Risco operacional, cr??dito e crescimento econ??mico
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UCB |
Texto Completo: | https://bdtd.ucb.br:8443/jspui/handle/tede/2427 |
Resumo: | Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, we used the model from ELIZALDE and REPULLO (2007) adapted to operational risk in order to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that adhesion to the AMA is not a Bayesian Perfect Equilibrium and that the return to a standardized model, either by the SMA or the current models, forms the only Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry. As the inadequate capital requirement interferes in financial intermediation, this paper also analyzes a relationship between a credit grant and economic growth, making use of finance growth nexus theory and an empirical model applied to Brazilian municipalities. The results indicate that credit grant reduces economic growth volatility and, specifically in Sudeste and Nordeste regions, there was a strong evidence that credit stimulates economic growth of municipalities. |
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Carhuajulca, Jaime Jos?? Orrillohttp://lattes.cnpq.br/0227304533127933http://lattes.cnpq.br/3438351409592031Barros, Angelo Miguel de2018-07-27T15:12:41Z2018-06-28BARROS, Angelo Miguel de. Risco operacional, cr??dito e crescimento econ??mico. 2018. 81 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018.https://bdtd.ucb.br:8443/jspui/handle/tede/2427Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, we used the model from ELIZALDE and REPULLO (2007) adapted to operational risk in order to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that adhesion to the AMA is not a Bayesian Perfect Equilibrium and that the return to a standardized model, either by the SMA or the current models, forms the only Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry. As the inadequate capital requirement interferes in financial intermediation, this paper also analyzes a relationship between a credit grant and economic growth, making use of finance growth nexus theory and an empirical model applied to Brazilian municipalities. The results indicate that credit grant reduces economic growth volatility and, specifically in Sudeste and Nordeste regions, there was a strong evidence that credit stimulates economic growth of municipalities.Em meio ??s discuss??es sobre o novo modelo padronizado (SMA) para requerimento de capital para risco operacional e a poss??vel extin????o dos modelos internos (AMA), este estudo analisa os efeitos da assimetria de informa????o (forte caracter??stica do risco operacional) nas intera????es entre o regulador e o banco quanto ?? ado????o de modelos internos no formato atual. Para isso, foi utilizado o modelo de ELIZALDE e REPULLO (2007) adaptado para risco operacional para estudar o comportamento dos acionistas dos bancos em um modelo interno e a teoria de jogos sequenciais de informa????o assim??trica para avaliar a intera????o entre o regulador e os bancos. Os resultados indicam que a ades??o ao AMA n??o representa um Equil??brio Perfeito Bayesiano e que o retorno a um modelo padronizado, seja pelo SMA ou pelos modelos atuais, forma a ??nica estrat??gia de Equil??brio Perfeito Bayesiano, o que explica a baixa ades??o ao AMA mesmo ap??s mais de uma d??cada de surgimento e sugere a necessidade de se criar mecanismos para reduzir essa assimetria. Como o requerimento inadequado de capital interfere na intermedia????o financeira (seja aumentando o custo de capta????o ou reduzindo possibilidade de concess??o de cr??dito), este trabalho tamb??m analisa a rela????o entre a concess??o de cr??dito e o crescimento econ??mico, utilizando a teoria sobre finance growth nexus e um modelo emp??rico aplicado aos munic??pios brasileiros. Os resultados indicam que a concess??o de cr??dito reduz a volatilidade do crescimento econ??mico dos munic??pios brasileiros e, especificamente nas regi??es Sudeste e Nordeste, houve forte evid??ncia de que o cr??dito estimula crescimento econ??mico dos munic??pios.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-27T15:11:09Z No. of bitstreams: 1 AngeloMigueldeBarrosTese2018.pdf: 4790873 bytes, checksum: af9e45ba55effd3e90733c35bc01c1aa (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-27T15:12:41Z (GMT) No. of bitstreams: 1 AngeloMigueldeBarrosTese2018.pdf: 4790873 bytes, checksum: af9e45ba55effd3e90733c35bc01c1aa (MD5)Made available in DSpace on 2018-07-27T15:12:41Z (GMT). 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dc.title.por.fl_str_mv |
Risco operacional, cr??dito e crescimento econ??mico |
title |
Risco operacional, cr??dito e crescimento econ??mico |
spellingShingle |
Risco operacional, cr??dito e crescimento econ??mico Barros, Angelo Miguel de Cr??dito banc??rio Risco operacional Crescimento econ??mico Requerimento de capital Capital requirement Economic growth Operational risk Banking credit CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
Risco operacional, cr??dito e crescimento econ??mico |
title_full |
Risco operacional, cr??dito e crescimento econ??mico |
title_fullStr |
Risco operacional, cr??dito e crescimento econ??mico |
title_full_unstemmed |
Risco operacional, cr??dito e crescimento econ??mico |
title_sort |
Risco operacional, cr??dito e crescimento econ??mico |
author |
Barros, Angelo Miguel de |
author_facet |
Barros, Angelo Miguel de |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Carhuajulca, Jaime Jos?? Orrillo |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0227304533127933 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/3438351409592031 |
dc.contributor.author.fl_str_mv |
Barros, Angelo Miguel de |
contributor_str_mv |
Carhuajulca, Jaime Jos?? Orrillo |
dc.subject.por.fl_str_mv |
Cr??dito banc??rio Risco operacional Crescimento econ??mico Requerimento de capital Capital requirement Economic growth Operational risk Banking credit |
topic |
Cr??dito banc??rio Risco operacional Crescimento econ??mico Requerimento de capital Capital requirement Economic growth Operational risk Banking credit CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.description.abstract.eng.fl_txt_mv |
Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, we used the model from ELIZALDE and REPULLO (2007) adapted to operational risk in order to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that adhesion to the AMA is not a Bayesian Perfect Equilibrium and that the return to a standardized model, either by the SMA or the current models, forms the only Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry. As the inadequate capital requirement interferes in financial intermediation, this paper also analyzes a relationship between a credit grant and economic growth, making use of finance growth nexus theory and an empirical model applied to Brazilian municipalities. The results indicate that credit grant reduces economic growth volatility and, specifically in Sudeste and Nordeste regions, there was a strong evidence that credit stimulates economic growth of municipalities. |
dc.description.abstract.por.fl_txt_mv |
Em meio ??s discuss??es sobre o novo modelo padronizado (SMA) para requerimento de capital para risco operacional e a poss??vel extin????o dos modelos internos (AMA), este estudo analisa os efeitos da assimetria de informa????o (forte caracter??stica do risco operacional) nas intera????es entre o regulador e o banco quanto ?? ado????o de modelos internos no formato atual. Para isso, foi utilizado o modelo de ELIZALDE e REPULLO (2007) adaptado para risco operacional para estudar o comportamento dos acionistas dos bancos em um modelo interno e a teoria de jogos sequenciais de informa????o assim??trica para avaliar a intera????o entre o regulador e os bancos. Os resultados indicam que a ades??o ao AMA n??o representa um Equil??brio Perfeito Bayesiano e que o retorno a um modelo padronizado, seja pelo SMA ou pelos modelos atuais, forma a ??nica estrat??gia de Equil??brio Perfeito Bayesiano, o que explica a baixa ades??o ao AMA mesmo ap??s mais de uma d??cada de surgimento e sugere a necessidade de se criar mecanismos para reduzir essa assimetria. Como o requerimento inadequado de capital interfere na intermedia????o financeira (seja aumentando o custo de capta????o ou reduzindo possibilidade de concess??o de cr??dito), este trabalho tamb??m analisa a rela????o entre a concess??o de cr??dito e o crescimento econ??mico, utilizando a teoria sobre finance growth nexus e um modelo emp??rico aplicado aos munic??pios brasileiros. Os resultados indicam que a concess??o de cr??dito reduz a volatilidade do crescimento econ??mico dos munic??pios brasileiros e, especificamente nas regi??es Sudeste e Nordeste, houve forte evid??ncia de que o cr??dito estimula crescimento econ??mico dos munic??pios. |
description |
Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, we used the model from ELIZALDE and REPULLO (2007) adapted to operational risk in order to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that adhesion to the AMA is not a Bayesian Perfect Equilibrium and that the return to a standardized model, either by the SMA or the current models, forms the only Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry. As the inadequate capital requirement interferes in financial intermediation, this paper also analyzes a relationship between a credit grant and economic growth, making use of finance growth nexus theory and an empirical model applied to Brazilian municipalities. The results indicate that credit grant reduces economic growth volatility and, specifically in Sudeste and Nordeste regions, there was a strong evidence that credit stimulates economic growth of municipalities. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-07-27T15:12:41Z |
dc.date.issued.fl_str_mv |
2018-06-28 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
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publishedVersion |
format |
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dc.identifier.citation.fl_str_mv |
BARROS, Angelo Miguel de. Risco operacional, cr??dito e crescimento econ??mico. 2018. 81 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2427 |
identifier_str_mv |
BARROS, Angelo Miguel de. Risco operacional, cr??dito e crescimento econ??mico. 2018. 81 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2018. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2427 |
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por |
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por |
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Universidade Cat??lica de Bras??lia |
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Programa Stricto Sensu em Economia de Empresas |
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UCB |
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Brasil |
dc.publisher.department.fl_str_mv |
Escola de Gest??o e Neg??cios |
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Universidade Cat??lica de Bras??lia |
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