Three essays in risk management in financial institutions

The choice to adopt risk-sensitive measurement approaches for operational risks: the case of Advanced Measurement Approach under Basel II New Capital Accord This paper investigates the choice of the operational risk approach under Basel II requirements and whether the adoption of advanced risk measurement approaches allows banks to save capital. Among the three possible approaches for operational risk measurement, the Advanced Measurement Approach (AMA) is the most sophisticated and requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior experience in risk-sensitive operational risk measurement practices. Moreover, banks that choose AMA exhibit low requirements for capital and, as a result might gain a competitive advantage compared to banks that opt for less sophisticated approaches. - Internal Risk Controls and their Impact on Bank Solvency Recent cases in financial sector showed the importance of risk management controls on risk taking and firm performance. Despite advances in the design and implementation of risk management mechanisms, there is little research on their impact on behavior and performance of firms. Based on data from a sample of 88 banks covering the period between 2004 and 2010, we provide evidence that internal risk controls impact the solvency of banks. In addition, our results show that the level of internal risk controls leads to a higher degree of solvency in banks with a major shareholder in contrast to widely-held banks. However, the relationship between internal risk controls and bank solvency is negatively affected by BHC growth strategies and external restrictions on bank activities, while the higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of Risk Measurement Approaches under Basel II on Bank Holding Companies Value Previous research showed the importance of external regulation on banks' behavior. Some inefficient standards may accentuate risk-taking in banks and provoke a financial crisis. Despite the growing literature on the potential effects of Basel II rules, there is little empirical research on the efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on data from a sample of 66 banks covering the period between 2008 and 2010, we provide evidence that prudential ratios computed under Basel II standards predict the value of banks. However, this relation is contingent on the degree of sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when banks adopt the advanced approaches to compute the value of their risk-weighted assets.

Intensity correlation functions of dye lasers: Comparison of colored-gain-noise and colored-loss-noise models

The intensity correlation functions C(t) for the colored-gain-noise model of dye lasers are analyzed and compared with those for the loss-noise model. For correlation times ¿ larger than the deterministic relaxation time td, we show with the use of the adiabatic approximation that C(t) values coincide for both models. For small correlation times we use a method that provides explicit expressions of non-Markovian correlation functions, approximating simultaneously short- and long-time behaviors. Comparison with numerical simulations shows excellent results simultaneously for short- and long-time regimes. It is found that, when the correlation time of the noise increases, differences between the gain- and loss-noise models tend to disappear. The decay of C(t) for both models can be described by a time scale that approaches the deterministic relaxation time. However, in contrast with the loss-noise model, a secondary time scale remains for large times for the gain-noise model, which could allow one to distinguish between both models.

Socio-demographic and behavioural determinants of weight gain in the Swiss population.

BackgroundIn Switzerland, socio-demographic and behavioural factors are associated with obesity, but no study ever assessed their impact on weight gain using prospective data.MethodsData from 4,469 participants (53.0% women), aged 35 to 75 years at baseline and followed for 5.5 years. Weight gain was considered as a rate (kg/year) or as gaining ¿5 kg during the study period.ResultsRate of weight gain was lower among participants who were older (mean¿±¿standard deviation: 0.46¿±¿0.92, 0.33¿±¿0.88, 0.21¿±¿0.86 and 0.06¿±¿0.74 kg/year in participants aged [35-45[, [45-55[, [55¿65[and [65+ years, respectively, P<0.001); physically active (0.27¿±¿0.82 vs. 0.35¿±¿0.95 kg/year for sedentary, P¿<¿0.005) or living in a couple (0.29¿±¿0.84 vs. 0.35¿±¿0.96 kg/year for living single, P¿<¿0.05), and higher among current smokers (0.41¿±¿0.97, 0.26¿±¿0.84 and 0.29±0.85 kg/year for current, former and never smokers, respectively, p<0.001). These findings were further confirmed by multivariable analysis. Multivariable logistic regression showed that receiving social help, being a current smoker or obese increased the likelihood of gaining ¿5Kg: Odds ratio (OR) and 95% confidence interval (CI) 1.43 (1.16-1.77); 1.63 (1.35-1.95) and 1.95 (1.57-2.43), respectively, while living in couple or being physically active decreased the risk: 0.73 (0.62-0.86) and 0.72 (0.62-0.83), respectively. No association was found between weight gain and gender, being born in Switzerland or education.ConclusionsIn Switzerland, financial difficulties (indicated by receiving social help) and current smoking were associated with increases in body weight over a 5 years follow-up. Living in couple, being older or physically active were protective against weight gain.

Sobre o conceito de "capital humano"

O artigo aborda a retomada do conceito de capital humano nas últimas décadas no contexto da hegemonia de organismos multilaterais mais diretamente vinculados ao pensamento e aos interesses norte-americanos na área educacional, e de demandas que resultam da reestruturação produtiva e sociocultural na Nova Era Capitalista. Ressalta a amplitude das noções metafóricas dele derivadas (Bourdieu e outros) e indica o trecho dos Grundrisse em que Marx refere-se ao homem como sendo o próprio capital fixo criado pelo desenvolvimento de suas capacidades no tempo livre.

A comment on the cost of capital for investments with non-homogeneous components

In this paper, the expression for the cost of capital is derived when net and replacement investments exhibit differences in their effective prices due to a different fiscal treatment. It is shown that, contrary to previous results in the literature, the cost of capital should be constructed under an opportunity cost criterion rather than a historical one. This result has some important economic consequences, since the optimizing firm will take into account not only the effective price for the new investments but also consider the opportunity cost of replacing them.

User cost of capital with delayed investment grants

The usual assumption when considering investment grants is that grant payments are automatic when investments are undertaken. However, evidence from case studies shows that there can exist some time lag until funds are received by granted firms. In this paper the effects of delays in grant payments on the optimal investment policy of the firm are analyzed. It is shown how these delays lead not only to a higher financing cost but to an effective reduction in the investment grant rate, and in some cases, how benefits from investment grants could be canceled due to interactions with tax effects.

Qüestionari de trajectòria educativa i capital social acadèmic

Projecte de recerca (EDU2011-25960) Ministerio de Economía y Competitividad

Origem social e risco de repetência: interação raça-capital econômico

A despeito de melhora expressiva no fluxo escolar durante a maior parte da década de 1990, especialmente entre 1992 e 1998, a repetência tem-se mantido constante e em valor elevado desde 1998. Dados provenientes dos dois últimos censos das escolas indicam leve tendência de aumento da repetência. Usamos dados do Sistema Nacional de Avaliação da Educação Básica - Saeb/2001 -, para investigar a relação entre origem social e risco de repetência de alunos que cursavam a 8ª série do ensino fundamental em escolas públicas de capitais brasileiras. O resultado da estimação de modelos de risco para repetência mostrou que diversas variáveis de origem social continuam associadas ao aumento do risco da repetência, no sentido usualmente descrito pela literatura educacional. Mostrou também que embora capital econômico acima da média atue como fator de proteção para a repetência, esse resultado não prevalece para todos os grupos raciais, pois alto capital econômico mostrou-se fator de risco para os alunos que se autodeclararam pretos. Conseqüências dos resultados para políticas públicas são discutidas.

Factor shares, the price markup, and the elasticity of substitution between capital and labor

[spa] La participación del trabajo en la renta nacional es constante bajo los supuestos de una función de producción Cobb-Douglas y competencia perfecta. En este artículo se relajan estos supuestos y se investiga si el comportamiento no constante de la participación del trabajo en la renta nacional se explica por (i) una elasticidad de sustitución entre capital y trabajo no unitaria y (ii) competencia no perfecta en el mercado de producto. Nos centramos en España y los U.S. y estimamos una función de producción con elasticidad de sustitución constante y competencia imperfecta en el mercado de producto. El grado de competencia imperfecta se mide a través del cálculo del price markup basado en laaproximación dual. Mostramos que la elasticidad de sustitución es mayor que uno en España y menor que uno en los US. También mostramos que el price markup aleja la elasticidad de sustitución de uno, lo aumenta en España, lo reduce en los U.S. Estos resultados se utilizan para explicar la senda decreciente de la participación del trabajo en la renta nacional, común a ambas economías, y sus contrastadas sendas de capital.

The role of unions in an endogenous growth model with human capital

In this paper we study the relationship between unions and growth in a two-sector overlapping generations model with altruism and humancapital. This relationship depends on the interaction between the technology in the sector that produces human capital, the degreeof unionization of the economy and the operativeness of the bequest motive.

Psychotropic drug-induced weight gain and other metabolic complications in a Swiss psychiatric population.

PURPOSE: To describe the weight gain-related side-effects of psychotropic drugs and their consequences on metabolic complications (hypercholesterolemia, obesity) in a Swiss cohort of psychiatric patients. METHOD: This cross-sectional observational study was performed in an out-patient psychiatric division with patients having received for more than 3 months the following drugs: clozapine, olanzapine, quetiapine, risperidone, lithium, and/or valproate. Clinical measures and lifestyle information (smoking behaviour, physical activity) were recorded. RESULTS: 196 inclusions were completed. Weight gain (≥10% of initial weight) following drug treatment was reported in 47% of these patients. Prevalence of obesity (BMI ≥ 30), hypercholesterolemia (≥6.2 mmol/L) and low HDL-cholesterol (<1.0 mmol/L in men, <1.3 mmol/L in women) were present in 38%, 21%, and 27% of patients, respectively. A higher standardised dose, an increase of appetite following medication introduction, the type of medication (clozapine or olanzapine > quetiapine or risperidone > lithium or valproate), and the gender were shown to be significantly associated with evolution of BMI. CONCLUSION: High prevalence of obesity and hypercholesterolemia was found in an out-patient psychiatric population and confirms drug-induced weight gain complications during long-term treatment. The results support the recently published recommendations of monitoring of metabolic side-effects during treatment with atypical antipsychotics. Moreover, the weight gain predictors found in the present study could help to highlight patients with special health care management requirement.

Congenital ataxia and hemiplegic migraine with cerebral edema associated with a novel gain of function mutation in the calcium channel CACNA1A.

Mutations in the CACNA1A gene, encoding the α1 subunit of the voltage-gated calcium channel CaV2.1 (P/Q-type), have been associated with three neurological phenotypes: familial and sporadic hemiplegic migraine type 1 (FHM1, SHM1), episodic ataxia type 2 (EA2), and spinocerebellar ataxia type 6 (SCA6). We report a child with congenital ataxia, abnormal eye movements and developmental delay who presented severe attacks of hemiplegic migraine triggered by minor head traumas and associated with hemispheric swelling and seizures. Progressive cerebellar atrophy was also observed. Remission of the attacks was obtained with acetazolamide. A de novo 3bp deletion was found in heterozygosity causing loss of a phenylalanine residue at position 1502, in one of the critical transmembrane domains of the protein contributing to the inner part of the pore. We characterized the electrophysiology of this mutant in a Xenopus oocyte in vitro system and showed that it causes gain of function of the channel. The mutant CaV2.1 activates at lower voltage threshold than the wild type. These findings provide further evidence of this molecular mechanism as causative of FHM1 and expand the phenotypic spectrum of CACNA1A mutations with a child exhibiting severe SHM1 and non-episodic ataxia of congenital onset.

Conocimiento, aprendizaje y capital social como motor de desarrollo

Este paper analiza la aparición de la Sociedad del Conocimiento como una consecuencia del doble impacto del gran avanzo científico que caracteriza esta virada de siglo, el reciente surgimiento de tecnologías de información y comunicación, y el proceso de globalización que está transformando los mercados de producción y finanzas, y causando profundos cambios en los ambientes institucionales de la generación del concocimiento y su utilización. Se analiza también la importancia de redes y procesos de aprendizaje; la sinergia y tensiones que son simultáneamente generadas por la dinámica interacción que está ocurriendo entre la "apropiación social y privada del conocimiento"; y los retos en la formación de nueva estructura normativa para la generación y utilización del conocimiento en la solución de cuestiones de política de derechos de propiedad intelectual. Se hace referencia también a casos innovadores de promoción de redes de aprendizaje y desarrollo de diálogo entre depositarios. Se relatan también experiencias en foros sobre cuestiones estratégicas y otros mecanismos relacionados a la apropiación social del conocimiento, así como el surgimiento del Global Forum on Agricultural Research (GFAR), como una nueva expresión de globalización de la ciencia.

Informação para negócios: os novos agentes do conhecimento e a gestão do capital intelectual

A evolução das características e as necessidades dos diferentes usuários de informação em empresas vêm determinando, ao longo do tempo, não apenas a criação de diversos tipos de sistemas de informação para atendê-los, como também uma constante adaptação do perfil de formação acadêmica e de atuação dos profissionais da informação. Ao primeiro e tradicional modelo de biblioteca técnica de empresa, seguiram-se os centros de documentação, os centros de informação, as bibliotecas virtuais, os sistemas de inteligência competitiva e, atualmente, os programas de gestão do conhecimento. O reconhecimento da importância estratégica da administração do conhecimento e do capital intelectual das empresas configura-se como a mais recente fase de evolução na gestão da informação. Os diferentes modelos de sistemas de informação para empresas já surgidos, apesar de distintos, não se excluem e convivem, ainda que parcela significativa dos profissionais da informação não venha acompanhando e se adaptando a essa evolução e esteja perdendo espaço de atuação para profissionais de outras áreas.