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Regulação Bancária: Relação entre Rácios de Solvabilidade e Carteiras de Activos

Barbudo, João Luís Lopes
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /09/2011 Português
Relevância na Pesquisa
46.58%
Mestrado em Economia Monetária e Financeira; Os rácios de solvabilidade representam uma das vertentes mais importantes da regulação bancária, permitindo às instituições financeiras transparecer credibilidade. Neste sentido, os bancos quando são obrigados a aumentar os rácios de solvabilidade, não só para cumprirem com o estipulado nos Acordos de Basileia, mas também para passarem nos testes de stress, podem-no fazer por duas vias. O primeiro caminho passa pelo aumento do rácio através de um aumento do seu numerador, ou seja, através de um aumento de capital. A segunda via passa pela diminuição do denominador do rácio, através da diminuição da ponderação do risco nos activos. Com efeito, o objectivo deste trabalho é analisar esta segunda via, onde se testa se os rácios de solvabilidade dos bancos portugueses influenciam a escolha da carteira de activos. É possível concluir que: (i) os bancos com pouca capacidade de capital tendem a alterar a sua carteira de activos; (ii) os bancos preferem diminuir os activos com maior ponderação de risco, nomeadamente os empréstimos concedidos.; The capital ratios represent one of the most important aspects of banking regulation, allowing financial institutions to look through credibility. In this sense...

Parametric portfolio policies: An application for a global tactical asset allocation model

Barahona, Ricardo Manuel de Sousa Machado Calvente de
Fonte: NSBE - UNL Publicador: NSBE - UNL
Tipo: Dissertação de Mestrado
Publicado em /06/2012 Português
Relevância na Pesquisa
36.8%
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics; Despite the extensive literature on the predictability of asset class returns and its economic significance, it is common for many asset managers to implement portfolio models built around active management within an asset class, while generally having passive allocations to each asset class based on the risk profile of the investor. We can exploit some of the predictability by using information on economic factors and momentum that explain broad asset class moves through a parametric portfolio approach introduced by Brandt, Santa-Clara and Valkanov (2009). I obtain significant improvements over fixed allocations and Markowitz optimal portfolios, even when applying significant restrictions.

Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

Didier, Tatiana; Rigobon, Roberto; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
37.02%
This paper studies how portfolios with a global investment scope are allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.

The Current Account as A Dynamic Portfolio Choice Problem

Didier, Tatiana; Lowenkron, Alexandre
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
37.03%
The current account can be understood as the outcome of investment decisions made by domestic and foreign investors. These decisions can be decomposed into a portfolio rebalancing and a portfolio growth component. This paper provides empirical evidence of the importance of portfolio rebalancing for the dynamics of the current account. The authors evaluate the predictions of a partial-equilibrium model of the current account with dynamic portfolio choices, in which portfolio rebalancing is driven by changes in investment opportunities. Using data for the United States and Japan, the authors find evidence supporting innovations in investment opportunities as an important mechanism to explain international capital flows.

Bank Privatization in Sub-Saharan Africa : The Case of Uganda Commercial Bank

Clarke, George R.G.; Cull, Robert; Fuchs, Michael
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.82%
Previous empirical analyses have found that bank privatizations are more successful when the government fully relinquishes control, when the bank is privatized to a strategic investor, and when foreign-owned banks are allowed to participate in the bidding. The privatization of Uganda Commercial Bank (UCB) to the South African bank Stanbic met all these criteria, suggesting that it is a likely candidate for success. But other features suggest reasons for caution: UCB dominated the Ugandan banking sector prior to privatization and the institutional environment in Uganda was less favorable than in many of the middle-income countries looked at in earlier empirical studies. Despite these concerns, the privatization appears to have been relatively successful. The portfolio of the privatized bank, which was cleaned prior to sale, remains relatively strong and profitability and credit growth are now on par with other Ugandan banks. Though market segmentation remains a concern since Stanbic faces little or no direct competition in many remote areas...

International Asset Allocations and Capital Flows : The Benchmark Effect

Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
37.07%
This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows...

Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds

Pedraza Morales, Alvaro
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
Relevância na Pesquisa
37.02%
This paper studies the portfolio choice of strategic fund managers in the presence of a peer-based underperformance penalty. Evidence is taken from the Colombian pension fund management industry, where six asset managers are in charge of portfolio allocation for the mandatory contributions of the working population. These managers are subject to a peer-based underperformance penalty, known as the Minimum Return Guarantee. The trading behavior by the managers is studied before and after a change in the strictness of the guarantee in June 2007. The evidence suggests that a tighter minimum return guarantee results in more trading in the direction of peers, a behavior that is more pronounced for underperforming managers. These managers rebalance their portfolios by buying securities in which they are underexposed relative to their peers, as opposed to selling assets in which they are overexposed. Overall, the results suggest that incentives for managers to be close to industry benchmarks play an important role in the portfolio allocation of these funds.

Asset Price Effects of Peer Benchmarking

Acharya, Sushant; Pedraza, Alvaro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
36.97%
This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.

The impact of changes of capital regulations on bank capital and portfolio risk decision: a case study of Indonesian banks.

Derina, Ratna
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2011 Português
Relevância na Pesquisa
47.05%
Research Objectives: This thesis studied bank risk taking behaviour with regards to capital and asset portfolio adjustments. It also evaluated the impact of economic uncertainty and capital regulations on banks’ risk taking behaviour. There were two objectives of this thesis. The first objective was to investigate the impact of adverse shocks in the economy on a bank’s decisions regarding capital and asset portfolio management. The second objective was to examine the interrelationship between decisions on capital and asset portfolios. Further, the impact of economic uncertainty and changes in capital regulations on this relationship was also examined. This thesis was motivated by several issues. First, even though supervisory authorities and banks are aware of the importance of capital in the prevention of bank failures, empirical studies are inconclusive on the effectiveness of capital regulations in controlling bank risk taking behaviour. Second, the contradictory conclusions in current literature regarding the effectiveness of capital regulations in controlling bank risk taking attitudes do not incorporate economic shocks. Therefore, the existing studies do not examine the impact of economic uncertainty on capital and portfolio risk decisions...

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
36.95%
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...

Using an Asset-Based Approach to Identify Drivers of Sustainable Rural Growth and Poverty Reduction in Central America: A Conceptual Framework

Siegel, Paul B.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
46.58%
The asset-based approach considers links between households' productive, social, and locational assets; the policy, institutional, and risk context; household behavior as expressed in livelihood strategies; and well-being outcomes. For sustainable poverty reducing growth, it is critical to examine household asset portfolios and understand how assets interact with the context to influence the selection of livelihood strategies, which in turn determine well-being. Policy reforms can change the context and income-generating potential of assets. Investments can add new assets or increase the efficiency of existing household assets, and also improve households' risk management capacity to protect assets. After all is said and done, a household's asset portfolio will determine whether growth and poverty reduction can be achieved and sustained over time. The asset-based framework is amendable to different analytical techniques. Siegel suggests combining quantitative and qualitative spatial and household level analyses (and linked spatial and household level analyses) to deepen understanding of the complex relationships between assets, context, livelihood strategies, and well-being outcomes.

IFC Annual Report 2010 : Where Innovation Meets Impact, Volume 2. IFC Financials, Projects, and Portfolio 2010; Rapport annuel d'IFC 2010 : lieu de renconte entre innovation et impact Relatorio anual da IFC 2010 : quando a inovacao encontra o impacto Informe anual de IFC 2010 : donde la innovacion produce un impacto

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
36.94%
More than 200 million people in the developing world were out of work this year. Over 1 billion are hungry, while millions more are confronting the threat that climate change poses. The United Nations estimates that 884 million people don't have safe drinking water and more than 2.6 billion people lack basic sanitation. The population of the developing world will expand by a third over the next four decades, growth that will strain already weak infrastructure. In this environment, International Finance Corporation (IFC) is innovating to create opportunity where it's needed most. IFC committed a record $18 billion in fiscal year 2010, $12.7 billion of which was for own account. We invested in 528 projects, an 18 percent increase from FY09. Advisory Services portfolio comprised 736 active projects valued at more than $850 million, with annual expenditures totaling $268 million. Countries served by the International Development Association, or IDA, accounted for nearly half our investments 255 projects totaling $4.9 billion and more than 60 percent of Advisory Services expenditures. Sub-Saharan Africa accounted for 19 percent of our investment commitments and 25 percent of Advisory Services expenditures. The invested a record $1.64 billion in clean energy...

IFC Annual Report 2008 : Creating Opportunity, Volume 2. IFC 2008 Financials, Projects, and Portfolio; Crear oportunidades : informe annual report 2008 Criacao de oportunidades : velatorio anual 2008 Creer des opportunites : rapport annuel 2008

International Finance Corporation
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Publications & Research :: World Bank Annual Report; Publications & Research :: Publication
Português
Relevância na Pesquisa
46.95%
The International Finance Corporation (IFC) annual report continues an approach pioneered last year, combining information on the investments and advisory services, sustainability, development effectiveness, and donor partnerships. The report covers fiscal 2008 (July 1, 2007, through June 30, 2008) and discusses the year's new business as well as the performance and development results of the portfolio. In FY08, new investments totaled $16.2 billion, rising 34 percent from the previous year. The IFC seeks to enhance the accountability and to articulate the vision, core corporate values, purpose, and the way the IFC works for a wide range of stakeholders: client companies, governments, partners, local communities affected by the activities, advocacy organizations, investors, and the staff.

Principles of Financial Regulation : A Dynamic Portfolio Approach

Stiglitz, Joseph E.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Journal Article; Publications & Research :: Journal Article; Publications & Research
Português
Relevância na Pesquisa
46.87%
Economists seeking explanations for the global financial crisis of 1997-99 are reaching consensus that a major factor was weak financial institutions, which resulted in part from inadequate government regulations. At the same time many developing countries are struggling with an overregulated financial system-one that stifles innovation and the flow of credit to new entrepreneurs and that can stunt the growth of well-established firms. In particular, too many countries are relying excessively on capital adequacy standards, which are inefficient and sometimes counterproductive. The author argues that financial systems can be reformed successfully using a 'dynamic portfolio approach' aimed at managing the incentives and constraints that affect not only financial institutions exposure to risk but also their ability to cope with it. The article sets out general principles of financial regulation and shows how the dynamic portfolio approach can help countries deal with the special problems that arise during the transition to a more liberalized economy as well as those that arise in dealing with a financial crisis similar to the 1997 crisis in East Asia.

Diversification in multi-asset portfolios in the context of the chinese real estate and stock market

Di, Tang
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2014 Português
Relevância na Pesquisa
56.58%
Mestrado em Finanças; This study uses a single index model to examine the correlation between Chinese real estate and the stock market. The real estate market is reflected by 3 years' monthly data of 13 listed real estate companies and the stock market is represented by Shanghai Composite index and Shenzhen Component index. According to the analysis, it is found that the correlation between the real estate and the stock market is in fact very low, and thus real estate is a good option for diversification is a multi-asset portfolio.

Regulação bancária : relação entre rácios de solvabilidade e carteiras de activos

Barbudo, João Luís Lopes
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2011 Português
Relevância na Pesquisa
46.58%
Mestrado em Economia Monetária e Financeira; Os rácios de solvabilidade representam uma das vertentes mais importantes da regulação bancária, permitindo às instituições financeiras transparecer credibilidade. Neste sentido, os bancos quando são obrigados a aumentar os rácios de solvabilidade, não só para cumprirem com o estipulado nos Acordos de Basileia, mas também para passarem nos testes de stress, podem-no fazer por duas vias. O primeiro caminho passa pelo aumento do rácio através de um aumento do seu numerador, ou seja, através de um aumento de capital. A segunda via passa pela diminuição do denominador do rácio, através da diminuição da ponderação do risco nos activos. Com efeito, o objectivo deste trabalho é analisar esta segunda via, onde se testa se os rácios de solvabilidade dos bancos portugueses influenciam a escolha da carteira de activos. É possível concluir que: (i) os bancos com pouca capacidade de capital tendem a alterar a sua carteira de activos; (ii) os bancos preferem diminuir os activos com maior ponderação de risco, nomeadamente os empréstimos concedidos.; The capital ratios represent one of the most important aspects of banking regulation, allowing financial institutions to look through credibility. In this sense...

A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.86%
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.; Comment: 38 pages...

Smooth solutions to portfolio liquidation problems under price-sensitive market impact

Graewe, Paulwin; Horst, Ulrich; Séré, Eric
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.29%
We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark pool. Our framework is flexible enough to allow for price-dependent impact functions describing the trading costs in the primary market and price-dependent adverse selection costs associated with dark pool trading. We prove that the value function can be characterized in terms of the unique smooth solution to a PDE with singular terminal value, establish its explicit asymptotic behavior at the terminal time, and give the optimal trading strategy in feedback form.

Correlated multi-asset portfolio optimisation with transaction cost

Law, Siu Lung; Lee, Chiu Fan; Howison, Sam; Dewynne, Jeff N.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.48%
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Model.; Comment: Manuscript completely rewritten

Essays on Household Portfolio Choice

Addoum, Jawad M.
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2012 Português
Relevância na Pesquisa
36.85%

This dissertation consists of two essays on household portfolio choice. The first essay is entitled 'Household Portfolio Choice and Retirement'. In this first essay, I empirically examine the portfolio decisions of households as they transition into retirement. I document a novel stylized fact: holding household characteristics constant, singles maintain a relatively constant share of risky assets in their financial portfolios as they transition into retirement. On the other hand, couples decrease their share of risky assets significantly. I analyze this difference in behavior, and show that it is not driven by retirement-related background risks for couples relative to singles. Instead, I show that the heterogeneity within couples can be explained by the within-couple difference in spouses' individual risk aversion levels, and that the results are consistent with a net increase in couples' effective household-level risk aversion after retirement. Further, exploiting heterogeneity in couples' relative retirement dates, I show that husbands' and wives' respective retirement events are associated with very different (opposite-signed) persistent effects on the risky share of couples' portfolios. Moreover, I show that the relative magnitude of these persistent effects is consistent with the importance of each spouse's labor income within the household before retirement. Overall...