Events
Past Seminars
Risk-based capital requirements and optimal liquidation in a stress scenario
From 08 Jun 2016 until 08 Jun 2016
Wednesday, June 8, 2016, 11:00 AM
IAG Business School, Room I-014
Prof. Lakshithe Wagalath.
PhD. in Applied Mathematics by the Université Pierre et Marie Curie, Visiting Professor at IMPA.
Abstract:
We develop a simple yet realistic framework to analyze the impact of an exogenous shock on a bank’s balance-sheet and its optimal response when it is constrained to maintain its risk-based capital ratio above a regulatory threshold. We show that in a stress scenario, capital requirements may force the bank to shrink the size of its assets and we exhibit the bank’s optimal strategy as a function of regulatory risk-weights, asset market liquidity and shock size. When financial markets are perfectly competitive, we show that the bank is always able to restore its capital ratio above the required one. However, for banks constrained to sell their loans at a discount and/or with a positive price impact when selling their marketable assets (large banks) we exhibit situations in which the deleveraging process generates a death spiral. We then show how to calibrate our model using annual reports of banks and study in detail the case of the French bank BNP Paribas. Finally, we suggest how our simple framework can be used to design a systemic capital surcharge.
Algoritmos de gestão de automated wealth-management
From 08 Jun 2016 until 08 Jun 2016
Wednesday, June 8, 2016, 11:00 AM
IAG Business School, Room I-014
Dr. Flavio Abdenur
Head Consultant
SLQ Soluções Quantitativas
www.slq.com.br | www.slq.com.br/en
Doutor em Matemática Pura pelo IMPA, Pós Doutorado pela Université de Paris XIII e Bacharel em Economia pela PUC-Rio. Possui diversos artigos publicados em journals internacionais e atua na SLQ Soluções Quantitativas como consultor especializado em risco financeiro e modelagem matemática.
Abstract
O setor de fintech tem crescido exponencialmente ao longo dos últimos anos. Um dos seus segmentos mais relevantes é o wealth-management automatizado, os chamados “robo-advisors.” A palestra vai discutir os algoritmos de rebalanceamento e d alocação de ativos da Vérios Investimentos, uma gestora robo-advisor. Serão abordados tanto aspectos práticos quanto algumas considerações teóricas.
Contractual Call Options: Can they be a win-win deal?
From 06 Jul 2016 until 06 Jul 2016
Wednesday, July 8, 2016, 11:00 AM
IAG Business School, Room I-014
Prof.: Luiz Brandao (IAG PUC-Rio).
Abstract
An agent with a short position in a call option typically assumes a contingent liability where the optimal exercise of this option by the buyer entails a loss for this agent. However, we show that, for real options on customized assets, there may be situations where the optimal exercise by the agent who is long on the option is also optimal for the agent with the short position, We analyze the reasons for this apparent violation of law of one price and illustrate with the case of an asset in the oil industry. We show that unlike freely traded financial assets, real assets can exhibit this behavior due to incomplete information, patent protection, asymmetrical synergies or by force contractual clauses. In this case the optimal exercise of the option by the agent who is long the option is also optimal for the agent who is short the option as this exercise represents additional project cash flows at the end of the original contractual period.
Investment strategies in real estate of the city of Rio de Janeiro: an analysis in the context of real options games
From 11 May 2016 until 11 May 2016
Wednesday, May 11, 2016, 11:00 AM
IAG Business School, Room I-014
Glaudiane Almeida (Doutoranda DEI).
Abstract:
This paper shows how the methodology of Real Options and Game Theory can collaborate on financial analysis of investments in real estate, supporting decision-making by managers, analyzing the options and types of uncertainty both in their projects as those of competitors. A mathematical model was applied based on the theory of real options and game theory to the residential real estate market analysis in the city of Rio de Janeiro, Brazil. Through the use of cost parameters and price of real estate, it determined the optimal investment strategy, considering the ideal time for disbursement. Monte Carlo simulations were performed for the demand in order to compare oligopolies. It found the waiting option premium as a function of the number of competitors and analyzed the equilibrium exercise strategies including time to build. In this work it was possible to make a more realistic study of oligopoly, since the traditional approach ignores dynamic uncertainty of demand.
Monopolistic Game Screening and Opportunistic Behavior in Public-Private Partnerships.
From 11 May 2016 until 11 May 2016
Wednesday, May 11, 2016, 11:00 AM
IAG Business School, Room I-014
Julio Cezar (Doutorando DEI).
Resumo:
Em Parcerias Público-Privadas (PPP) o comportamento futuro de agentes públicos e privados pode transmitir um risco adicional e tornar projetos pouco atrativos quando informações relevantes não ficam evidentes em um contrato. A Teoria dos Jogos tem sido um instrumento amplamente utilizado para trazer soluções analíticas quando o problema de assimetria de informação está presente. Nas Parcerias Público-Privadas, o governo (principal) oferece ao investidor (agente) um contrato de concessão na prestação de serviços públicos, em que o investidor detém mais informações quanto ao seu tipo produtivo e o esforço a ser implementado podendo gerar perdas de bem-estar à sociedade devido ao comportamento oportunista do agente privado. Neste contexto, o objetivo deste trabalho é fornecer base teórica e aplicar o conceito de Jogo de Triagem Monopolista com o mecanismo da revelação compatível com incentivos em um contrato do tipo agente-principal para PPPs e mostrar como o comportamento oportunista pode ser evitado. Ao final, aplica-se esta construção teórica ao processo de concessão do Complexo Maracanã, analisando com o uso de proposições, que o edital do Governo do Estado do Rio de Janeiro é sub-ótimo do ponto de vista da Teoria de Desenho de Mecanismos e não consegue evitar o comportamento oportunista da concessionária no contrato.
