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Risco Operacional nas Instituições Financeiras: Contratar Seguro ou Auto-segurar-se?

Author

Listed:
  • Helder Ferreira de Mendonça

    (Universidade Federal Fluminense)

  • Gilberto Délio Jose Cordeiro Galvão

    (Banco Central do Brasil)

  • Renato Falci Villela Loures

    (Universidade Federal Fluminense)

Abstract

Este artigo apresenta uma analise para o risco operacional levando em conta informações referentes aos quatro maiores bancos brasileiros. Para tanto, é feita uma breve analise do estado-da-arte sobre o risco operacional e propõe uma discussão em torno dos critérios adotados pelo Comitê de Basiléia para o cálculo do capital regulamentar nas instituições financeiras. Ademais, são analisados os possíveis efeitos para depositantes e acionistas decorrentes da aplicação dos princípios básicos inerentes ao Novo Acordo de Basiléia. A analise é feita por meio de um jogo com estratégias puras que maximiza a utilidade de ambos depositantes e acionistas. Os resultados obtidos indicam que há benefícios potenciais para depositantes e acionistas decorrentes da implementação do Novo Acordo de Basiléia.

Suggested Citation

  • Helder Ferreira de Mendonça & Gilberto Délio Jose Cordeiro Galvão & Renato Falci Villela Loures, 2008. "Risco Operacional nas Instituições Financeiras: Contratar Seguro ou Auto-segurar-se?," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 9(2), pages 309-326.
  • Handle: RePEc:anp:econom:v:9:y:2008:i:2:309-326
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    References listed on IDEAS

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    More about this item

    Keywords

    Risco Operacional; Basiléia II; Bancos; Teoria dos Jogos;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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