Luiz Carlos Jacob Perera

Modelo de otimização da gestão de risco em empresas não financeiras

This research presents an optimization model for risk management, through the development of a hedge strategy that maximizes the expected profit of a company. The model is based on the premise that a risk factor, besides affecting the results of the company, can also be correlated with future investment opportunities. The model incorporates the costs of an additional debt as well as the benefits of the availability of internal resources. The work is structured in the following way: (1) discussion of the theoretical aspects related to the theme of risk management in the context of the financial theory; (2) presentation of the methodology adopted for the development of the model; (3) derivation of the fundamental steps that guided the mathematical model, detaching the specifications of the important variables and the simulation mechanisms and (4) discussion of the main results of the hedge model, among which we highlight: increase in profit expectations, reduced uncertainty in relation to the investments, larger stability of investment and debt levels and smaller fluctuation of company results, due to lower financial risk levels.

Sustainable Practice and Business Profitability in Brazil

Expenditures relating to sustainability practices are still institutional options and they occur based on demands of shareholders, with the reflection of social expectations. Porter and Kramer (2006) claim that investments in social value creation should be viewed as long-term strategy of the company, not influencing their immediate financial results. The aim of this study was to identify, through analysis of selected economic and financial indicators, if significant variations of these indicators as a result of the certification of companies by the Corporate Sustainability Index (SRI), used as a proxy for sustainable practices. The methodology used was the study of event with accounting data. Data from three separate chronological series: before preparing for certification (implementation), pre-certification and post certification series. Data were obtained from the Economatica database and of CVM and the study followed the Quarterly Information (ITRs) of business for a period of five years. The main results indicate that the analyzed indices (ROA, ROE, ROS e EBTIDA) fit in the pre-certification and do not reveal significant changes in the period up to two years post-certification – thereby validating the assertion of Porter and Kramer (2006).

Building Brazilian Credit Derivatives Market

This paper discusses the Credit Derivatives Market perspectives in Brazil based on an empirical research aimed to evaluate the ability of financial market agents to deal with these instruments. The difficulties found by regulators and banking institutions to promote operations with Credit Derivatives in the domestic market are investigated through the use of a questionnaire with Likert scale to collect data which was analyzed using qualitative-quantitative methodology.

The role of IS Auditing in assurance services

This study investigates the role of IS auditor concerning the digital environment in the assurance services. The study has its relevance where the implications of abandonment of ISA 401 or suppression ISA 620 in auditing engagement particularly, when one reflects upon the current complexity from use of digital technologies and the questionings arising from the recent financial scandals. As a result, this phenomenon has challenged the knowledge, expertise and role of independent auditors, which is primarily aimed at ensuring the reliability of accounting information by asserting business transactions or events in terms of integrity, occurrence, accuracy, cutoff, classification and disclosure. The study toes the critical reality theories to in-depth investigate the role of IS audit in financial audit engagement team in this digital environment. Based on our analysis, the independent auditors need to rethink the neglect of ISA 401 and ISA 620 in order to ensure the true rule of quality of financial statement audit.

Concessão de crédito para empresas com divergência entre a contabilidade fiscal e societária no Brasil

Este trabalho reflete o estudo que foi desenvolvido para tentar solucionar um problema real. Em muitas empresas do setor de construcao, ha uma grande divergencia entre a contabilidade societaria e a contabilidade fiscal, isto porque o reconhecimento das receitas ocorre em momentos diferentes, gerando relatorios distintos. Nesta situacao, e possivel que, enquanto a contabilidade societaria apresente lucro, a fiscal apresente prejuizo, por reconhecer uma receita menor que os custos incorridos no periodo. Esta situacao se torna um problema quando a companhia precisa obter credito nas instituicoes financeiras, e estas, ao verificarem a disparidade entre a o resultado fiscal e societario, adotam uma posicao prudential conservadora e, considerando o resultado fiscal desfavoravel, negam o credito. A pesquisa desenvolvida foi exploratoria e o metodo qualitativo. Foram realizadas oito entrevistas em profundidade com gestores de credito de grandes corporacoes financeiras, escolhidas por conveniencia, devido a dificuldade de acesso a esses profissionais. A tecnica adotada para o tratamento dos dados foi a analise de conteudo, realizada com o apoio do software NVIVO. Apos a analise do material das entrevistas, que refletiu a opiniao dos gestores de credito, foi observada a necessidade de aperfeicoamento do modelo de analise de credito para as empresas classificadas no segmento Middle Market. A principal contribuicao desta pesquisa, para melhoria do modelo geral de analise de credito, foi a introducao, na fase de analise financeira, de um Bridge Report, relatorio que tem a finalidade de demonstrar a composicao e equalizacao das diferencas entre a contabilidade societaria e a fiscal, permitindo, assim, ao Gestor de Credito tomar uma decisao consciente sem o vies inicial.

Environmental performance of Brazilian companies: empirical evidence and implications for Latin America

The objective of this paper is to present a synoptic view of the environmental performance of non-financial Brazilian firms during the period from 2007 to 2012. The seven indicators (environmental management, adopted procedures, information and relationship policy, investments, use of natural resources, waste treatment and additional environmental action), cover a broad environmental spectrum. A major element of the study is to allow, from aggregated values, an overview of the evolution of the indicators in the market and in the sector. The originality of this work is ensured by three factors: 1) the database method, which was developed by the research team; 2) the creation of a benchmark, which made the prospective analysis of highly correlated indicators possible; 3) the possibility of analysis of the firms individually, using the seven indicators to highlight the outcomes of the environmental decisions underway.

Assessment of internal control systems to curb corporate fraud - evidence from Brazil

Prior studies concentrated on the misuse of accounting information systems and did not explore the effectiveness of internal control systems with a view to curb corporate frauds. This study abridged the aforementioned gap. The study rallied around the question of which procedures are deemed appropriate or not in the internal control procedures to mitigate the risks of fraud in organisations. We carried out an interpretative and critical analysis on the issue. Based on the aforementioned, we conclude that corruption and misappropriation of assets are frauds combated more efficiently and effectively with the complainants channel, mechanisms of internal control and rules of compliance; while frauds in financial statements usually linked to higher echelon are more appropriately mapped and traced by external auditors.

Ineffectiveness of compliance programmes in a changing environment – Brazilian experience

This paper discourses ineffectiveness of compliance programmes in a changing environment, drawing on dialogic theory and philosophy. Compliance is meant to assure the rule of law, principles and regulations that guide organisations’ operation. Our approach is built on existing critical inquiries introduced to derive principles through reflection upon phenomenon of non-compliant. We performed an archival research and also narrated on a single case of a practitioner of forensic investigation to guide discussion. Suffice it to say that ethics and compliance will always work hand in hand, while taking the tone at the top from the control environment as guidance for plain compliance. Noteworthy that non-exemplary penalty may be the only reason for non-compliance, non-enforcement may be one. We conclude that an effective compliance programme should have adequate design, oversight, reasonable person in forefront, operating and reporting, recording and timing, communicating and training, monitoring and evaluation, enforcement and right response.

Sustainability: Incorporating Social and Environmental Variables in the Analysis of Credit in Brazil

This work is aligned with the Equator Principles that are minimum criteria for granting of credit to ensure that the funded projects are developed in a socially and environmentally responsible way. The objective of this paper is to verify the relevance of social and environmental variables included in the credit analysis. The main results show the relevance of social and environmental variables for the improvement of credit score models. It might be inferred also that models should provide more robust results as the social and environmental variables are standardized and incorporated into the audited financial statements of companies.

Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents

This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents’ behavior in an artificial stock market. From the defining characteristics of heterogeneous agents, we set up an artificial stock market in which individuals interact, by demanding and supplying assets, driving the price of a stock to an equilibrium value. The results suggest that, under the assumption of utility maximizers agents with different expectations about future dividends, asset prices may under-react. The gradual change of prices observed in the sub-reaction confronts the efficient market hypothesis, in which all information is instantly