Paulo Sergio Ceretta

Rentabilidade e eficiência no setor bancário brasileiro

The Brazilian banking network is being reached by the increasingly global changes. Data Envelopment Analysis was applied to measure the competition level through corporate performance among Brazilian banks. We used data about total owner capital, liability, total revenue, and semester output of 144 banks. Banks were divided into three groups: big, medium, and small-sized banks. BCG matrix approach was used to classify the several operational efficiency and profitability indicators. The results show big banks have the best performance and small banks the worst performance.

A comparison of Expected Shortfall estimation models

We investigate whether there is a pattern regarding the quality of several models and methods in expected shortfall (ES) estimation, considering distinct asset classes, estimation windows and significance levels. We use unconditional, conditional and quantile/expectile regression-based models. We assess the performance of the models using the usual ES backtest and a proposed test based on the dispersion truncated by VaR. A Monte Carlo experiment indicates that our test has more power than the usual tests. The empirical results emphasize several patterns, such as certain estimation models produce risk estimates more parsimonious than the others do. In addition, VaR estimation is important for ES estimation, once incorrect violation can lead to low p-values in the backtests. Moreover, small estimation windows lead to inferior ES estimation results, as well as there are distinctions in the results for different quantiles of interest. Regarding performance, there is a predominance of conditional models, especially those that respect the stylized facts of financial returns.

Shortfall Deviation Risk: An Alternative for Risk Measurement

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also introduce, contemplating two fundamental pillars of the risk concept, the probability of adverse events and the variability of an expectation, and considers extreme results. We demonstrate that SD is a generalized deviation measure, whereas SDR is a coherent risk measure. We achieve the dual representation of SDR, and we discuss issues such as its representation by a weighted ES, acceptance sets, convexity, continuity and the relationship with stochastic dominance. Illustrations with real and simulated data allow us to conclude that SDR offers greater protection in risk measurement compared with VaR and ES, especially in times of significant turbulence in riskier scenarios.

Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions

We compute VaR, CAViaR, ES and CARES from a serial dependence PCC structure.There is difference in dependence when distinct lagged influence is considered.We find absolute superiority of the proposed approach over traditional methods. In this paper, we use a serial dependence structure of financial assets based on pair-copula construction (PCC) to estimate risk measures in a very flexible way. This structure considers dependence with past observations isolating the effect for other lags, in a way that strengths the capacity for correct modeling. We present an algorithm to compute VaR, CAViaR, ES and CARES from this serial PCC structure. The results indicate that a considerable difference in dependence estimation is influenced by other lags. Such pattern is only observed through the proposed approach, and not by others usually considered both in academic and practical work. This pattern is consistent for returns and volatilities. Regarding the risk measures, the results indicate an absolute superiority of the approach used over two concurring, parametric ARMA-GARCH and non-parametric historical simulations.

Análise da satisfação dos usuários em um hospital universitário

Este e um estudo exploratorio descritivo de abordagem quantitativa cujo objetivo foi o de analisar o grau de satisfacao dos usuarios internados no pronto socorro de um hospital universitario da regiao central do Rio Grande do Sul. A amostra constituiu-se de 167 pacientes e a coleta de dados foi realizada no periodo de abril a outubro de 2011 por meio de questionario adaptado de Pena (2010). Os resultados permitem concluir que os usuarios estao satisfeitos com os servicos prestados pelas equipes de enfermagem, medica e de nutricao, e insatisfeitos com algumas variaveis relativas a insfraestrutura e ao ambiente do pronto socorro.

Individual and Flexible Expected Shortfall Backtesting

In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each individual VaR violation is significantly different from the ES. Moreover, we present a Monte Carlo simulation algorithm to determine the significance of the backtest. We provide an empirical illustration that demonstrates the advantages that our backtests provide, especially the fact that there is no need to wait for a whole backtest period in order to prove the prediction that the ES test is inefficient.

Risk Transmission Between Latin America Stock Markets and the US: Impacts of the 2007/2008 Crisis

The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle and Kroner (1995). The t-student distribution is employed as it can provide a best fit for financial data. In order to do this study, we will investigate four Latin America emerging capital markets (Brazil, Argentina, Chile and Mexico) and the United States, considering the period of the recent financial crisis of 2007/2008, analyzing before, during and after the crisis period. Our results show that before the crisis there is no evidence of volatility spillovers from the North American stock market to Latin American ones. During the crisis, there is evidence of volatility spillover effects on some countries. Brazil and Chile affect the US volatility and Argentina, Chile and Mexico are affected by the USs. After the crisis, the volatility of all Latin American stock markets affect and are affected by the US market. These results show an increase in spillover effects from a shock to US stock market to Latin American countries after the 2007/2008 financial crisis.

AVALIAÇÃO NÃO-PARAMÉTRICA DE DESEMPENHO DO SETOR BANCÁRIO BRASILEIRO

O presente estudo apresenta uma contribuicao a avaliacao do desempenho economico e financeiro dos 50 (cinquenta) maiores bancos que atuam no Brasil, por meio da Analise Envoltoria de Dados (DEA), aplicada as Demonstracoes Contabeis e a outros dados relevantes, explorando as suas vantagens. Essa ferramenta determina a eficiencia relativa de cada unidade em analise, comparando-a com as demais. O modelo DEA usado leva em conta os retornos de escala, atraves da comparacao de cada empresa com as que operam em escala semelhante. Sabe-se que os principais fatores de analise sao aqueles que trazem vantagem competitiva para as empresas, ou seja, sao os fatores que precisam estar representados nas medidas de desempenho, pois os competidores que melhor se comportarem em relacao a estes fatores terao maiores chances de sucesso. So e possivel determinar se uma empresa e eficiente ou nao, pela comparacao de seu desempenho com o de seus concorrentes. Segundo Schmidt (2003), toda empresa possui um sistema de medicao de desempenho, por mais rustico que seja. Os sistemas geralmente compreendem um conjunto de indicadores e relatorios que a empresa utiliza para saber como esta evoluindo. Modelos ou sistemas de medicao, atualmente, sao classificados como sistemas integrados de medicao de desempenho. Na maioria das vezes, tais sistemas sao criados como parte de sistemas de gerenciamento estrategico para empresas especificas, ou propostos por estudiosos do assunto. Efetivamente, nao existe nenhuma receita para escolher os melhores indicadores. Dependendo do objetivo que se quer alcancar, o indicador pode ser financeiro ou nao-financeiro. Os indices da analise de balancos sao muitos, porem as empresas ou instituicoes utilizam apenas aqueles que, julgam seus administradores, trazem informacoes uteis e suficientes para as tomadas de decisoes. A partir da definicao de quais indices serao calculados, a estatistica e a historia dos mesmos se da pela tecnica da analise comparativa. Porem, segundo Reis (2003), alguns autores estao comecando a contestar a validade das interpretacoes tradicionais de alguns indices da analise de balancos. Para que o analista julgue se a situacao examinada pode ou nao ser considerada normal, e importante que ele conheca o comportamento de outras empresas do mesmo ramo. Essa exigencia aumenta a responsabilidade de quem define os indicadores para avaliacao do desempenho empresarial, mas, ao mesmo tempo, abre horizontes para o uso da criatividade, ja que, nao existindo empresas iguais, tambem nao existem indicadores que possam ser utilizados com sucesso em mais de uma organizacao ou segmento empresarial. A maioria dos autores, estudiosos das demonstracoes contabeis, reconhece que a tecnica da analise financeira e de balancos tradicional nao evoluiu na mesma proporcao da exigencia do mercado, mostrando-se ineficiente as necessidades atuais, exigindo que se busquem outros dados complementares para melhor orientar os usuarios dessas informacoes no momento da tomada de decisao.

Long-Run Relationship Among Latin America Stock Markets and the US - Impacts of the 2007/2008 Crisis

The 2007-2008 subprime crisis has raised once more the interest on international market integration. Empirical studies show that the comovement patterns of national stock markets change significantly after major economic events like crises. The aim of this paper is to investigate the potential time-varying behavior of long-run stock market relationships among Latin American countries and the United States employing the Engle-Granger methodology. In order to do that, we will investigate four Latin America emerging capital markets (Brazil, Argentina, Chile and Mexico) and the United States, considering the period of the recent financial crisis of 2007/2008, testing for cointegration before, during and after the crisis period. Our results show that Latin American equity markets seem to respond differently to shocks in the US stock markets in the long-run. This information provides evidence that, for international diversification, each country should be analyzed individually. Analyzing Latin America as a group could lead to mistaken conclusions about international diversification opportunities.

Efeito da crise de 2007/2008 na transmissão internacional de volatilidade no mercado de capitais brasileiro

With the increasing globalization of world, financial markets around the world began to show further integration. This relationship between markets has implications as a term that has attracted the attention of professionals and academics, the transmission of volatility. Thus, this work has as scope to analyze the transmission of volatility in the Brazilian market. For that, we used a multivariate Garch model with BEKK parameterization. Based on this model, we estimated the bilavariate relationships between the Brazilian market, represented by the Bovespa index, and the U.S. markets, Argentine, Mexican and Chinese, also with outcome approached by representative indexes of January, 4 of 2000 to march, 30 of 2010, totaling 2667 observations. The sample was divided into three parts, representing the periods of before, during and after the sub-prime crisis of 2007/2008. The results allow concluding that during the 2008 crisis , in general, there was a change in the direction of the volatility transmission between Brazilian market and the others studied , with Brazil passing to exercise greater influence, because it suffered less consequence due to the financial crisis . Moreover , after the period of turmoil caused by the crisis of 2008 , the relationship between the volatility of the Brazilian market with the rest became less asymmetric than in the period before the crisis.