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Doctoral Thesis
DOI
10.11606/T.12.2006.tde-19122006-094724
Document
Author
Full name
Marcelo Yoshio Takami
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2006
Supervisor
Committee
Carvalho, Antonio Gledson de (President)
Bueno, Rodrigo de Losso da Silveira
Eid Junior, William
Silva, Marcos Eugenio da
Tabak, Benjamim Miranda
Title in Portuguese
Aplicações da teoria de opções à análise da estabilidade financeira
Keywords in Portuguese
Falência
Opções financeiras
Abstract in Portuguese
A teoria de opções propicia um vasto campo de aplicações. No Brasil, a aplicação desta teoria à estabilidade financeira vem se tornando cada vez mais favorável: 1) pela relativa estabilidade da economia, 2) pela determinação do Banco Central do Brasil no sentido de controlar o risco das instituições financeiras e 3) pelo natural desenvolvimento do mercado financeiro brasileiro. Esta tese está dividida em três ensaios e os dois primeiros focaram numa abordagem de poder de previsão. No primeiro, compararam-se volatilidades estimadas por diferentes modelos vis-à-vis a volatilidade realizada e encontrou-se alguma evidência empírica de que as implícitas do modelo de Vasicek-Estendido são informacionalmente superiores às dos outros modelos. No segundo, mostrou-se que é possível utilizar medidas da classe “distância ao default” para atribuir classificação de risco a bancos dentro do setor bancário brasileiro. No terceiro ensaio, analisou-se a nova Lei de Falência usando a teoria de opções e a teoria dos contratos. Conclui-se dos três ensaios que a teoria de opções é uma boa ferramenta para avaliar questões de estabilidade financeira.
Title in English
Applications of option pricing theory to the analysis of financial stability issues
Keywords in English
Bankruptcy
Financial options
Abstract in English
The option pricing theory provides a myriad of applications. In Brazil, the application of this theory to financial stability is becoming more and more favourable: 1) for the increasing stability of the economy, 2) for the commitment of the Central Bank of Brazil in controlling the risk of the financial institutions and 3) for the development of the Brazilian financial market. This thesis is divided in three essays and the first two focused on a predictive-power approach. In the first one, volatilities estimated by different models were compared vis-à-vis the realized volatility and we obtained some empirical evidence that the Extended-Vasicek’s implied volatility is informationally superior to the other models’. In the second one, it was argued that it is possible to use measures of the class “distance to default” in order to rank the banks of the Brazilian banking sector in terms of risk. In the third essay, the new Brazilian Bankruptcy Law is analysed by using the option pricing theory and the theory of contracts. The three essays conclude that the option pricing theory is a good tool to evaluate financial stability issues.
 
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tese-parte1.pdf (99.97 Kbytes)
tese-parte2.pdf (93.69 Kbytes)
tese-parte3.pdf (2.43 Mbytes)
Publishing Date
2007-02-09
 
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