Porto Alegre. Sample selection considered as criteria convenience and accessibility to interviewed subjects. Data treatment used content analysis techniques. Our results corroborate the raised hypothesis. Firstly, indebtedness cannot be explained solely based on a consumerism perspective, a key factor in the literature. Second, the phenomena are complex and has multiple causes related to structural elements, among which we highlight the deregulation of finance, the structure of the labor market and income levels. Third, various coping strategies are adopted with different effects, related to the perceptions that people have about their debts, the severity of the problems and their effects. Fourth, negative consequences are also varied. Reductions on standards of living and consumption can be highlighted, among others, as the main economic effects. In addition, other consequences found were physical and mental health problems such as stress, anxiety and depression arising from negative feelings of guilt about debt. Furthermore, in general terms, our research provides an overview of the theoretical and conceptual discussions in the field of sociology credit and debt. From these debates, we conducted an empirically based analysis of these phenomena. We conclude, among other founding that credit supply, when offered to individuals in economic and social vulnerable circumstances, particularly, in an unfavorable context featured by charging high interest rates and lacks of legal regulation, hamper budget management in times of crisis or unexpected situations. These elements occurring together can drive to overindebtedness, especially those people with low incomes or in precarious labor conditions. As a result, this condition generates a cycle of debt and interest repayments capable to reproduce or make worse the conditions of poverty and social vulnerability.

No description available.

Master of Agribusiness / Department of Agricultural Economics / Allen M. Featherstone / Cash management practices for corporate treasurers are in a state of instability in recent years. Events during the credit crisis of 2008 have had an impact on how organization’s cash positions are managed. This has led corporate treasurers to juggle unprecedented amounts of cash across multiple bank counterparties and invest these funds based on previous investment policies with potentially inflexible limits. Many regulations have been passed to strengthen domestic and global financial systems, yet the risk of default is not completely removed and there are many uncertain ties that corporates face. To succeed in the uncertain financial environment, counterparty risk tools must be put in place to improve the visibility of potential operational risk, along with a higher frequency of reviewing and updating investment policies. It is crucial for corporates to look beyond the traditional market perceptions and bank credit ratings to evaluate counterparty risk. Although these continue to be a valuable metric, they should be incorporated with other forward looking market risk metrics such as credit default swaps, capital and asset resiliency metrics, and growth and profitability metrics to their current investment guidelines review. By integrating risk metrics to help formulate an investment policy, corporates can adapt to the changing financial environment. This thesis examined methodologies to develop a more accurate and immediate viewpoint of counterparty creditworthiness. This was done through the creation of models using market information to set values to view the strength of counterparties and the likelihood of default. Models were created for both financial institutions and countries where cash or investments are placed. Depending on the models, this restricts the permissible investment options that an institution or country has. This approach allows the company to invest more with higher rated counterparties, and sets a maximum to those who are deemed high risk of default. The findings of this thesis identified that it is crucial to classify the right metrics and look beyond traditional market perceptions and bank credit ratings. By implementing a balanced process that regularly monitors current market indicators of counterparty risk, an organization will be in a stronger position to define and determine the potential risk. This creates a balanced view of both backward looking and forward looking metrics such as long term debt ratings and credit default swaps. These metrics were useful indicators of a counterparty’s strength. Because of the wide range of information available and cost, it went beyond the resources of the company to perform detailed ongoing analysis. It was also identified that a risk-adjusted approach to setting counterparty limits is crucial for managing counterparty exposure and the risk of default. To optimize liquidity, it is in the company’s best interest to place higher balances in institutions with the lowest risk of default. Grouping banks into tiers and assigning a percentage of total balance to each tier allows for financial institutions to have a specific limit capacity. Incorporating these tools on a frequent basis allows for real-time analysis of counterparty exposure and risk.

My diploma work deals with the possibilities of financing a second-hand personal car by leasing, by a consumer bank credit and by an American mortgage with regard to the advantages of single methods of financing for a private person. This work is made up of two basis parts. The first of them - the theoretical one - is divided into three chapters treating of the way of use, advantages and disadvantages of all these methods. In the second, practical part the possibility of single methods of funding is proved by an analysis of concrete companies and banks, which offer these methods of financing. On the basis of the analysis the most advantageous companies and banks, which are offering their product with the most advantageous conditions, are evaluated. For interest I compared the possibilities of financing in the Czech Republic with Germany. The work also contains some detailed information about the second-hand car schop NOVOSAD, where I was getting consulation during my practise, and I gather information from their experience in my whole diploma work.

O mercado de crédito de longo prazo, abordado aqui através dos contratos de debênture, vem se fortalecendo no Brasil após o início do Plano Real, onde a estabilização da economia permitiu que suas cláusulas contratuais migrassem para o controle de risco relativo à firma frente a anterior preocupação com o ambiente econômico conturbado, conforme exposto em Silva e Leal (2008). Assim, este trabalho tenta prever a variável Distante to Default (DD) apresentada em Crosbie e Bohn (2003) através da estrutura proposta por Collin-Dufresne e Goldstein (2001). Para o quartil mais líquido da amostra, o erro percentual médio (EPM) para um horizonte de previsão de cinco anos é de 52%, e de 21% quando considerada a previsão perfeita da volatilidade. O EPM mostra-se muito sensível à liquidez das empresas em bolsa. / The long-term credit market, addressed here through debenture contracts, has gained strength in Brazil after the start of the Real Plan, where stabilization of the economy has allowed its contractual covenants migrate to the firm's risk control in spite of the previous troubled economic environment, outlined in Silva e Leal (2008). Then, this work tries to forecast the Distance to Default variable (DD) from Crosbie e Bohn (2003) through the proposed structure by Collin- Dufresne e Goldstein (2001). For the sample's most liquid quartile, the mean percentage error (MPE) for a forecast horizon of five years is 52%, and 21% when considering perfect volatility forecast. The MPE is very sensitive to firm's market liquidity.

Esta dissertação aborda a expansão da oferta de crédito e o consequente endividamento da população ocorridos no Brasil ao longo das últimas duas décadas. Os principais objetivos constituem analisar: o processo que conduz os consumidores ao superendividamento, estabelecendo as principais causas e eventos relacionados ao fenômeno; as formas como os endividados respondem ao endividamento, em termos de mecanismos e estratégias de enfrentamento; as percepções, sentimentos e significados atribuídos à condição de superendividado; e as consequências do superendividamento. A partir de uma perspectiva metodológica qualitativa, realizamos 18 entrevistas com roteiro semiestruturado com consumidores superendividados atendidos pelo Projeto Piloto de Prevenção ao Superendividamento, no Fórum Central em Porto Alegre. Os sujeitos foram selecionados tomando como critérios a conveniência e acessibilidade e os dados analisados através da técnica de análise de conteúdo. Os resultados encontrados corroboram as hipóteses que levantamos: o endividamento não se explica unicamente em função do consumismo, fator chave elencado na literatura; o fenômeno é complexo e possui uma multiplicidade de causas, relacionadas a elementos estruturais, entre os quais destacamos a desregulamentação das finanças, a estrutura do mercado de trabalho e os níveis de rendimento; estratégias de enfrentamento diversas são adotadas com efeitos distintos que guardam relação com as percepções que os indivíduos têm de suas dívidas, a severidade dos problemas e com seus efeitos. As consequências negativas também são variadas, destacando-se algumas de caráter econômico, como a redução do nível de vida e de consumo. Além desses outros efeitos encontrados são problemas de saúde física e mental, como stress, ansiedade e depressão, que decorrem dos sentimentos negativos de culpa em relação ao endividamento. Enfim, de modo geral, nossa investigação oferece um panorama das discussões teóricas e conceituais no campo da sociologia do crédito e do endividamento. A partir desses debates realizamos uma análise empiricamente fundamentada desses fenômenos constatando que a oferta de crédito, num contexto desfavorável aos consumidores, pela cobrança de altas taxas de juros e inexistência de regulação jurídica, quando direcionada a indivíduos em situação de vulnerabilidade econômica e social, dificultam a administração do orçamento em momentos de crise ou situações não esperadas. Esses elementos em conjunto contribuem na condução ao superendividamento, especialmente de indivíduos com baixos rendimentos ou em situação instável e precária de inserção no mercado de trabalho. Como resultado, essa condição gera um ciclo de pagamento de dívidas e juros capaz de exacerbar condições de pobreza e vulnerabilidade social, contribuindo, assim, para a reprodução das desigualdades sociais. / This research deals with the expansion of consumer credit and the indebtedness in Brazil that has occurred over the last two decades. The main objectives are to analyze the processes that leads consumers to over-indebtedness, establishing the main causes and events related to these phenomena; the ways in which indebted respond to the debts in terms of mechanisms and coping strategies; perceptions, feelings and meanings attributed to over-indebtedness condition; and their consequences. From a qualitative methodological perspective, we conducted 18 semi-structured interviews with over-indebted consumers seeking help in the Projeto Piloto de Prevenção ao Superendividamento, in Porto Alegre. Sample selection considered as criteria convenience and accessibility to interviewed subjects. Data treatment used content analysis techniques. Our results corroborate the raised hypothesis. Firstly, indebtedness cannot be explained solely based on a consumerism perspective, a key factor in the literature. Second, the phenomena are complex and has multiple causes related to structural elements, among which we highlight the deregulation of finance, the structure of the labor market and income levels. Third, various coping strategies are adopted with different effects, related to the perceptions that people have about their debts, the severity of the problems and their effects. Fourth, negative consequences are also varied. Reductions on standards of living and consumption can be highlighted, among others, as the main economic effects. In addition, other consequences found were physical and mental health problems such as stress, anxiety and depression arising from negative feelings of guilt about debt. Furthermore, in general terms, our research provides an overview of the theoretical and conceptual discussions in the field of sociology credit and debt. From these debates, we conducted an empirically based analysis of these phenomena. We conclude, among other founding that credit supply, when offered to individuals in economic and social vulnerable circumstances, particularly, in an unfavorable context featured by charging high interest rates and lacks of legal regulation, hamper budget management in times of crisis or unexpected situations. These elements occurring together can drive to overindebtedness, especially those people with low incomes or in precarious labor conditions. As a result, this condition generates a cycle of debt and interest repayments capable to reproduce or make worse the conditions of poverty and social vulnerability.

O presente trabalho se inicia com a apresentação de evidências que indicam que, nos últimos dez anos, o sistema bancário brasileiro tem se mostrado estável, sob o ponto de vista da resistência a choques, e ineficiente, sob a ótica da concessão de crédito. Essa situação de estabilidade e ineficiência motivou a análise da relação entre um importante instrumento de regulação bancária que visa à higidez do sistema, o requerimento de capital, e a oferta de crédito bancário no Brasil. Se, por um lado, a literatura teórica demonstra que o requerimento de capital pode ser um instrumento apropriado ao objetivo a que se propõe, de adequar o risco das operações ativas dos bancos à capacidade de absorção de perdas decorrentes desses mesmos riscos, estudos empíricos, por outro, indicam que a sistemática internacional adotada para essa regulação, definida no Acordo de Basiléia, pode ter tido como efeito colateral a redução das operações de crédito ao setor privado. Considerando-se tais fatores, foi elaborado um modelo cuja hipótese principal é a incidência, em operações de crédito, de “custos de regulação”, que seriam negativamente relacionados aos níveis de capital de um banco. Sendo válida essa hipótese, espera-se encontrar, ceteris paribus, uma relação positiva entre o índice de Basiléia e a oferta de crédito de bancos, sendo essa relação acentuada em bancos com índice de Basiléia inferior ao limite mínimo requerido. A hipótese foi testada pela estimação do modelo com a aplicação do método dos momentos generalizado, utilizando-se dados desagregados de bancos brasileiros. Os resultados obtidos evidenciaram a importância da regulamentação de capital na decisão de oferta de crédito dos bancos, no sentido previsto pelo modelo. / This dissertation begins by providing evidence which indicates that, over the last ten years, Brazilian banking system has been stable, as far as resilience to shocks is concerned, and inefficient, as regards credit concession. This situation of stability and inefficiency motivated the analysis of the relation between an important banking regulation instrument that targets systemic stability - capital requirement - and the credit supply of Brazilian banks. If, on the one hand, theoretical literature demonstrates that capital requirement may be an appropriate instrument for its purpose (conforming banking asset risks to the capacity of absorbing losses stemming from those same risks), empirical research, on the other hand, indicates that the internationally adopted framework of such regulation, defined by the Basel Accord, may have had as a side effect the decrease of commercial lending. Considering all these points, a model of credit supply in reduced form was elaborated, with its central hypothesis being the incidence, in credit operations, of “regulation costs”, which would be negatively related to the capital level of a bank. Under the validity of this hypothesis, one expects to find, ceteris paribus, a positive relation between a bank credit supply and its Basel index. Besides, this relation should be exacerbated in banks whose Basel index stands below the minimum required. The hypothesis was tested through the estimation of the model using the generalized method of moments in non-aggregate Brazilian banking data. The results evidence the importance of capital regulation in banking decision of credit supply, in accordance with the model prediction.