Uma contribuição à gestão do risco de crédito baseado no modelo Raroc - retorno ajustado ao risco de capital

A implantação do Plano Real em 1994 provocou mudanças na estrutura de receitas dos bancos brasileiros. Em épocas de altas taxas de inflação, o resultado dos bancos era composto substancialmente por rendas oriundas do financiamento da dívida interna do país e em menor parcela de outras receitas como dos empréstimos ao setor privado. Com a estabilização da economia e a globalização dos mercados financeiros mundiais, refletida na entrada de bancos estrangeiros no mercado brasileiro, as taxas de juros tenderam a diminuir, ocasionando uma mudança no foco de atuação dos Bancos que estão se concentrando na intermediação financeira. Neste projeto é apresentada a formação básica do resultado de um banco obtido com a intermediação financeira e explana-se sobre os riscos da atividade bancária. É focado o risco de crédito, abrangendo a descrição das principais metodologias de análise. Estuda-se a Resolução CMN/BACEN nO 2682 que mudou a contabilização das rendas de renegociação de dívidas e estabeleceu parâmetros mínimos para a classificação das operações de crédito alterando os critérios de constituição da provisão para créditos de liquidação duvidosa. É explicado como pode ser utilizado um modelo RARO C - Risk Adjusted Return on Capital - desenvolvido originalmente pelo Bankers Trust - para gerenciamento da Carteira de crédito de um Banco de Varejo típico. Para ilustração e considerando que no mercado brasileiro os dados estatísticos sobre operações de crédito são escassos, além de existirem dificuldades na obtenção de dados de uma Carteira de crédito real relacionadas ao sigilo bancário e estratégias de investimento, o modelo RAROC será aplicado em uma Carteira de crédito fictícia de um Banco de Varejo, especialmente criada para esse fim. O estudo não abrange os recursos necessários para a implementação do modelo, nem customização para outros tipos de Bancos, restringindo-se à análise da utilização da metodologia. Por fim, apresentamos nossas conclusões a respeito da gestão do risco do crédito baseada na utilização de um modelo RAROC.

O ajuste fiscal nos estados 1998-2007

O presente projeto de pesquisa analisa o ajuste fiscal nos estados nos últimos dez anos. Existe um amplo consenso de que esse grande avanço fiscal ocorreu principalmente em decorrência Lei nº 9.496/97, que vinculou a renegociação das dívidas estaduais com a implementação de um amplo programa de saneamento financeiro, assim como, pela promulgação da Lei de Responsabilidade Fiscal (LRF). O estudo mostra que , como regra geral, o padrão de ajuste fiscal implementado na maioria dos estados foi marcado principalmente, por um forte aumento das receitas tributárias. A contribuição do controle das despesas foi bastante limitada o que resultou em um padrão de ajuste fiscal de má qualidade, já a obtenção de crescentes superávits primários resultaram essencialmente do aumento da carga tributária.

Renegociação de dívidas e moral hazard: uma análise do efeito da política de descontos no pagamento de dívidas de cartões de crédito

O Brasil vem vivenciando um aumento na demanda por cartões de crédito, principalmente nas classes baixas. Entretanto, a população de menor renda e menor qualificação representa maior riscos para a operação. Este fato é evidenciado pelas altas taxas de inadimplência. Exposto isso, empresas se utilizam de estratégias de renegociação de dívida na tentativa de recuperar parte do investimento realizado. Entretanto, poucos foram os estudos acerca da consequência no longo prazo destas estratégias. Utilizando os experimentos realizados por uma empresa de cartão de crédito, cujas campanhas de renegociação variavam mês a mês, este estudo, procurou evidências de que as ofertas de renegociação de dívidas podem afetar a reputação da firma, fazendo com que clientes da rede mesma rede social deste que recebeu a oferta de renegociação também fiquem inadimplentes. Concluímos que o aumento do desconto nas negociações tem um efeito significativo sobre o incentivo do cliente em honrar suas obrigações junto a empresa, ou seja, o aumento de 0,01 p.p. no desconto dado aos clientes aumenta em 0,05 sua probabilidade em atrasar sua fatura no próximo período.

A crise do desenvolvimento brasileiro: dívida externa, condicionalidades e as relações com o Fundo Monetário Internacional e Banco Mundial (1974-1987)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Mudança política no Paraguai e as relações com o Brasil: o caso da renegociação do Tratado de Itaipu

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Traces de terre, traces d'encre... La rappresentazione dello spazio nella letteratura caraibica. (Francofona e Anglofona)

This study concerns the representation of space in Caribbean literature, both francophone and Anglophone and, in particular, but not only, in the martinican literature, in the works of the authors born in the island. The analysis focus on the second half of the last century, a period in which the martinican production of novels and romances increased considerably, and where the representation and the rule of space had a relevant place. So, the thesis explores the literary modalities of this representation. The work is constituted of 5 chapters and the critical and methodological approaches are both of an analytical and comparative type. The first chapter “The caribbean space: geography, history and society” presents the geographic context, through an analysis of the historical and political major events occurred in the Caribbean archipelago, in particular of the French Antilles, from the first colonization until the départementalisation. The first paragraph “The colonized space: historical-political excursus” the explores the history of the European colonization that marked forever the theatre of the relationship between Europe, Africa and the New World. This social situation take a long and complex process of “Re-appropriation and renegotiation of the space”, (second paragraph) always the space of the Other, that interest both the Antillean society and the writers’ universe. So, a series of questions take place in the third paragraph “Landscape and identity”: what is the function of space in the process of identity construction? What are the literary forms and representations of space in the Caribbean context? Could the writing be a tool of cultural identity definition, both individual and collective? The second chapter “The literary representation of the Antillean space” is a methodological analysis of the notions of literary space and descriptive gender. The first paragraph “The literary space of and in the novel” is an excursus of the theory of such critics like Blanchot, Bachelard, Genette and Greimas, and in particular the recent innovation of the 20th century; the second one “Space of the Antilles, space of the writing” is an attempt to apply this theory to the Antillean literary space. Finally the last paragraph “Signs on the page: the symbolic places of the antillean novel landscape” presents an inventory of the most recurrent antillean places (mornes, ravines, traces, cachots, En-ville,…), symbols of the history and the past, described in literary works, but according to new modalities of representation. The third chapter, the core of the thesis, “Re-drawing the map of the French Antilles” focused the study of space representation on francophone literature, in particular on a selected works of four martinican writers, like Roland Brival, Édouard Glissant, Patrick Chamoiseau and Raphaël Confiant. Through this section, a spatial evolution comes out step by step, from the first to the second paragraph, whose titles are linked together “The novel space evolution: from the forest of the morne… to the jungle of the ville”. The virgin and uncontaminated space of the Antilles, prior to the colonisation, where the Indios lived in harmony with the nature, find a representation in both works of Brival (Le sang du roucou, Le dernier des Aloukous) and of Glissant (Le Quatrième siècle, Ormerod). The arrival of the European colonizer brings a violent and sudden metamorphosis of the originary space and landscape, together with the traditions and culture of the Caraïbes population. These radical changes are visible in the works of Chamoiseau (Chronique des sept misères, Texaco, L’esclave vieil homme et le molosse, Livret des villes du deuxième monde, Un dimanche au cachot) and Confiant (Le Nègre et l’Amiral, Eau de Café, Ravines du devant-jour, Nègre marron) that explore the urban space of the creole En-ville. The fourth chapter represents the “2nd step: the Anglophone novel space” in the exploration of literary representation of space, through an analytical study of the works of three Anglophone writers, the 19th century Lafcadio Hearn (A Midsummer Trip To the West Indies, Two Years in the French West Indies, Youma) and the contemporary authors Derek Walcott (Omeros, Map of the New World, What the Twilight says) and Edward Kamau Brathwaite (The Arrivants: A New World Trilogy). The Anglophone voice of the Caribbean archipelago brings a very interesting contribution to the critical idea of a spatial evolution in the literary representation of space, started with francophone production: “The spatial evolution goes on: from the Martiniques Sketches of Hearn… to the modern bards of Caribbean archipelago” is the new linked title of the two paragraphs. The fifth chapter “Extended look, space shared: the Caribbean archipelago” is a comparative analysis of the results achieved in the prior sections, through a dialogue between all the texts in the first paragraph “Francophone and Anglophone representation of space compared: differences and analogies”. The last paragraph instead is an attempt of re-negotiate the conventional notions of space and place, from a geographical and physical meaning, to the new concept of “commonplace”, not synonym of prejudice, but “common place” of sharing and dialogue. The question sets in the last paragraph “The “commonplaces” of the physical and mental map of the Caribbean archipelago: toward a non-place?” contains the critical idea of the entire thesis.

Da una sponda all'altra del Mediterraneo: percorsi migratori femminili

Until the end of the 1970s international migrants were perceived and analysed mainly within the frame of their lives in the host country, or as managing their lives and choices caught in a dilemma “between two cultures”. More recently, this approach has been challenged by an image of diasporic communities composed of individuals who “have collective homes away from home”. Migrants have become icons of hybridity and the metaphor of “border crossing”, the symbol of liberatory articulations between place, culture and identity. Migrants, it is also argued, have become transnational as they manage to live simultaneously in two countries. The research has the aim to study the migration process of the women who come from North Africa to Bologna. In particular, it investigates migrant women‘s relations with their adopted country and how their cultural practices are shaped by the transnational dimension of their lives. It was studied the journey of the migrant women’s lives across two countries and how their identities are going to change because of the experience of the migration. Migrant women are engaged in various kinds of practices and experiences through which they connect their country of origin and of residence. So this research focuses on the changes in the migrant women’s lives and the construction of their new identity. In particular, the research illustrates the development of a new notion of modernity, underlining how the migrant women construct a model of modernity that expresses a constant negotiation among diverse cultural models. The notion of modernity is not produced in opposition to tradition and religion, but is articulated with them in complex and diverse ways. The multiple ways in which migrant women understand modernity reflect their divergent identity’s renegotiation processes within the new society where they live.

Bargaining for power and information : an experimental and theoretical analysis of the interaction between institutions, externalities and adverse selection

Bargaining is the building block of many economic interactions, ranging from bilateral to multilateral encounters and from situations in which the actors are individuals to negotiations between firms or countries. In all these settings, economists have been intrigued for a long time by the fact that some projects, trades or agreements are not realized even though they are mutually beneficial. On the one hand, this has been explained by incomplete information. A firm may not be willing to offer a wage that is acceptable to a qualified worker, because it knows that there are also unqualified workers and cannot distinguish between the two types. This phenomenon is known as adverse selection. On the other hand, it has been argued that even with complete information, the presence of externalities may impede efficient outcomes. To see this, consider the example of climate change. If a subset of countries agrees to curb emissions, non-participant regions benefit from the signatories’ efforts without incurring costs. These free riding opportunities give rise to incentives to strategically improve ones bargaining power that work against the formation of a global agreement. This thesis is concerned with extending our understanding of both factors, adverse selection and externalities. The findings are based on empirical evidence from original laboratory experiments as well as game theoretic modeling. On a very general note, it is demonstrated that the institutions through which agents interact matter to a large extent. Insights are provided about which institutions we should expect to perform better than others, at least in terms of aggregate welfare. Chapters 1 and 2 focus on the problem of adverse selection. Effective operation of markets and other institutions often depends on good information transmission properties. In terms of the example introduced above, a firm is only willing to offer high wages if it receives enough positive signals about the worker’s quality during the application and wage bargaining process. In Chapter 1, it will be shown that repeated interaction coupled with time costs facilitates information transmission. By making the wage bargaining process costly for the worker, the firm is able to obtain more accurate information about the worker’s type. The cost could be pure time cost from delaying agreement or cost of effort arising from a multi-step interviewing process. In Chapter 2, I abstract from time cost and show that communication can play a similar role. The simple fact that a worker states to be of high quality may be informative. In Chapter 3, the focus is on a different source of inefficiency. Agents strive for bargaining power and thus may be motivated by incentives that are at odds with the socially efficient outcome. I have already mentioned the example of climate change. Other examples are coalitions within committees that are formed to secure voting power to block outcomes or groups that commit to different technological standards although a single standard would be optimal (e.g. the format war between HD and BlueRay). It will be shown that such inefficiencies are directly linked to the presence of externalities and a certain degree of irreversibility in actions. I now discuss the three articles in more detail. In Chapter 1, Olivier Bochet and I study a simple bilateral bargaining institution that eliminates trade failures arising from incomplete information. In this setting, a buyer makes offers to a seller in order to acquire a good. Whenever an offer is rejected by the seller, the buyer may submit a further offer. Bargaining is costly, because both parties suffer a (small) time cost after any rejection. The difficulties arise, because the good can be of low or high quality and the quality of the good is only known to the seller. Indeed, without the possibility to make repeated offers, it is too risky for the buyer to offer prices that allow for trade of high quality goods. When allowing for repeated offers, however, at equilibrium both types of goods trade with probability one. We provide an experimental test of these predictions. Buyers gather information about sellers using specific price offers and rates of trade are high, much as the model’s qualitative predictions. We also observe a persistent over-delay before trade occurs, and this mitigates efficiency substantially. Possible channels for over-delay are identified in the form of two behavioral assumptions missing from the standard model, loss aversion (buyers) and haggling (sellers), which reconcile the data with the theoretical predictions. Chapter 2 also studies adverse selection, but interaction between buyers and sellers now takes place within a market rather than isolated pairs. Remarkably, in a market it suffices to let agents communicate in a very simple manner to mitigate trade failures. The key insight is that better informed agents (sellers) are willing to truthfully reveal their private information, because by doing so they are able to reduce search frictions and attract more buyers. Behavior observed in the experimental sessions closely follows the theoretical predictions. As a consequence, costless and non-binding communication (cheap talk) significantly raises rates of trade and welfare. Previous experiments have documented that cheap talk alleviates inefficiencies due to asymmetric information. These findings are explained by pro-social preferences and lie aversion. I use appropriate control treatments to show that such consideration play only a minor role in our market. Instead, the experiment highlights the ability to organize markets as a new channel through which communication can facilitate trade in the presence of private information. In Chapter 3, I theoretically explore coalition formation via multilateral bargaining under complete information. The environment studied is extremely rich in the sense that the model allows for all kinds of externalities. This is achieved by using so-called partition functions, which pin down a coalitional worth for each possible coalition in each possible coalition structure. It is found that although binding agreements can be written, efficiency is not guaranteed, because the negotiation process is inherently non-cooperative. The prospects of cooperation are shown to crucially depend on i) the degree to which players can renegotiate and gradually build up agreements and ii) the absence of a certain type of externalities that can loosely be described as incentives to free ride. Moreover, the willingness to concede bargaining power is identified as a novel reason for gradualism. Another key contribution of the study is that it identifies a strong connection between the Core, one of the most important concepts in cooperative game theory, and the set of environments for which efficiency is attained even without renegotiation.

Dealing with traffic risk in Latin American toll roads

Análisis de los sistemas de mitigación del riesgo de tráfico en autopistas de peaje en diferentes países de Latinoamérica. This paper presents a cross-country analysis of traffic risk allocation in road concessions of Latin America. It shows that some countries such as Chile, Colombia, and Peru have been greatly concerned with mitigating traffic risk, either by putting into practice public guarantees, implementing flexible term concessions, or through availability payment concessions; whereas other countries such as Mexico and Brazil have assigned traffic risk to the private concessionaire by using fixed-term concession contracts without any traffic guarantees. Based on an analysis of data from 1990 to 2010, the paper finds that shifting traffic risk from the concessionaire to the government or users was not confined to the riskiest projects, as one might expect. The analysis also suggests that the implementation of traffic risk mitigation mechanisms in Latin American toll roads has not been very successful in reducing renegotiation rates or in increasing the number of bidders in the tenders

Cameron’s big speech on Europe – No, Prime Minister! CEPS Essay (No. 3), 31 January 2013

British Prime Minister David Cameron has clearly made the political assessment that he must appease the eurosceptics in his party with a plan for renegotiation and then an in-out referendum on the UK’s membership of the European Union. In the second of a series of analyses on the UK’s relationship with Europe, Michael Emerson considers the seven hazards of Cameron’s approach.

Grexit 2015: A primer. CEPS Commentary, 22 January 2015

In the run-up to the Greek elections on January 25th and the subsequent renegotiation of the country's economic adjustment programme with the troika, Daniel Gros writes in this Commentary that "nobody officially wants Grexit": not Syriza, which wants Greece to stay in the euro. It is ‘only’ asking for a reduction in Greece’s official debt and an end to austerity. The German government also does not favour Grexit because European unification remains the central project for German policy-makers across all mainstream parties. Only some protest parties and vocal economists think Greece (and Germany) would better off with a new Drachma. In his view, the substantive issues are thus the demands for a reduction of the official debt of Greece and an end to austerity, both of which he describes as eminently fudgeable. In any event, change in policy will be minor if a Syriza government is as successful in fulfilling its promise to spend as the previous government was in promising not to spend.

Divided but United: European Trade Policy & EC-U.S. Agricultural Negotiations in the Uruguay Round. CES Germany & Europe Working Papers, No. 07.3, 1996

How has the integration of trade policy and negotiating authority in Europe affected the external bargaining capabilities of the European Community (EC)? This paper analyzes the bargaining constraints and opportunities for the EC created by the obligation to negotiate as a single entity. The nature of demands in external~ the voting rules at the EC level, and the amount of autonomy exercised by EC negotiators contribute to explaining, this paper argues, whether the EC gains some external bargaining clout from its internal divisions and whether the final international agreement reflects the position of the median or the extreme countries in the Community. The Uruguay Round agricultural negotiations illustrate the consequences of the EC's institutional structure on its external bargaining capabilities. Negotiations between the EC and the U.S. were deadlocked for six years because the wide gap among the positions of the member states at the start of the Uruguay Round had prevented the EC from making sufficient concessions. The combination of a weakened unanimity rule and greater autonomy seized by Commission negotiators after the May 1992 reform of the Common Agricultural Policy made possible the conclusion of an EC-U.S. agricultural agreement. Although the majority of member states supported the Blair House agreement, the reinstating of the veto power in the EC and the tighter member states' control over the Commission eventually resulted in a renegotiation of the U.S.-EC agreement tilted in favor of France, the most recalcitrant country.

Why Greece is different. CEPS Commentary, 22 May 2015

With Greece’s economy tanking again, the country’s government is convinced that it is the victim of the wrong treatment in the form of excessive austerity and is calling for a renegotiation of the bailout deal it made with its international creditors. In Daniel Gros’ view, however, this narrative overlooks the fact that the approach worked in other peripheral countries: Portugal, Ireland, Spain and even Cyprus, are all visibly recovering. As he points out in this CEPS Commentary, it was their strong export performance which allowed these countries to escape the austerity trap and he accordingly urges Greece’s policy-makers to focus their attention on stimulating exports rather than only discussing the budget.

The UK's EU Vote: The 1975 Precedent and Today's Negotiations. Bruegel Policy Contribution Issue 2015/08, June 2015

Highlights • The United Kingdom's European Union Referendum Bill, introduced in the House of Commons on 28 May 2015, legislates for the holding of a referendum before 31 December 2017 on the UK’s continued EU membership. UK prime minister David Cameron is opening negotiations with other EU member states to try to obtain an EU reform deal that better suits UK interests. Both the negotiations and the outcome of the referendum pose major challenges for the UK and the EU. • It will not be the first time that a UK government has staged a referendum following a renegotiation of its terms of EU membership. The first such referendum took place on 5 June 1975 after nearly a year of renegotiations, and the ‘yes’ won with 67.2 percent of the vote. Notwithstanding obvious differences, the conduct of today’s renegotiations should bear in mind this precedent, and in particular consider (a) how much the UK government can get out of the negotiations, in particular with respect to potential Treaty changes; (b) why political marketing is central to the referendum’s outcome; (c) how the UK administration’s internal divisions risk derailing the negotiations; and (d) why the negotiations risk antagonising even the UK’s best allies.

How to deal with Europe’s British problem. EPC Discussion Paper, 11 September 2015

This paper argues that the UK government's renegotiation bid is too feeble to be deserving of concessions by its EU partners, but that the rest of the EU can give the British what they seem to want by pressing on themselves to federal union.