Roberto Borges Kerr

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.

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.

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

The Recursive Partitioning Algorithm (RPA): A Nonparametric Classification System

Leo Breiman (Breiman et al., 1984, 1998) was a statistician who was fond of practical applications, and this led him to develop several original studies. Based on the work begun by Friedman (1977), he developed a very accurate classification system, without the need for statistical assumptions, since it is a nonparametric methodology. The aim of this study is to present the work of Breiman known as the Recursive Partitioning Algorithm. The RPA will be introduced as a nonparametric approach to credit analysis, allowing for the incorporation of the costs of misclassifications. Several studies, such as Novak and LaDue (1999) and Marais, Patais and Wolfson (1984), have shown its applicability in the analysis and granting of credit. A long road has been traveled from the early work of Friedman (1977) to the CART model developed by Steinberg and Golovnya (2006). This paper – apart from presenting the fundamentals and possibilities for use of the RPA – seeks to show the effectiveness of the results attained through a comparison with a parametric model, the Discriminant Analysis, considered the most traditional and classical method of analysis. The results show the RPA to be a superior technique, as well as a technique of easy intuition by analysts. The conclusion of the paper confirms that the RPA system – little known and discussed by academics and market professionals – is a powerful classificatory tool, with the advantage of being nonparametric.

Derivatives and Financial Crisis: The Costs of Speculation in Brazil (Aracruz and Sadia)

This study aimed to verify the speculation costs incurred by Aracruz and Sadia due to their high degree of leverage with derivative instruments. The main results evidenced agency problems, with disproportionate investments in hedge transactions. Faced with a sudden appreciation of the US dollar, resulting from the exacerbation of the global financial crisis, the firms took heavy financial losses of R

RIPASA: venda e ajuste com minoritários

4.7 billion reais for Aracruz and R

Investing in Clean Development Mechanism (CDM) Projects in Brazil

2.6 billions for Sadia. Investors witnessed Sadia and Aracruz shares end 2008 down about 70% against 28% of the market index.

Desenvolvimento Sustentável e Insolvência: Um Estudo de Empresas Brasileiras

In 2004, the Zogbi, Derani and Zarzur [ZDZ] holding began negotiations to sell control of Ripasa, an attractive growth opportunity for its competitors which would not alter the market equilibrium. National and international competitors will dispute this crown jewel, the smallest of the big cellulose and paper companies. The Ripasa Case is a detailed description of a real business situation, the acquisition of the control of Ripasa by Votorantim Celulose e Papel [VCP] and Suzano Bahia Sul, two competing companies that joined forces in a strategic alliance designed as a consortium to acquire the control of Ripasa. The Case analyzes the acquisition process and the complex agreement with minority stockholders. The main question under discussion is the price to be paid to the minority stockholders. The situation became more complex due to the ambiguity of Ripasa´s Social Statute, which allowed for more than one interpretation on the tag along rights and caused a conflict between agencies. The acquiring companies decided not to take into consideration the best practices of Corporate Governance, aggravating the problem and delaying a final agreement for eighteen months.