Renato Falci Villela Loures

Estimation of economic capital for operational risk in banking industry: a Brazilian case

This article presents an analysis for the estimation of economic capital concerning operational risk in a Brazilian banking industry case making use of Markov chains, Extreme Value Theory (EVT) and Peaks Over Threshold (POT) modelling. The findings denote that some existent methods present consistent results among institutions with similar characteristics of loss data.

Regulação e transparência: evidências a partir da crise do subprime

This article highlights the moment when the liquidity shock occurred in the period after the subprime crisis in the USA and has as the main objectives: (i) to build an index of informational transparency, taking into consideration both aspects of regulation and of self-disclosure; and (ii) to make a relation of this index with the stock market performance. This study considers large financial institutions from 25 countries divided in four groups of countries: developed, developing, BRIC, and PIGS. The findings denote that reducing the flexibility in the rules of supervision can lead to lesser vulnerability of the financial markets. In brief, the results found strengthen the idea that the regulation of the financial system is not neutral in macroeconomic terms.