Default mercado de crédito parcelado para bens duráveis : veículos automotores

The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables.

Implicit corporate political activity and elite formation

Nesta tese, analisamos como a elite empresarial progressista criou a organização da sociedade civil Rede Nossa São Paulo (RNSP), alcançando mudanças institucionais significativas, permitindo assim a consolidação da elite na esfera política. A pesquisa resultou em três artigos. O primeiro artigo discute como a RNSP se tornou um forte ator político na cidade de São Paulo e também no Brasil. Para abordar esta questão, mostramos como a RNSP usou a história retórica para se tornar um ator central na esfera política. No segundo artigo, propomos o conceito de atividade política corporativa implícita (ICPA), complementar a atividade política corporativa. Conceituamos ICPA como elites empresariais em conjunto com organizações da sociedade civil agindo para influenciar o governo. Com os limites entre o governo, as empresas e organizações da sociedade civil difusos; entendemos que este conceito é extremamente importante para chamar a atenção e criar novos caminhos para a pesquisa sobre a influência das empresas no governo. No último artigo, mostramos os micro fundamentos da ICPA. Especificamente, como as elites empresariais e corporações influenciam a RNSP e, indiretamente, o governo. Concluindo, contribuímos para a literatura sobre a influência das empresas no governo e na esfera pública indiretamente, por meio de organizações da sociedade civil. Teoricamente, estendemos a literatura de teoria institucional, história e poder

Optimal provision of implicit and explicit incentives in asset management contracts

This paper investigates the importance of the fiow of funds as an implicit incetive provided by investors to portfolio managers in a two-period relationship. We show that the fiow of funds is a powerful incentive in an asset management contract. We build a binomial moral hazard model to explain the main trade-ofIs in the relationship between fiow, fees and performance. The main assumption is that efIort depend" on the combination of implicit and explicit incentives while the probability distrioutioll function of returns depends on efIort. In the case of full commitment, the investor's relevant trade-ofI is to give up expected return in the second period vis-à-vis to induce efIort in the first período The more concerned the investor is with today's payoff. the more willing he will be to give up expected return in the following periods. That is. in the second period, the investor penalizes observed low returns by withdrawing resources from non-performing portfolio managers. Besides, he pays performance fee when the observed excess return is positive. When commitment is not a plausible hypothesis, we consider that the investor also learns some symmetríc and imperfect information about the ability of the manager to generate positive excess returno In this case, observed returns reveal ability as well as efIort choices exerted by the portfolio manager. We show that implicit incentives can explain the fiow-performance relationship and, conversely, endogenous expected return determines incentives provision and define their optimal leveIs. We provide a numerical solution in Matlab that characterize these results.