Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Informational synergies in consumer credit

Lenders can tap into multiple sources of private information to assess consumer credit risk but little is known about the informational synergies between these sources. Using unique panel data on checking accounts and credit card accounts from the same customers during 2007-2014, we find that activity measures from both account types contain information beyond credit scores and other controls. Checking accounts display warning indications earlier and more accurately than credit card accounts. We also investigate the consistency of information, the reasons for defaults, and selection effects. The evidence highlights sizeable informational synergies that lenders can use to manage credit relationships.

A relevância do rating e de outros fatores na determinação do rendimento das debêntures emitidas no mercado brasileiro

O artigo aborda um tema bastante explorado no contexto internacional, mas ainda pouco pesquisado no Brasil. A compreensão dos fatores relevantes na precificação de debêntures é de primordial importância para os investidores e para as empresas interessadas na captação de recursos através deste meio. A inexistência de um mercado secundário líquido de títulos privados de renda fixa restringe a análise empírica às informações, também limitadas, do mercado primário. Foram utilizados no trabalho dados referentes a 67 debêntures indexadas ao CDI-over e 30 indexadas ao IGP-M, todas distribuídas entre abril de 2000 e setembro de 2004. O método dos mínimos quadrados ordinários foi utilizado para testar a influência do rating e de um conjunto de variáveis de controle na formação da taxa de remuneração dos títulos. Foram estimadas relações lineares e não lineares entre as variáveis independentes e o spread expresso em duas formas: nominal e over Treasury. Dentre as evidências encontradas destacam-se as seguintes: i) o rating é variável significante para os dois grupos de debêntures; ii) algumas outras variáveis (prazo e volume da emissão, por exemplo) são relevantes, especialmente para títulos corrigidos pelo IGP-M; iii) a precificação de debêntures é imperfeita e aparentemente sujeita a fatores não econômicos.

Determinantes da remuneração do spread de certificados de recebíveis imobiliários no mercado brasileiro

Este estudo tem por objetivo identificar as principais variáveis que afetam o spread de Certificados de Recebíveis Imobiliários (CRI) no mercado nacional no momento da emissão do título. Dentre as principais variáveis estudadas estão o volume de emissão, prazo dos títulos, existência de rating, tipo de emissão, dentre outros. Para o trabalho foi utilizada uma base de dados de acompanhamento do mercado realizado pela ANBIMA e contou com 535 emissões, realizadas entre 2005 e 2015, de CRI indexados ao IGP, IPCA, DI e TR, além de títulos pré-fixados. Foram elaboradas cinco regressões pelo método dos Mínimos Quadrados Ordinários (MQO) stepwise sendo que as amostras foram separadas de acordo com o tipo de indexador (IGP, IPCA, DI e TR) e uma que englobou todas as emissões. Os resultados se mostraram distintos para cada regressão realizada e as variáveis explicativas do spread que se mostraram significativas na maioria das regressões foram o volume de emissão e a variável representativa da percepção internacional do cenário brasileiro. A evolução apresentada por este estudo com relação aos trabalhos disponíveis na literatura é de expandir as análises realizadas com outros títulos mobiliários, como Debentures e Fundos de Investimento em Direito Creditórios, para os CRIs.

Bank networks and firm credit: an agent based model approach

Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.

A comparative study of the credit card market dynamics in Mexico and Brazil

This research analyzes and compares the attractiveness of the Brazilian and Mexican credit card markets from a financial firm’s perspective. The market dynamics in Latin America’s two economic powerhouses are fleshed out with qualitative and quantitative data, using a strategic framework to structure the analysis. Since its adoption by both countries in 1956, credit card usage has experienced many years of double digit growth. However, penetration levels remain low compared with most developed countries. Brazil has a more developed credit card infrastructure, with more potential profit, and issuers might face fewer competitive challenges.  Alternatively, Mexico, is witnessing a more favorable economy, a friendlier business and regulatory environment, combined with fewer financial products that compete with the credit card. Therefore, this paper concludes that Brazil and Mexico both offer market opportunities for credit card companies that can navigate the different technological, demographic, macroeconomic, and regulatory shifts in each country.

Credit union correspondents and financial inclusion in Brazil: an exploratory study

A rede de correspondentes bancários do Brasil tem sido estudada há mais de uma década, em particular por causa da sua importância no aumento do alcance de serviços financeiros para regiões distantes dos maiores centros urbanos. O uso de correspondentes por cooperativas de crédito não tem recebido destaque, apesar do papel importante das cooperativas na inclusão financeira. Esta dissertação adota uma abordagem “multimétodo” para efetuar uma pesquisa exploratória dos correspondentes de cooperativas de crédito no Brasil. A pesquisa visa, por um lado, alargar a compreensão dos incentivos que levam cooperativas a usarem correspondentes, e por outro, avaliar se esses correspondentes merlhoram a inclusão financeira. A pesquisa é formada por um estudo de caso assim como por análise de dados relativos ao registro de correspondentes bancários e de dados financeiros das cooperativas. Os resultados apontam que o uso de correspondentes bancários por cooperativas está relacionado à busca de maior eficiência e redução de filas nas agências. A melhoria da inclusão financeira por esses correspondentes limita-se a um serviço único – o recebimento de pagamentos. Não obstante, em 2014, cooperativas de correspondentes de crédito tinham um papel importante no fornecimento de serviços de recebimento de contas em 690 municípios brasileiros, dos quais 200 tinham baixos níveis de inclusão financeira. Apesar da escassa disponibilidade de serviços dos correspondentes das cooperativas, os resultados sugerem que esses atores poderiam adquirir uma importância maior na promoção de inclusão financeira no futuro.

Construct validity of a figure rating scale for Brazilian adolescents

Background: Figure rating scales were developed as a tool to determine body dissatisfaction in women, men, and children. However, it lacks in the literature the validation of the scale for body silhouettes previously adapted. We aimed to obtain evidence for construct validity of a figure rating scale for Brazilian adolescents.Methods: The study was carried out with adolescent students attending three public schools in an urban region of the municipality of Florianopolis in the State of Santa Catarina (SC). The sample comprised 232 10-19-year-old students, 106 of whom are boys and 126 girls, from the 5th series (i.e. year) of Primary School to the 3rd year of Secondary School. Data-gathering involved the application of an instrument containing 8 body figure drawings representing a range of children's and adolescents' body shapes, ranging from very slim (contour 1) to obese (contour 8). Weights and heights were also collected, and body mass index (BMI) was calculated later. BMI was analyzed as a continuous variable, using z-scores, and as a dichotomous categorical variable, representing a diagnosis of nutritional status (normal and overweight including obesity).Results: Results showed that both males and females with larger BMI z-scores chose larger body contours. Girls with higher BMI z-scores also show higher values of body image dissatisfaction.Conclusion: We provided the first evidence of validity for a figure rating scale for Brazilian adolescents.

The rating of perceived exertion predicts intermittent vertical jump demand and performance

The aims of this study were (a) to assess the ability of the rating of perceived exertion (RPE) to predict performance (i.e. number of vertical jumps performed to a fixed jump height) of an intermittent vertical jump exercise, and (b) to determine the ability of RPE to describe the physiological demand of such exercise. Eight healthy men performed intermittent vertical jumps with rest periods of 4, 5, and 6s until fatigue. Heart rate and RPE were recorded every five jumps throughout the sessions. The number of vertical jumps performed was also recorded. Random coefficient growth curve analysis identified relationships between the number of vertical jumps and both RPE and heart rate for which there were similar slopes. In addition, there were no differences between individual slopes and the mean slope for either RPE or heart rate. Moreover, RPE and number of jumps were highly correlated throughout all sessions (r=0.97-0.99; P0.001), as were RPE and heart rate (r=0.93-0.97; P0.001). The findings suggest that RPE can both predict the performance of intermittent vertical jump exercise and describe the physiological demands of such exercise.

Ajuste del balance de pagos, política crediticia y control del endeudamiento externo = Balance-of-payments adjustment, credit policy and control of the external debt

Incluye Bibliografía

The Neuropsychiatric Inventory-Clinician rating scale (NPI-C): Reliability and validity of a revised assessment of neuropsychiatric symptoms in dementia

Background: Neuropsychiatric symptoms (NPS) affect almost all patients with dementia and are a major focus of study and treatment. Accurate assessment of NPS through valid, sensitive and reliable measures is crucial. Although current NPS measures have many strengths, they also have some limitations (e.g. acquisition of data is limited to informants or caregivers as respondents, limited depth of items specific to moderate dementia). Therefore, we developed a revised version of the NPI, known as the NPI-C. The NPI-C includes expanded domains and items, and a clinician-rating methodology. This study evaluated the reliability and convergent validity of the NPI-C at ten international sites (seven languages). Methods: Face validity for 78 new items was obtained through a Delphi panel. A total of 128 dyads (caregivers/patients) from three severity categories of dementia (mild = 58, moderate = 49, severe = 21) were interviewed separately by two trained raters using two rating methods: the original NPI interview and a clinician-rated method. Rater 1 also administered four additional, established measures: the Apathy Evaluation Scale, the Brief Psychiatric Rating Scale, the Cohen-Mansfield Agitation Index, and the Cornell Scale for Depression in Dementia. Intraclass correlations were used to determine inter-rater reliability. Pearson correlations between the four relevant NPI-C domains and their corresponding outside measures were used for convergent validity. Results: Inter-rater reliability was strong for most items. Convergent validity was moderate (apathy and agitation) to strong (hallucinations and delusions; agitation and aberrant vocalization; and depression) for clinician ratings in NPI-C domains. Conclusion: Overall, the NPI-C shows promise as a versatile tool which can accurately measure NPS and which uses a uniform scale system to facilitate data comparisons across studies. Copyright © 2010 International Psychogeriatric Association.

Access to credit in Argentina

Includes bibliography

Analysis of the influence of pre-loading in the rating life calculation of tapered roller bearings applied to lightweight front-axle differentials

For intricate automotive systems that enclose several components, such as gearboxes, an important aspect of the design is defining the correct assembly parameters. A proper assembly can ensure optimized operating conditions and therefore the components can achieve a longer life. In the case of the support bearings applied to front-axle lightweight differentials, the assembly preload is a major aspect for an adequate performance of the system. During the design phase it is imperative to define reference values to this preload, so the application would endure its requirements. However, with the assistance of computer simulations, it is possible to determine an optimum condition of operation, i.e. optimum pre-load, which would increase the system reliability. This paper presents a study on the influence of preload on the rating life of tapered roller bearings applied to light-weight front axle differentials, evaluating how preload affects several key parameters such as rating life and displacement of components, taking into account the flexibility of the surrounding differential housing. Copyright © 2012 SAE International.

Bank consolidation and credit concentration in Brazil (1995-2004)

Includes bibliography