Enterprise

Roubini, Basiléia e além

Este post é mais um de uma série de posts que faço em Portugues quando leio um bom livro em portugues. O livro em questão é A Economia das Crises (2010), de Nouriel Roubini e Stephen Mihm, e relata falhas na primeira versão do acordo de Basiléia que levaram ao colapso financeiro de 2008 nos EUA e no mundo, e o post será seguido de um complemento, apotando as falhas na segunda versão do mesmo acordo.

Enjoy!

 

Consideremos, por exemplo, dois bancos hipotéticos que investem USD 1 BI tomados de outras fontes. Um investe em obrigações superseguras do Tesouro dos EUA; o outro investe em obrigações de alto risco emitidas por empresas. De acordo com Basiléia I, os dois bancos atribuiriam um fator de risco diferente (percentual) para esses ativos diferentes.

Isso por sua vez, iria determinar o capital que o banco deveria ter relacionado a esses ativos e seu risco associado. Na pratica, o banco com dívidas superseguras do governo precisaria de menos capital que o banco com divida de alto risco.

O Basiléia I continha ainda outras clásulas. Os bancos que operavam em multiplos países precisavam manter um capital equivalente a 8% de seus ativos ponderados pelo risco. Em complemento, normas técnicas especificaram a forma que esse capital ou participação poderia ter: ações ordinárias, ações preferenciais e outros capitais de alta qualidade, que se chamou de Nível 1 [Tier 1], e então todo o restante, Nível 2 [Tier 2].

O primeiro acordo de Basiléia entrou em vigor na década de 1980, e a marioria dos países do G-10 adotou suas medidas até 1992. Muitas economias emergentes também adorataram essas normas  de forma espontanea, o que provocou o desmantelamento dos mercados emergentes; os padrões que faziam sentido para as economias industriais avançadas mostraram-se mais dificeis de serem aplicados em economias emergentes, em especial em tempos de crise.

Não menos inquietante, tambem ficou claro que os bancos haviam encontrado meio de ocultar os riscos que o acordo de Basiléia I não previra — por exemplo, securitizando ativos. Esses truques deram aos balanços dos bancos uma estabilidade aparente, mas não real. Os bancos haviam encontrado um meio de obedecer a letra, mas não ao espírito das normas.

Essas lacunas levaram ao Basiléia II.

Enquanto o primeiro tinha apenas 37 páginas, o novo acordo era dez vezes mais volumosos. Ele criou normas técnicas mais precisas sobre como dimensionar o risco relativo de vários ativos; sugeriu métodos para fazer tais cálculos; ampliou a definição de risco, de modo a  abranger novos perigos, como a probabilidadde de os ativos desvalorizarem no mercado aberto; procurou suprir várias omissões por meio das quais os bancos haviam ocultado riscos; exigiu que os reguladores acompanhassem com mais vigor o cumprimento da exigencia sobre requisitos de capital, e enumerou os meios sobre os quais os bancos publicariam suas demonstrações finaneiras.

Os membros do G-10 ratificaram a versão final do Basileia II em 2006.

Então procuraram as nações individualmente para que a implementassem, um processo que estava em andamento quando a crise eclodiu. Tornou-se imediatamente evidente que, com todas as suas especificações, o Basiléia II tinha sérias falhas. Embora muitas das revisões fossem uma resposta às crises de 1990, o acordo não protegeu os grandes bancos dos transtornos causados por uma grande crise financeira.

Em resumo, o Basiléia II presumiu que o sistema financeiro mundial era mais estável do que ele de fato era. Esse foi um grave erro.

— Nouriel Roubini

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Borge’s Map

“we now use the country itself, as its own map, and I assure you it does nearly as well”

Ubiquitous Sensing. The number of Internet-connected devices hit 8.7 billion in 2012. IP-enabled sensors are projected to exceed 50 billion by 2020. The number of sensors of all types is variously projected at between 1 trillion and 10 trillion between 2017 and 2025. The lower estimate translates to 140 sensors for every man, woman, and child on the planet.

Ubiquitous Connectivity. Mobile broadband subscriptions reached 2.3 billion in 2014—five times the number in 2008. The smartphone is the fastest-adopted technology ever; the biggest absolute growth is in India and China. At the end of 2014 there were nearly 7 billion mobile-cellular subscriptions globally—nearly one per person on Earth.

Convergent Data. The world’s production of data grew 2,000-fold between 2000 and 2012. Its stock of data is expected to double every two years; 99 percent of it is digitized and half has an IP address. This means that half of the world’s data can now be put together, at near-zero cost, to reveal patterns previously invisible. Half of the world’s data is already, technically, a single, universally accessible document.

borges map

Sources:

http://digitaldisrupt.bcgperspectives.com/#

http://en.wikipedia.org/

Accrual

Accrual or accumulation of something is, in financial terms, the adding together of interest or different investment sources over a period of time.

It holds specific meanings in accounting, where it can refer to accounts on a balance sheet that represent liabilities and non-cash-based assets used in accrual-based accounting. These types of accounts include, among others, accounts payable, accounts receivable, goodwill, deferred tax liability and future interest expense.

For example, a company delivers a product to a customer who will pay for it 30 days later in the next fiscal year, which starts a week after the delivery.
The company recognizes the proceeds as a revenue in its current income statement still for the fiscal year of the delivery, even though it will get paid in cash during the following accounting period. The proceeds are also an accrued income (asset) on the balance sheet for the delivery fiscal year, but not for the next fiscal year when cash is received.

Similarly, a salesperson, who sold the product, earned a commission at the moment of sale (or delivery). The company will recognize the commission as an expense in its current income statement, even though the salesperson will actually get paid at the end of the following week in the next accounting period. The commission is also an accrued expense (liability) on thebalance sheet for the delivery period, but not for the next period when the commission (cash) is paid out to the salesperson.

Limits Nor Morality

David Ricardo’s insight into the price of land is nevertheless interesting: the “scarcity principle” on which he relied meant that certain prices might rise to very high level over many decades.

This could well be enough to destabilize entire societies. The price system plays a key role in coordinating the activities of millions of individuals –indeed, today, billions of individuals in the the global economy.

The problem is that the price system knows neither limits nor morality.

It would be a serious mistake to neglect the importance of the scarcity principle for understanding the global distribution of wealth in the twenty-first century.

To convince oneself of this, it is enough to replace the price of farmlands in Ricardo’s model to the price of urban real estate in major world capitals, or, alternatively, by the price of oil.

In both cases, if the trend over the period 1970-2010 is extrapolated to the period 2010-2050 or 2010-2100, the result is economic, social, and political disequilibria of considerable magnitude, not only between but  within countries– desequilibria that inevitably call to mind the Ricardian apocalypse.”

Thomas Piketti, Capital in the 21st century

capital

Content is the King

Semantics, the study of meaning. Is part of the linguistics focussed on sense and meaning of language or symbols of language.  It is the study of interpretation of signs or symbols as used by agents or groups within particular circumstances and contexts. Semantics asks, how sense and meaning of complex concepts can be derived from simple concepts based on the rules of syntax. The semantics of a message depends on its context and pragmatics.

Syntax, as in grammatics denotes the study of the principles and processes by which sentences are constructed in particular languages.
In formal Languages, syntax is just a set of rules, by which well formed expressions can be created from a fundamental set of symbols, or alphabet. In computer science, syntax defines the normative structure of data.

Context denotes the surrounding in an expression. Its relationship with surrounding expressions and further related elements.
Contexts denotes all elements of any sort of communication that define the interpretation of the communicated content, general, personal or social content.

Pragmatics reflects the intention by which the language is used to communicate a message. In linguistics pragmatics denotes the study of applying language in different situations. It also denotes the intended purpose of the speaker. Pragmatics studies the ways in which context contributes to meaning.

Experience considers all information that you have learned and put in context with the world you are living in.

big-data

Luck

Luck is an event that meets three tests:

(1) some significant aspect of the event occurs largely or entirely independent  of the actions of the key actors in the enterprise ,

(2) the event has a potentially significant consequence (good or bad), and

(3) the event has some element of unpredictability.

Return on luck. Great by Choice, Collins and Hansen