Biblioteca Digital

O presente trabalho tem o objetivo de estudar as razões da ocorrência de tantas crises de endividamento ao longo da história. Para tal análise serão observados os fatores comuns que ocorrem nas economias antes e depois de efetuarem um default na sua dívida soberana. Em seguida será traçado um paralelo para verificar se esses fatores comuns estavam presentes na conjuntura econômica brasileira nos episódios de default externo e interno selecionados.; The purpose of this paper is to study the reasons for the occurrence of so many debt crisis throughout history. To analyze this it will be observed the common factors that occurs in the economies before and after they default on their sovereign debts. Then a link will be traced to check if these common factors were present in the Brazilian economy in the selected episodes of internal and external defaults.

Mestrado em Matemática Financeira; In the aftermath of the subprime crisis, the main purpose of this thesis is to as-sess the default dependency among firms, studying the case of four US financial institutions in two periods of time: before and during the crisis. The methodology followed is based on conditional copula models, which provides a set of global and tail dependency measures, beyond the linear correlation widely misused in financial problems. For this purpose, we use CDS (credit default swap) data to estimate the copulas, that are assumed to be a proxy for default closeness, as they reflect the credit risk of the institutions. As far as we know, this is a novelty of the present analysis. The usual practice is to use equity returns, which are incomplete and more indirect indicators of defaults. The procedures are carried out in two steps. First, we model the individual dynamics for defaults closeness, by using ARMA-GARCH specifications applied to CDS spreads variations and assuming t-distributed innova¬tions (to capture the extreme observations). Then, we fit a set of copula functions to the standardised residuals of the marginal distributions. The best specifications for the characterisation of the dependency structure are different for the two sub-periods analysed...

Defaults often have a large influence on consumer decisions. We identify an overlooked but practical alternative to defaults: requiring individuals to make an explicit choice for themselves. We study such “active decisions” in the context of 401(k) saving. We find that compelling new hires to make active decisions about 401(k) enrollment raises the initial fraction that enroll by 28 percentage points relative to a standard opt-in enrollment procedure, producing a savings distribution three months after hire that would take 30 months to achieve under standard enrollment. We also present a model of 401(k) enrollment and derive conditions under which the optimal enrollment regime is automatic enrollment (i.e., default enrollment), standard enrollment (i.e., default non-enrollment), or active decisions (i.e., no default and compulsory choice). Active decisions are optimal when consumers have a strong propensity to procrastinate and savings preferences are highly heterogeneous. Financial illiteracy, however, favors default enrollment over active decision enrollment.

The term “optimal defaults” refers to imparting pre-selected choices which are designed to produce a desired behavior change. The concept is attractive to policymakers because it steers people toward desirable behaviors while preserving free choice through the ability to opt out. It has been found to be a powerful behavioral determinant in areas such as pension plan enrollment, organ donation, and green energy utilization. We discuss how optimal defaults can be applied to pediatric obesity prevention in several domains including public policy, institutional, private sector, and home environment. Although there are obstacles to overcome in implementing optimal defaults, it is a promising component to incorporate in a multi-level strategy for preventing pediatric obesity.

Defaults often have a large influence on consumer decisions. We identify an overlooked but practical alternative to defaults: requiring individuals to make an explicit choice for themselves. We study such “active decisions” in the context of 401(k) saving. We find that compelling new hires to make active decisions about 401(k) enrollment raises the initial fraction that enroll by 28 percentage points relative to a standard opt-in enrollment procedure, producing a savings distribution three months after hire that would take 30 months to achieve under standard enrollment. We also present a model of 401(k) enrollment and derive conditions under which the optimal enrollment regime is automatic enrollment (i.e., default enrollment), standard enrollment (i.e., default non-enrollment), or active decisions (i.e., no default and compulsory choice). Active decisions are optimal when consumers have a strong propensity to procrastinate and savings preferences are highly heterogeneous. Financial illiteracy, however, favors default enrollment over active decision enrollment.; Economics

Inspired by the success of “automatic enrollment” in increasing participation in defined contribution retirement savings plans, policymakers have put similar policy defaults in place in a variety of other contexts, from checking account overdraft coverage to home-mortgage escrows. Internet privacy appears poised to be the next arena. But how broadly applicable are the results obtained in the retirement savings context? Evidence from other contexts indicates two problems with this approach: the defaults put in place by the law are not always sticky, and the people who opt out may be those who would benefit the most from the default. Examining the new default for consumer checking account overdraft coverage reveals that firms can systematically undermine each of the mechanisms that might otherwise operate to make defaults sticky. Comparing the retirement-savings default to the overdraft default, four boundary conditions on the use of defaults as a policy tool are apparent: policy defaults will not be sticky when (1) motivated firms oppose them, (2) these firms have access to the consumer, (3) consumers find the decision environment confusing, and (4) consumer preferences are uncertain. Due to constitutional and institutional constraints...

This paper uses model averaging techniques to identify robust predictors of sovereign default episodes on a pooled database for 46 emerging economies over the period 1980-2004. Sovereign default episodes are defined according to Standard & Poor s or by non-concessional International Monetary Fund loans in excess of 100 percent of the country s quota. The authors find that, in addition to the level of indebtedness, the quality of policies and institutions is the best predictor of default episodes in emerging market countries with relatively low levels of external debt. For emerging market countries with a higher level of debt, macroeconomic stability plays a robust role in explaining differences in default probabilities. The paper provides evidence that model averaging can improve out-of-sample prediction of sovereign defaults, and draws policy conclusions for the current crisis based on the results.

This paper uses a large cross-country dataset to empirically examine factors associated with sovereign defaults on external private creditors and expropriation of foreign direct investments in developing countries since the 1970s. In the long run, sovereign defaults and expropriations are likely to occur in the same countries. In the short run, however, these events are uncorrelated. Defaults are more likely to occur following periods of rapid debt accumulation, when growth is low, and in countries with weak policy performance, and defaults are not strongly persistent over time. In contrast, expropriations are not systematically related to the level of foreign direct investment, to growth, or to policy performance. Expropriations are however less likely under right-wing governments, and are strongly persistent over time. There is also little evidence that a history of recent defaults is associated with expropriations, and vice versa. The paper discusses the implications of these findings for models that emphasize retaliation as means for sustaining sovereign borrowing and foreign investment in equilibrium...

This paper studies the credit market implications and real effects of one the largest borrower bailout programs in history, enacted by the government of India against the backdrop of the 2008-2009 financial crisis. The study finds that the stimulus program had no effect on productivity, wages, or consumption, but led to significant changes in credit allocation and an increase in defaults. Post-program loan performance declines faster in districts with greater exposure to the program, an effect that is not driven by greater risk-taking of banks. Loan defaults become significantly more sensitive to the electoral cycle after the program, suggesting the anticipation of future credit market interventions as an important channel through which moral hazard in loan repayment is intensified.

Microfinance Investment Vehicles (MIVs) in 2010 are confronting the most challenging investment environment since the 1990s. Over the past two years, microfinance investors witnessed a handful of debt defaults and a major slowdown in demand for capital from microfinance institutions (MFIs) a sharp contrast after the heady market growth experienced in previous years. However, MIVs continue to grow and earn positive returns. This brief presents the major trends within the MIV sector to emerge from this year's Consultative Group to Assist The Poorest (CGAP) MIV survey, powered by Symbiotic. It also highlights the growing commitment among MIVs to sound environment, social, and governance (ESG) practices. The last section discusses MIV challenges and prospects.

Sovereign credit ratings play an important part in determining countries' access to international capital markets and the terms of that access. In principle, there is no reason to expect that sovereign credit ratings should systematically predict currency crises. In practice, in emerging market economies there is a strong link between currency crises and default. Hence if credit ratings are forward-looking and currency crises in emerging market economies are linked to defaults, it follows that downgrades in credit ratings should systematically precede currency crises. This article presents results suggesting that sovereign credit ratings systematically fail to predict currency crises but do considerably better in predicting defaults. Downgrades in credit ratings usually follow currency crises, possibly suggesting that currency instability increases the risk of default.

Subnational insolvency is a reoccurring event in development, as demonstrated by historical and modern episodes of subnational defaults in both developed and developing countries. Insolvency procedures become more important as countries decentralize expenditure, taxation, and borrowing, and broaden subnational credit markets. As the first cross-country survey of procedures to resolve subnational financial distress, this paper has particular relevance for decentralizing countries. The authors explain central features and variations of subnational insolvency mechanisms across countries. They identify judicial, administrative, and hybrid procedures, and show how entry point and political factors drive their design. Like private insolvency law, subnational insolvency procedures predictably allocate default risk, while providing breathing space for orderly debt restructuring and fiscal adjustment. Policymakers' desire to mitigate the tension between creditor rights and the need to maintain essential public services...

Both formal, and informal loans matter in agriculture. But formal lenders provide much more in production lending, than do informal lenders, often at a higher cost than what they can recover. The Agricultural Development Bank of Pakistan (ADBP), for example, providing about 90 percent of formal loans in rural areas, incurs high costs on loan defaults. Like other governments, the Government of Pakistan subsidized the formal scheme on the grounds that lending to agriculture is a high-risk activity, because of covariate risk. Because farm credit schemes are subsidized, policymakers must know if these schemes are worth supporting. Using recent data from a large household survey from rural Pakistan, the authors estimate the cost-effectiveness of the ADBP loans. To estimate credit's impact, they use a two-stage method, which takes into account the endogeneity of borrowing. Clearly, formal lenders are biased toward larger farmers with collateral. Large landowners, who tend to represent only four percent of rural households, get 42 percent of formal loans. Landless, and subsistence farmers, who represent more than 69 percent of rural households, receive only 23 percent of formal loans. ADBP loans improve household welfare but, although large farmers receive most of ADBP finance...

The commercial mortgage backed securities ("CMBS") market has become a major source of real estate financing over the last 10-12 years. The growth of this market has been accompanied by strong real estate fundamentals. Consequently the collateral in the CMBS pools has not seen a major real estate recession till now. The loss assumptions used by market participants is based on the experience of banks and insurance companies ("Portfolio Lenders"). As the underwriting criteria and the collateral quality in the CMBS market is markedly different than that of the Portfolio Lenders', it can be assumed that the loss experience is going to be different as well. The loss experience for a portfolio is determined by two main factors, the frequency of defaults (or delinquencies) in the pool and the actual severity of loss on the defaulted loans. Each defaulted loan in a pool represents loss severity and eventual yield degradation. As Real Estate is a lagging indicator, historically, every economic downturn has been followed by a surge in default rates. The recession of 2001-03, which appears to be no different from its predecessors, is also indicative of possible rising commercial mortgage default rates. With further alleviating political risks and no signs of economic recovery in sight...

We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scenario, the formula can be interpreted as a Radon-Nikodym derivative of random measures. The contagion risks are studied in the multi-defaults setting where we consider the optimal investment problem in a contagion risk model and show that the optimization can be effectuated in a recursive manner with respect to the default-free filtration.

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modeled by a conditional density hypothesis. In this Ito-jump process model, we give a decomposition of the corresponding stochastic control problem into stochastic control problems in the default-free filtration, which are determined in a backward induction. The dynamic programming method leads to a backward recursive system of quadratic backward stochastic differential equations (BSDEs) in Brownian filtration, and our main result proves, under fairly general conditions, the existence and uniqueness of a solution to this system, which characterizes explicitly the value function and optimal strategies to the optimal investment problem. We illustrate our solutions approach with some numerical tests emphasizing the impact of default intensities, loss or gain at defaults and correlation between assets. Beyond the financial problem, our decomposition approach provides a new perspective for solving quadratic BSDEs with a finite number of jumps.; Comment: Published in at http://dx.doi.org/10.1214/11-AAP829 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Recent work in psychology and experimental philosophy has shown that judgments of actual causation are often influenced by consideration of defaults, typicality, and normality. A number of philosophers and computer scientists have also suggested that an appeal to such factors can help deal with problems facing existing accounts of actual causation. This paper develops a flexible formal framework for incorporating defaults, typicality, and normality into an account of actual causation. The resulting account takes actual causation to be both graded and comparative. We then show how our account would handle a number of standard cases.; Comment: To appear, British Journal for the Philosophy of Science

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information driven default contagion arises in these models. We then analyze the impact of ordering the default times before expanding the filtration. While not important for pricing, the effect is significant in the context of risk management, and becomes even more pronounced for highly correlated and asymmetrically distributed defaults. Finally, we provide a general scheme for constructing and simulating the default times, given that a model for the conditional densities has been chosen.; Comment: This paper has been withdrawn by the authors because some of the main results have significant overlap with others available in the literature

There is much interest in providing probabilistic semantics for defaults but most approaches seem to suffer from one of two problems: either they require numbers, a problem defaults were intended to avoid, or they generate peculiar side effects. Rather than provide semantics for defaults, we address the problem defaults were intended to solve: that of reasoning under uncertainty where numeric probability distributions are not available. We describe a non-numeric formalism called an inference graph based on standard probability theory, conditional independence and sentences of favouring where a favours b - favours(a, b) - p(a|b) > p(a). The formalism seems to handle the examples from the nonmonotonic literature. Most importantly, the sentences of our system can be verified by performing an appropriate experiment in the semantic domain.; Comment: Appears in Proceedings of the Fourth Conference on Uncertainty in Artificial Intelligence (UAI1988)

We show how to transform any set of prioritized propositional defaults into an equivalent set of parallel (i.e., unprioritized) defaults, in circumscription. We give an algorithm to implement the transform. We show how to use the transform algorithm as a generator of a whole family of inferencing algorithms for circumscription. The method is to employ the transform algorithm as a front end to any inferencing algorithm, e.g., one of the previously available, that handles the parallel (empty) case of prioritization. Our algorithms provide not just coverage of a new expressive class, but also alternatives to previous algorithms for implementing the previously covered class (?layered?) of prioritization. In particular, we give a new query-answering algorithm for prioritized cirumscription which is sound and complete for the full expressive class of unrestricted finite prioritization partial orders, for propositional defaults (or minimized predicates). By contrast, previous algorithms required that the prioritization partial order be layered, i.e., structured similar to the system of rank in the military. Our algorithm enables, for the first time, the implementation of the most useful class of prioritization: non-layered prioritization partial orders. Default inheritance...