Information asymmetry and competition in credit markets: the pricing of overdraft loans in Brazil

This paper evaluates how information asymmetry affects the strength of competition in credit markets. A theory is presented in which adverse selection softens competition by decreasing the incentives creditors have for competing in the interest rate dimension. In equilibirum, although creditors compete, the outcome is similar to collusion. Three empirical implications arise. First, interest rate should respond asymmetrically to changes in the cost of funds: increases in cost of funds should, on average, have a larger effect on interest rates than decreases. Second, aggressiveness in pricing should be associated with a worseing in the bank level default rates. Third, bank level default rates should be endogenous. We then verify the validity of these three empirical implications using Brazilian data on consumer overdraft loans. The results in this paper rationalize seemingly abnormallly high interest rates in unsecured loans.

Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina

The paper provides evidence on what affects at the margin the cost and availability of bank credit for firms in Argentina. We study in particular how banks use different pieces of private and public information to screen firms and overcome informational asymmetries in the credit market. Some private information is transferable, like balance sheet data. Private information generated in relationships is not. To capture the closeness of bank relationships, we resort to the concentration of bank credit and the number of credit lines in a bank. We also consider public information available in the Central de Deudores. The cost of credit is measured using overdrafts, the most expensive line of credit, at the bank that charges the highest rate for overdrafts. We find that the cost of credit is smaller for a firm with a close relationship to the marginal bank. Firms with large assets, a high sales/assets ratio, and a low debt/assets ratio pay a lower interest rate at the margin. A good credit history (no debt arrears and no bounced checks) and collateral also reduce the marginal interest rate. The availability of credit is measured by unused credit lines as a proportion of total liabilities with the main bank. The availability of credit depends positively on a close relationship with the main bank. Large assets, a high return over assets, a high sales/assets ratio, a low debt/assets ratio, a good credit history, and collateral lead to higher credit availability. Our measure of unused credit lines is less ambiguous than traditional measures like leverage, which may indicate financial distress rather than availability of credit.

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.

Credit ratings and government bonds evidence before, during and after the european debt crisis

Neste projeto, investigamos se as agências de rating e as taxas de juro de longo prazo da dívida soberana tiveram uma influência recíproca antes, durante e após a crise da dívida soberana Europeia. Esta análise é realizada, estimando a relação existente entre os ratings da dívida soberana ou taxas de juro e factores macroeconomicos e estruturais, através de uma diferente aplicação de metodologias utilizadas para este efeito. Os resultados obtidos demonstram que, no período da crise soberana, os ratings e as taxas de juros tiveram um mútuo impacto, sugerindo que as descidas dos ratings podem ter conduzido a profecias auto-realizáveis, levando países relativamente estáveis a um eventual incumprimento

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.

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.

JML- Based formal development of a Java card application for managing medical appointments

Although formal methods can dramatically increase the quality of software systems, they have not widely been adopted in software industry. Many software companies have the perception that formal methods are not cost-effective cause they are plenty of mathematical symbols that are difficult for non-experts to assimilate. The Java Modelling Language (short for JML) Section 3.3 is an academic initiative towards the development of a common formal specification language for Java programs, and the implementation of tools to check program correctness. This master thesis work shows how JML based formal methods can be used to formally develop a privacy sensitive Java application. This is a smart card application for managing medical appointments. The application is named HealthCard. We follow the software development strategy introduced by João Pestana, presented in Section 3.4. Our work influenced the development of this strategy by providing hands-on insight on challenges related to development of a privacy sensitive application in Java. Pestana’s strategy is based on a three-step evolution strategy of software specifications, from informal ones, through semiformal ones, to JML formal specifications. We further prove that this strategy can be automated by implementing a tool that generates JML formal specifications from a welldefined subset of informal software specifications. Hence, our work proves that JML-based formal methods techniques are cost-effective, and that they can be made popular in software industry. Although formal methods are not popular in many software development companies, we endeavour to integrate formal methods to general software practices. We hope our work can contribute to a better acceptance of mathematical based formalisms and tools used by software engineers. The structure of this document is as follows. In Section 2, we describe the preliminaries of this thesis work. We make an introduction to the application for managing medical applications we have implemented. We also describe the technologies used in the development of the application. This section further illustrates the Java Card Remote Method Invocation communication model used in the medical application for the client and server applications. Section 3 introduces software correctness, including the design by contract and the concept of contract in JML. Section 4 presents the design structure of the application. Section 5 shows the implementation of the HealthCard. Section 6 describes how the HealthCard is verified and validated using JML formal methods tools. Section 7 includes some metrics of the HealthCard implementation and specification. Section 8 presents a short example of how a client-side of a smart card application can be implemented while respecting formal specifications. Section 9 describes a prototype tools to generate JML formal specifications from informal specifications automatically. Section 10 describes some challenges and main ideas came acrorss during the development of the HealthCard. The full formal specification and implementation of the HealthCard smart card application presented in this document can be reached at https://sourceforge.net/projects/healthcard/.

JCML: A specification language for the runtime verification of Java Card programs

COSTA, Umberto Souza; MOREIRA, Anamaria Martins; MUSICANTE, Matin A.; SOUZA NETO, Plácido A. JCML: A specification language for the runtime verification of Java Card programs. Science of Computer Programming. [S.l]: [s.n], 2010.

Specification and Runtime Verification of Java Card Programs

COSTA, Umberto Souza da; MOREIRA, Anamaria Martins; MUSICANTE, Martin A. Specification and Runtime Verification of Java Card Programs. Electronic Notes in Theoretical Computer Science. [S.l:s.n], 2009.

e-Pontos: Uma solução embarcada de automação comercial aplicada a clubes de fidelidade baseado em tecnologia RFID e esmart card

In practically all vertical markets and in every region of the planet, loyalty marketers have adopted the tactic of recognition and reward to identify, maintain and increase the yield of their customers. Several strategies have been adopted by companies, and the most popular among them is the loyalty program, which displays a loyalty club to manage these rewards. But the problem with loyalty programs is that customer identification and transfer of loyalty points are made in a semiautomatic. Aiming at this, this paper presents a master's embedded business automation solution called e-Points. The goal of e-Points is munir clubs allegiances with fully automated tooling technology to identify customers directly at the point of sales, ensuring greater control over the loyalty of associate members. For this, we developed a hardware platform with embedded system and RFID technology to be used in PCs tenant, a smart card to accumulate points with every purchase and a web server, which will provide services of interest to retailers and customers membership to the club

JCML - Java Card Modeling Language: Definição e Implementação

Formal methods should be used to specify and verify on-card software in Java Card applications. Furthermore, Java Card programming style requires runtime verification of all input conditions for all on-card methods, where the main goal is to preserve the data in the card. Design by contract, and in particular, the JML language, are an option for this kind of development and verification, as runtime verification is part of the Design by contract method implemented by JML. However, JML and its currently available tools for runtime verification were not designed with Java Card limitations in mind and are not Java Card compliant. In this thesis, we analyze how much of this situation is really intrinsic of Java Card limitations and how much is just a matter of a complete re-design of JML and its tools. We propose the requirements for a new language which is Java Card compliant and indicate the lines on which a compiler for this language should be built. JCML strips from JML non-Java Card aspects such as concurrency and unsupported types. This would not be enough, however, without a great effort in optimization of the verification code generated by its compiler, as this verification code must run on the card. The JCML compiler, although being much more restricted than the one for JML, is able to generate Java Card compliant verification code for some lightweight specifications. As conclusion, we present a Java Card compliant variant of JML, JCML (Java Card Modeling Language), with a preliminary version of its compiler

BSmart: desenvolvimento rigoroso de aplicações Java Card com base no método formal B

Java Card technology allows the development and execution of small applications embedded in smart cards. A Java Card application is composed of an external card client and of an application in the card that implements the services available to the client by means of an Application Programming Interface (API). Usually, these applications manipulate and store important information, such as cash and confidential data of their owners. Thus, it is necessary to adopt rigor on developing a smart card application to improve its quality and trustworthiness. The use of formal methods on the development of these applications is a way to reach these quality requirements. The B method is one of the many formal methods for system specification. The development in B starts with the functional specification of the system, continues with the application of some optional refinements to the specification and, from the last level of refinement, it is possible to generate code for some programming language. The B formalism has a good tool support and its application to Java Card is adequate since the specification and development of APIs is one of the major applications of B. The BSmart method proposed here aims to promote the rigorous development of Java Card applications up to the generation of its code, based on the refinement of its formal specification described in the B notation. This development is supported by the BSmart tool, that is composed of some programs that automate each stage of the method; and by a library of B modules and Java Card classes that model primitive types, essential Java Card API classes and reusable data structures

KitSmart: Uma biblioteca de componentes para o desenvolvimento rigoroso de aplicações Java Card com o método B

The development of smart card applications requires a high level of reliability. Formal methods provide means for this reliability to be achieved. The BSmart method and tool contribute to the development of smart card applications with the support of the B method, generating Java Card code from B specifications. For the development with BSmart to be effectively rigorous without overloading the user it is important to have a library of reusable components built in B. The goal of KitSmart is to provide this support. A first research about the composition of this library was a graduation work from Universidade Federal do Rio Grande do Norte, made by Thiago Dutra in 2006. This first version of the kit resulted in a specification of Java Card primitive types byte, short and boolean in B and the creation of reusable components for application development. This work provides an improvement of KitSmart with the addition of API Java Card specification made in B and a guide for the creation of new components. The API Java Card in B, besides being available to be used for development of applications, is also useful as a documentation of each API class. The reusable components correspond to modules to manipulate specific structures, such as date and time. These structures are not available for B or Java Card. These components for Java Card are generated from specifications formally verified in B. The guide contains quick reference on how to specify some structures and how some situations were adapted from object-orientation to the B Method. This work was evaluated through a case study made through the BSmart tool, that makes use of the KitSmart library. In this case study, it is possible to see the contribution of the components in a B specification. This kit should be useful for B method users and Java Card application developers

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

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