Ensaios em gestão de risco e regulação bancária
Autor(a) principal: | |
---|---|
Data de Publicação: | 2014 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/13133 |
Resumo: | This dissertation consists of three essays. The first essay analyses the public information about the risk of Brazilian banks' loan portfolios and is split in two chapters. The first one compares public data with banks' managerial information and shows the limited scope of accounting data. One conclusion is that is possible to improve disclosure, a fact that has been happening gradually in Brazil through new rules related to Basel II’s Third Pillar and by more detailed reports by the Brazilian Central Bank. The second part of this essay shows the discrepancy between non-performing loans ratio (NPL) and probability of default (PD), it also discusses the relationship between loss allowances and expected loss. The tools used are empirical data (migration matrices) and a simulation based on overlapping vintages whose transition matrices are modeled as a second order Markov process. The second essay makes a linkage between risk management and price discrimination. Is developed a model that consists in a Cournot duopoly in a retail credit market, in which banks may perform third-degree price discrimination. In this model, potential borrowers can be of two types, low or high risk, wherein low risk borrowers are characterized by more elastic demand. Initially, banks cannot observe borrowers’ type. For this to happen the bank needs to invest in risk management and thus becomes able to price discriminate, which in this model coincide with risk-based pricing. According to the model, if costs to observe clients type are high, the banks' strategy is not to discriminate (pooling equilibrium). However, if these costs are sufficiently low, the optimal strategy for banks is to charge different rates for each group. It is argued that Basel II functioned as an exogenous shock that shifted the equilibrium where there is greater price discrimination. The third essay is divided into two chapters. The first one discusses the application of the concepts of subjective probability and Knightian uncertainty to VaR models and the importance of model risk assessment, which is comprised by estimation risk, specification risk and identification risk. The essay proposes that 'four elements' methodology from operating risk (internal data, external data, business environment and scenarios) can be extended to the measurement of other risks (market and credit risk, for example). The second part of this last essay is an application of scenario analysis to measure the conditional volatility on dates of relevant economic releases, specifically on COPOM (Monetary Policy Committee) meeting days. |
id |
FGV_42718b3accbfa04f9a5516f05730e3d8 |
---|---|
oai_identifier_str |
oai:repositorio.fgv.br:10438/13133 |
network_acronym_str |
FGV |
network_name_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
repository_id_str |
3974 |
spelling |
Yanaka, Guilherme M.Escolas::EESPRocha, Bruno de PaulaDario, Alan de GenaroDouat, João CarlosFerreira, Caio FonsecaTeles, Vladimir Kuhl2015-01-21T14:45:39Z2015-01-21T14:45:39Z2014-10-10YANAKA, Guilherme M.. Ensaios em gestão de risco e regulação bancária. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/13133This dissertation consists of three essays. The first essay analyses the public information about the risk of Brazilian banks' loan portfolios and is split in two chapters. The first one compares public data with banks' managerial information and shows the limited scope of accounting data. One conclusion is that is possible to improve disclosure, a fact that has been happening gradually in Brazil through new rules related to Basel II’s Third Pillar and by more detailed reports by the Brazilian Central Bank. The second part of this essay shows the discrepancy between non-performing loans ratio (NPL) and probability of default (PD), it also discusses the relationship between loss allowances and expected loss. The tools used are empirical data (migration matrices) and a simulation based on overlapping vintages whose transition matrices are modeled as a second order Markov process. The second essay makes a linkage between risk management and price discrimination. Is developed a model that consists in a Cournot duopoly in a retail credit market, in which banks may perform third-degree price discrimination. In this model, potential borrowers can be of two types, low or high risk, wherein low risk borrowers are characterized by more elastic demand. Initially, banks cannot observe borrowers’ type. For this to happen the bank needs to invest in risk management and thus becomes able to price discriminate, which in this model coincide with risk-based pricing. According to the model, if costs to observe clients type are high, the banks' strategy is not to discriminate (pooling equilibrium). However, if these costs are sufficiently low, the optimal strategy for banks is to charge different rates for each group. It is argued that Basel II functioned as an exogenous shock that shifted the equilibrium where there is greater price discrimination. The third essay is divided into two chapters. The first one discusses the application of the concepts of subjective probability and Knightian uncertainty to VaR models and the importance of model risk assessment, which is comprised by estimation risk, specification risk and identification risk. The essay proposes that 'four elements' methodology from operating risk (internal data, external data, business environment and scenarios) can be extended to the measurement of other risks (market and credit risk, for example). The second part of this last essay is an application of scenario analysis to measure the conditional volatility on dates of relevant economic releases, specifically on COPOM (Monetary Policy Committee) meeting days.Esta tese é constituída por três ensaios. O primeiro ensaio analisa a informação pública disponível sobre o risco das carteiras de crédito dos bancos brasileiros, sendo dividido em dois capítulos. O primeiro analisa a limitação da informação pública disponibilizada pelos bancos e pelo Banco Central, quando comparada a informação gerencial disponível internamente pelos bancos. Concluiu-se que existe espaço para o aumento da transparência na divulgação das informações, fato que vem ocorrendo gradativamente no Brasil através de novas normas relacionadas ao Pilar 3 de Basileia II e à divulgação de informações mais detalhas pelo Bacen, como, por exemplo, aquelas do 'Top50' . A segunda parte do primeiro ensaio mostra a discrepância entre o índice de inadimplência contábil (NPL) e a probabilidade de inadimplência (PD) e também discute a relação entre provisão e perda esperada. Através da utilização de matrizes de migração e de uma simulação baseada na sobreposição de safras de carteira de crédito de grandes bancos, concluiu-se que o índice de inadimplência subestima a PD e que a provisão constituída pelos bancos é menor que a perda esperada do SFN. O segundo ensaio relaciona a gestão de risco à discriminação de preço. Foi desenvolvido um modelo que consiste em um duopólio de Cournot em um mercado de crédito de varejo, em que os bancos podem realizar discriminação de terceiro grau. Neste modelo, os potenciais tomadores de crédito podem ser de dois tipos, de baixo ou de alto risco, sendo que tomadores de baixo risco possuem demanda mais elástica. Segundo o modelo, se o custo para observar o tipo do cliente for alto, a estratégia dos bancos será não discriminar (pooling equilibrium). Mas, se este custo for suficientemente baixo, será ótimo para os bancos cobrarem taxas diferentes para cada grupo. É argumentado que o Acordo de Basileia II funcionou como um choque exógeno que deslocou o equilíbrio para uma situação com maior discriminação. O terceiro ensaio é divido em dois capítulos. O primeiro discute a aplicação dos conceitos de probabilidade subjetiva e incerteza Knigthiana a modelos de VaR e a importância da avaliação do 'risco de modelo', que compreende os riscos de estimação, especificação e identificação. O ensaio propõe que a metodologia dos 'quatro elementos' de risco operacional (dados internos, externos, ambiente de negócios e cenários) seja estendida à mensuração de outros riscos (risco de mercado e risco de crédito). A segunda parte deste último ensaio trata da aplicação do elemento análise de cenários para a mensuração da volatilidade condicional nas datas de divulgação econômica relevante, especificamente nos dias de reuniões do Copom.porRegulação bancáriaRisco de créditoÍndice de inadimplênciaBasileia IIEconomiaBancos - BrasilCréditos - Avaliação de riscosAdministração de riscoInformação assimétricaEnsaios em gestão de risco e regulação bancáriainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALtese_Yanaka apendice.pdftese_Yanaka apendice.pdfapêndiceapplication/pdf1890925https://repositorio.fgv.br/bitstreams/7694c6b1-9f0d-442f-8c9b-1438986f6bd4/download326a1899d15fb390b68ad062c4ec1be6MD52tese_Yanaka gestao_risco.pdftese_Yanaka gestao_risco.pdfapplication/pdf2489116https://repositorio.fgv.br/bitstreams/56dd451a-9539-4cb6-b2e0-25c4b003308f/download37513eecf31e32e7da7929ee6938d552MD54LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/11bd6b08-f80c-43e0-be23-705910686131/downloaddfb340242cced38a6cca06c627998fa1MD55TEXTtese_Yanaka apendice.pdf.txttese_Yanaka apendice.pdf.txtExtracted texttext/plain76791https://repositorio.fgv.br/bitstreams/f05e37f5-54ef-4894-9155-7f563aeecc90/download993f1a2a3404798b443a84b2df7cc082MD514tese_Yanaka gestao_risco.pdf.txttese_Yanaka gestao_risco.pdf.txtExtracted texttext/plain103791https://repositorio.fgv.br/bitstreams/fb460558-beeb-4ede-9a93-4d4d5df7ae9a/downloadbd599c4a72bd8241639b2ac8d4a8bcc3MD516THUMBNAILtese_Yanaka apendice.pdf.jpgtese_Yanaka apendice.pdf.jpgGenerated Thumbnailimage/jpeg4724https://repositorio.fgv.br/bitstreams/e468f115-83aa-4e98-bb73-2d6c9b4678e1/download37c10ef08c7e8e839d05205c73e8dfe2MD515tese_Yanaka gestao_risco.pdf.jpgtese_Yanaka gestao_risco.pdf.jpgGenerated Thumbnailimage/jpeg2493https://repositorio.fgv.br/bitstreams/19960030-6495-44d3-9298-b858a2dd6e9a/download92b633878dc5626769b171a21c70690fMD51710438/131332023-11-07 13:47:37.711open.accessoai:repositorio.fgv.br:10438/13133https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-07T13:47:37Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)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 |
dc.title.por.fl_str_mv |
Ensaios em gestão de risco e regulação bancária |
title |
Ensaios em gestão de risco e regulação bancária |
spellingShingle |
Ensaios em gestão de risco e regulação bancária Yanaka, Guilherme M. Regulação bancária Risco de crédito Índice de inadimplência Basileia II Economia Bancos - Brasil Créditos - Avaliação de riscos Administração de risco Informação assimétrica |
title_short |
Ensaios em gestão de risco e regulação bancária |
title_full |
Ensaios em gestão de risco e regulação bancária |
title_fullStr |
Ensaios em gestão de risco e regulação bancária |
title_full_unstemmed |
Ensaios em gestão de risco e regulação bancária |
title_sort |
Ensaios em gestão de risco e regulação bancária |
author |
Yanaka, Guilherme M. |
author_facet |
Yanaka, Guilherme M. |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Rocha, Bruno de Paula Dario, Alan de Genaro Douat, João Carlos Ferreira, Caio Fonseca |
dc.contributor.author.fl_str_mv |
Yanaka, Guilherme M. |
dc.contributor.advisor1.fl_str_mv |
Teles, Vladimir Kuhl |
contributor_str_mv |
Teles, Vladimir Kuhl |
dc.subject.por.fl_str_mv |
Regulação bancária Risco de crédito Índice de inadimplência Basileia II |
topic |
Regulação bancária Risco de crédito Índice de inadimplência Basileia II Economia Bancos - Brasil Créditos - Avaliação de riscos Administração de risco Informação assimétrica |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Bancos - Brasil Créditos - Avaliação de riscos Administração de risco Informação assimétrica |
description |
This dissertation consists of three essays. The first essay analyses the public information about the risk of Brazilian banks' loan portfolios and is split in two chapters. The first one compares public data with banks' managerial information and shows the limited scope of accounting data. One conclusion is that is possible to improve disclosure, a fact that has been happening gradually in Brazil through new rules related to Basel II’s Third Pillar and by more detailed reports by the Brazilian Central Bank. The second part of this essay shows the discrepancy between non-performing loans ratio (NPL) and probability of default (PD), it also discusses the relationship between loss allowances and expected loss. The tools used are empirical data (migration matrices) and a simulation based on overlapping vintages whose transition matrices are modeled as a second order Markov process. The second essay makes a linkage between risk management and price discrimination. Is developed a model that consists in a Cournot duopoly in a retail credit market, in which banks may perform third-degree price discrimination. In this model, potential borrowers can be of two types, low or high risk, wherein low risk borrowers are characterized by more elastic demand. Initially, banks cannot observe borrowers’ type. For this to happen the bank needs to invest in risk management and thus becomes able to price discriminate, which in this model coincide with risk-based pricing. According to the model, if costs to observe clients type are high, the banks' strategy is not to discriminate (pooling equilibrium). However, if these costs are sufficiently low, the optimal strategy for banks is to charge different rates for each group. It is argued that Basel II functioned as an exogenous shock that shifted the equilibrium where there is greater price discrimination. The third essay is divided into two chapters. The first one discusses the application of the concepts of subjective probability and Knightian uncertainty to VaR models and the importance of model risk assessment, which is comprised by estimation risk, specification risk and identification risk. The essay proposes that 'four elements' methodology from operating risk (internal data, external data, business environment and scenarios) can be extended to the measurement of other risks (market and credit risk, for example). The second part of this last essay is an application of scenario analysis to measure the conditional volatility on dates of relevant economic releases, specifically on COPOM (Monetary Policy Committee) meeting days. |
publishDate |
2014 |
dc.date.issued.fl_str_mv |
2014-10-10 |
dc.date.accessioned.fl_str_mv |
2015-01-21T14:45:39Z |
dc.date.available.fl_str_mv |
2015-01-21T14:45:39Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
YANAKA, Guilherme M.. Ensaios em gestão de risco e regulação bancária. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/13133 |
identifier_str_mv |
YANAKA, Guilherme M.. Ensaios em gestão de risco e regulação bancária. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
url |
http://hdl.handle.net/10438/13133 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/7694c6b1-9f0d-442f-8c9b-1438986f6bd4/download https://repositorio.fgv.br/bitstreams/56dd451a-9539-4cb6-b2e0-25c4b003308f/download https://repositorio.fgv.br/bitstreams/11bd6b08-f80c-43e0-be23-705910686131/download https://repositorio.fgv.br/bitstreams/f05e37f5-54ef-4894-9155-7f563aeecc90/download https://repositorio.fgv.br/bitstreams/fb460558-beeb-4ede-9a93-4d4d5df7ae9a/download https://repositorio.fgv.br/bitstreams/e468f115-83aa-4e98-bb73-2d6c9b4678e1/download https://repositorio.fgv.br/bitstreams/19960030-6495-44d3-9298-b858a2dd6e9a/download |
bitstream.checksum.fl_str_mv |
326a1899d15fb390b68ad062c4ec1be6 37513eecf31e32e7da7929ee6938d552 dfb340242cced38a6cca06c627998fa1 993f1a2a3404798b443a84b2df7cc082 bd599c4a72bd8241639b2ac8d4a8bcc3 37c10ef08c7e8e839d05205c73e8dfe2 92b633878dc5626769b171a21c70690f |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023750495633408 |