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O Investimento Imobiliário nas Carteiras de Activos dos Fundos de Pensões e das Seguradoras em Portugal

Fragoso, Bruno Monteiro
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /03/2011 Português
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66.52%
Mestrado em Gestão e Avaliação Imobiliária; Este trabalho surgiu no sentido de tentar procurar uma resposta para a seguinte dúvida: se o imobiliário apresenta rentabilidades mais atractivas para horizontes de investimento de longo prazo, porque apresenta percentagens reduzidas no total das carteiras de activos dos investidores institucionais? Neste sentido, este trabalho terá como finalidade a caraterização do investimento imobiliário nas carteiras de activos dos fundos de pensões e das empresas seguradoras, em Portugal. As principais fontes de informação utilizadas, neste trabalho, foram os registos históricos tanto das carteiras de investimento dos investidores institucionais, como dos principais tipos de activos, nomeadamente, acções, obrigações e imobiliário, e a elaboração de um questionário dirigido aos gestores das carteiras de activos dos referidos investidores. Constatando-se que, para os investidores institucionais em análise, a razão mais atractiva para o investimento no imobiliário se prende com a possibilidade de diversificação da carteira de activos, e que o maior risco é o da falta de liquidez, a opção de investimento mais consensual, é contudo em obrigações, visto que o peso da classe do investimento imobiliário é obtido através do modelo de Asset Liability Management (ALM)...

Analyzing Banking Risk : A Framework for Assessing Corporate Governance and Risk Management, Third Edition

Van Greuning, Hennie; Brajovic Bratanovic, Sonja
Fonte: World Bank Publicador: World Bank
Português
Relevância na Pesquisa
56.38%
This publication aims to complement existing methodologies by establishing a comprehensive framework for the assessment of banks, not only by using financial data, but also by considering corporate governance. It argues that each of the key players in the corporate governance process (such as shareholders, directors, executive managers, and internal and external auditors) is responsible for some component of financial and operational risk management. Following a holistic overview of bank analysis in chapter two, the importance of banking supervision in the context of corporate governance is discussed in chapter three. This chapter also considers the partnership approach and the emerging framework for corporate governance and risk management, as well as the identification and allocation of tasks as part of the risk management process. The framework for risk management is further discussed in chapters four through eleven.

Public Debt Management in Emerging Market Economies : Has This Time Been Different?

Anderson, Phillip R. D.; Silva, Anderson Caputo; Velandia-Rubiano, Antonio
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
56.24%
Despite the scale of the global financial crisis, to date it has not resulted in a sovereign debt crisis among emerging market countries. Two significant factors in this outcome are the improved macroeconomic management and public debt management in these countries over the past decade. This paper reviews the improvements in macroeconomic fundamentals and the composition of public debt portfolios in emerging market countries prior to the crisis and concludes that the policies and strategies pursued by governments provided them with a buffer when the crisis hit. Nevertheless, with the international capital markets effectively closed for over three months and domestic borrowing in many cases impacted by extreme risk aversion, government debt managers were required to adapt their strategies to rapidly changing circumstances. The paper reviews the impact of the crisis and the responses of debt managers to the drying up of international capital, decreased liquidity in markets, and sharply increased term premia. Three categories of response are identified: (i) funding from other sources to reduce pressure on market borrowing; (ii) adapting funding programs to changes in demand in the different types of securities; and (iii) implementing liability management operations to support the market. Most governments were willing to accept temporarily greater risk in their portfolios...

The Long and the Short of Emerging Market Debt

Opazo, Luis; Raddatz, Claudio; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
46.48%
Emerging economies have tried to promote long-term debt because it reduces maturity mismatches and the probability of crises. This paper uses unique evidence from the leading case of Chile to study to what extent there is domestic demand for long-term instruments. The authors analyze monthly asset-level portfolios of Chilean institutional investors (mutual funds, pension funds, and insurance companies) and compare their maturity structure to that of US bond mutual funds. Despite being thought to invest long term, Chilean asset-management institutions (mutual and pension funds) hold large amounts of short-term assets relative to US mutual funds and Chilean insurance companies. Short-termism is not driven by lack of instrument availability or tactical behavior. Instead, it seems to be explained by the desire to minimize inflation risk and, more importantly, by manager incentives that tilt demand toward short-term instruments. Extending the maturity of emerging market debt may require reducing risk and reshaping investor incentives.

Risk Analysis for Islamic Banks

Van Greuning, Hennie; Iqbal, Zamir
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Português
Relevância na Pesquisa
46.5%
This publication provides a comprehensive overview of topics related to the assessment, analysis, and management of various types of risks in the field of Islamic banking. It is an attempt to provide a high-level framework (aimed at non-specialist executives) attuned to the current realities of changing economies and Islamic financial markets. The Islamic financial system is not limited to banking; it also covers capital formation, capital markets, and all types of financial intermediation and risk transfer. Islamic finance was practiced predominantly in the Muslim world throughout the middle ages, fostering trade and business activities with the development of credit. The growth of Islamic finance coincided with the current account surpluses of oil-exporting Islamic countries. The Middle East saw a mushrooming of small commercial banks competing for surplus funds. The Islamic Republics of Iran, Pakistan, and Sudan announced their intention to make their financial systems compliant with Shariah.

Risk-Based Supervision of Pension Funds : A Review of International Experience and Preliminary Assessment of the First Outcomes

Brunner, Gregory; Hinz, Richard; Rocha, Roberto
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
46.58%
This paper provides a review of the design and experience of risk-based pension fund supervision in several countries that have been leaders in the development of these methods. The utilization of risk-based methods originates primarily in the supervision of banks. In recent years it has increasingly been extended to other types of financial intermediaries including pension funds and insurers. The trend toward risk-based supervision of pensions is closely associated with movement toward the integration of pension supervision with that of banking and other financial services into a single national authority. Although similar in concept to the techniques developed in banking, the application to pension funds has required modifications, particularly for defined contribution funds that transfer investment risk to fund members. The countries examined provide a range of experiences that illustrate both the diversity of pension systems and approaches to risk-based supervision, but also a commonality of the focus on sound risk management and effective supervisory outcomes. The paper provides a description of pension supervision in Australia...

Coordinating Public Debt Management with Fiscal and Monetary Policies : An Analytical Framework

Togo, Eriko
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
66.57%
This paper proposes a sovereign asset and liability management framework for analyzing the inter-relationships between debt management, fiscal and monetary policies. It illustrates the consequences of uncoordinated policy mix and extends Sargent and Wallace (1981 and 1993) by including debt management. Examples of policy games played by fiscal, monetary, and debt management authorities reinforce the importance of policy separation and coordination to prevent domination by one authority over another which could lead to inconsistent policy mix.

Pakistan : Issues Related to the Government Securities Market and Government Debt Management

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
46.54%
The government of Pakistan borrows in the domestic market through a range of instruments, and this market is a critical source of funding for both shorter-term cash management and longer-term deficit-financing. The government has taken actions over the past 18 months that have enhanced the effectiveness of the market as a source of funding, as well as its efficiency. These include the movement toward more predictable, volume-based, market-determined pricing of government securities. Taking account of the dynamics of demand will be important as the government continues to develop its medium-term debt management strategy. Doing so will help identify potential constraints that may impede the implementation of the chosen strategy. Specific actions that the government is recommended to take include: a) reducing the number of tenors issued, b) consolidating the debt stock so as to improve liquidity in individual bonds, c) reducing time delays in auction processing, and d) developing and investor-relations function...

Government of Karnataka Public Financial Management Reform Action Plan, 2014, Volume 1. Main Report

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
66.53%
The main report comprises the following chapters: executive summary provides the overall view of the reform action plan. Chapter one outlines the background, scope and methodology for the study; chapter two outlines the overview of the state finances; chapter three describe the accomplishments made against the 2004 agreed PFMA action plan; chapter four provides an overview of the analysis, gaps and recommendations made in the study; chapter five describes the way forward for implementation of the action plan; annex one: PFM reform action plan - 2014 contains a thematic-wise plan outlining the actions to be taken, the responsible department for the actions, and the expected timeframe for completing the actions. The detailed analysis of the issues and the logic for the action plan are provided in the respective sections of the appendix; annex two: 2004 PFMA action plan, outlines the current status of action taken on 2004 PFMA action plan: this contains the action plan as proposed in the 2004 report, updated with the current status of actions in the identified areas. In case where the actions have been taken and completed by the Government of Karnataka...

IFC Financials and Projects 2014 : Big Challenges, Big Solutions

International Finance Corporation
Fonte: Washington, DC: World Bank Group Publicador: Washington, DC: World Bank Group
Português
Relevância na Pesquisa
46.53%
International Finance Corporation (IFC or the Corporation) is the largest global development institution focused on the private sector in developing countries. Established in 1956, IFC is owned by 184 member countries, a group that collectively determines its policies. IFC is a member of the World Bank Group (WBG)1 but is a legal entity separate and distinct from IBRD, IDA, MIGA, and ICSID, with its own Articles of Agreement, share capital, financial structure, management, and staff. Membership in IFC is open only to member countries of IBRD. At the 2013 Spring Meetings, the WBG adopted two ambitious goals: to end extreme poverty by 2030 and to boost shared prosperity for the poorest 40 percent in developing countries. At the Annual Meetings in October 2013, the Board of Governors approved the first strategy for the WBG focused on delivery of transformational solutions, marshaling combined resources more effectively, and accelerating collaboration with the private sector and our development partners. IFC s strategic focus areas are: strengthening the focus on frontier markets; addressing climate change and ensuring environmental and social sustainability; addressing constraints to private sector growth in infrastructure...

The Risk Management Balancing Act

International Finance Corporation
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
56.25%
The purpose of the report is to present the findings from IFC’s recent survey on risk and nonperforming loan management practices in financial institutions together with supporting benchmarks and global trends in risk management. Top tier financial institutions in their respective markets have participated in the survey, including 25 SME focused banks and 2 microfinance institutions in 18 countries (see Exhibit 1). The emphasis on credit risk in this report stems from credit risk being the largest risk taken by SME focused banks. The report aims to help emerging market financial institutions that participated in the survey: Better understand the current state of their risk management capabilities in credit risk, loan portfolio monitoring and nonperforming loan management. Be able to compare their current risk management capabilities in these areas with peers in emerging and developed markets. Provide a basis for identifying key areas where their risk management can be enhanced going forward.

Governance and Investment of Public Pension Assets : Practitioners' Perspectives

Rajkumar, Sudhir; Dorfman, Mark C.
Fonte: World Bank Publicador: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
Português
Relevância na Pesquisa
46.5%
The impact of good governance on investment management and performance is immense. Several key factors contribute to good governance within pension funds, appropriate governance structures; well-defined accountabilities, policies, and procedures; and suitable processes for the selection and operation of governing bodies and managing institutions. Not surprisingly, good governance requires leadership by individuals with the expertise, professionalism, and integrity to navigate a fund's direction and withstand pressures from multiple constituencies. In the current context of aging populations in many countries, fiscal burdens on pension funds are increasing. At the same time, the necessity of delivering on pension commitments in contributory schemes means that governance, transparency, and accountability should be of utmost importance to pension fund managers. With these concerns in mind, part three of this book provides useful perspectives from senior managers of public pension funds, international pension authorities...

Egyptian National Postal Organization : Review of Asset Management Operations

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Country Financial Accountability Assessment; Economic & Sector Work
Português
Relevância na Pesquisa
46.58%
This report presents the missions observations and recommendations. The mission has not been able to review the investment manual and current investment procedures as the relevant documents have not been yet forwarded by Egyptian National Postal Organization (ENPO) as requested. ENPO was established in 1865 and since its creation it has always had a clear mandate of public service that remains dominant until today despite the growing competitive pressures that the organization is facing in most of its markets. ENPO's activities center around two major categories: postal and other services, and financial services. Postal services include letters (regular and express mails) and parcels. Other services are public services, such as bills payments (telecom, car insurance, and taxes) and government services, including pension payment and government money orders. ENPO currently holds 18 million savings accounts, against 8 million for the rest of the banking sector, making it the first financial institution in the country in terms of number of accounts. In terms of deposits however...

The Heavenly Liquidity Twin : The Increasing Importance of Liquidity Risk

Montes-Negret, Fernando
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
46.59%
Liquidity and solvency have been called the "heavenly twins" of banking (Goodhart, Charles, 'Liquidity Risk Management', Financial Stability Review -- Special Issue on Liquidity, Banque de France, No. 11, February, 2008). Since these "twins" interact in complex ways, it is difficult -- particularly at times of crisis--to distinguish between them, especially in the presence of information asymmetries (Information asymmetry occurs when one party has more or better information than the other, creating an imbalance of power, giving rise to adverse selection and moral hazard ). An insolvent bank can be liquid or illiquid, and a solvent bank may be at times illiquid. In the latter case, insolvency is not far away, since banking is grounded in information and confidence, and it is confidence which in the end determines liquidity. In other words, liquidity is very much endogenous, determined by the general condition of a bank, as well as the perception of it by the public and market participants. Dealing with liquidity risk is more challenging than dealing with other risks...

IFC Annual Report 2009 : Creating Opportunity Where It's Needed Most, Volume 2. Financials, Projects, and Portfolio

International Finance Corporation
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: World Bank Annual Report
Português
Relevância na Pesquisa
46.45%
International Finance Corporation (IFC) is an international organization, established in 1956, to further economic growth in its developing member countries by promoting private sector development. IFC's principal investment products are loans and equity investments, with smaller debt securities and guarantee portfolios. IFC also plays a catalytic role in mobilizing additional funding from other investors and lenders, either through co financing or through loan participations, underwritings, and guarantees. In addition to project finance, corporate lending and resource mobilization, IFC offers an array of financial products and advisory services to private businesses in the developing world to increase their chances of success. It also advises governments on how to create an environment hospitable to the growth of private enterprise and foreign investment. IFC raises virtually all of the funds for its lending activities through the issuance of debt obligations in the international capital markets, while maintaining a small borrowing window with International Bank for Reconstruction and Development (IBRD). The management discussion and analysis contains forward looking statements which may be identified by such terms as 'anticipates...

Risk-based Supervision of Pension Funds : Emerging Practices and Challenges

Brunner, Greg; Hinz, Richard; Rocha, Roberto
Fonte: Washington, DC : World Bank Publicador: Washington, DC : World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
Português
Relevância na Pesquisa
46.61%
Risk-based supervision of pension funds grew out of a project that was jointly conducted by the World Bank and the International Organization of Pension Supervisors (IOPS). The project was initiated in response to the increasing interest in the development of innovative approaches to pension supervision from the member countries of both institutions. The volume provides an initial assessment of the development of risk-based supervision of pension funds in four countries that have been pioneering the development of risk-based supervision methods in various forms. The volume is comprised of a summary chapter and in-depth studies of the experience in four individual countries-Australia, Denmark, Mexico, and Netherlands. These four country studies were prepared by experts familiar with the systems in each of the countries. The studies have been edited by World Bank staff to ensure a consistent approach to the analysis of the various countries' systems. Models of risk-based supervision demonstrate the benefits of moving away from an approach based on strict compliance...

The Urban Development Investment Corporations (UDICs) in Chongqing, China

World Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: Other Urban Study
Português
Relevância na Pesquisa
46.58%
Urban Development Investment Corporations (UDICs) have over the years become the central pillar in the local government drive to build infrastructure in China, where local governments are not allowed to engage in direct market borrowing. UDICs were established during the early 1990s when local governments were under great pressure to both build municipal infrastructure and to reform the role of the government in infrastructure development. The UDIC model provided the local governments with a corporate government structure to borrow from the market and quickly develop infrastructure. They are treated as municipal corporations under the Company Law of the Peoples' Republic of China (PRC). The law does not clarify the relationship between UDICs and the local government, including the limits of the financial liability of the local governments vis-a-vis UDICs. The Government of China (GOC) agencies expect that the World Bank (WB) Technical Assistance Report (TAR), based on the detailed analysis of the financial operations of a selected UDIC in Chongqing...

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management

Delong, Lukasz
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.24%
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the applied strategy or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target is contingent and as a replicating portfolio for that liability/target. This is usually the case for capital-protected investments and performance-linked pay-offs. We give examples of pricing, hedging and portfolio management problems (asset-liability management problems) which could be investigated in the framework of time-delayed BSDEs. Our motivation comes from life insurance and we focus on participating contracts and variable annuities. We derive the corresponding time-delayed BSDEs and solve them explicitly or at least provide hints how to solve them numerically. We give a financial interpretation of the theoretical fact that a time-delayed BSDE may not have a solution or may have multiple solutions.

Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion

Zhao, Qian; Wei, Jiaqin; Wang, Rongming
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/04/2013 Português
Relevância na Pesquisa
76.37%
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. We consider a specific state-dependent risk aversion which depends on a power function of the liability. By solving a flow of FBSDEs with bivariate state process, we obtain the equilibrium strategy among all the open-loop controls for this time-inconsistent control problem. It shows that the equilibrium strategy is a feedback control of the liability.; Comment: 12 figures

Modelos determinísticos de gestão de ativo/passivo: uma aplicação no Brasil

Saad, Nicolas; Ribeiro, Celma O
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/04/2004 Português
Relevância na Pesquisa
66.53%
Este artigo apresenta uma aplicação de modelos de otimização do tipo Gestão Ativo/Passivo (Asset/ Liability Management ou ALM) no Brasil. Esses modelos, ao contrário dos modelos tradicionais de maximização de ganhos sujeitos a limitações de risco, buscam otimizar a aplicação de recursos de uma entidade, dadas as características de seus passivos. A idéia central do trabalho é aplicar e adaptar alguns dos modelos existentes de otimização de carteiras do tipo Asset/Liability Management, apresentados na literatura, à realidade brasileira. A aplicabilidade dos modelos será analisada com base em um plano de aposentadoria complementar pertencente a um Fundo Multipatrocinado.; This paper presents an application of Asset Liability Management (ALM) optimization models in Brazil. As opposed to traditional profit maximization models, which are subject to risk limitations, these models seek to optimize the riskreward relation.This paper aims to apply and adapt some existing asset/liability portfolio optimization models, presented in literature, to the Brazilian reality. Some concepts about Brazilian pension funds are discussed and the applicability of the models is analyzed on the basis of data from a Brazilian pension fund.