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16 maio 2008

Bancos e Contabilidade

A The Economist traz um número especial sobre bancos. E um dos assuntos tratados é a questão do valor justo. O papel do regulador é discutido em
Cycle clips onde destaco a necessidade ou não da mudança de regras:

It makes sense not to be too quick to overhaul the rulebook. Some argue, for example, that the much-maligned discipline of fair-value accounting may yet bring a swift end to the crisis: if prices have overshot on the way down, they may bounce back up again pretty quickly. Others point out that even enforcing current rules, by requiring banks to take on more capital because the riskiness of their asset base has gone up, may make matters much worse.


A forma como a Espanha tem abordado a questão do capital e o ciclo econômico é destaque em Spanish steps :
Since 2000 the Bank of Spain has had something called a “dynamic provisioning” regime, where bank provisions go up when lending is growing quickly. The scheme is based on the difference between banks' specific provisions for identified losses in any given year and a “statistical” provisioning amount that reflects average losses on assets over the whole business cycle. Over the cycle the effect is neutral, but the timing of the provisioning should make the troughs less deep and the peaks less vertiginous. “There is a gap between when risks are taken and when they materialise which needs to be bridged,” says Mr Roldán.


(Nota: aqui um comentário recente desse blog sobre o assunto)

A absorção dos riscos e prejuízos torna-se mais difícil num mundo de valor justo, afirma Ruptured credit

But being a risk absorber is more difficult in a world where fair-value accounting requires many long-term investors to recognise falling prices, and where high leverage can force even patient investors to liquidate positions. (It is perhaps telling that the white knights of this crunch, the sovereign-wealth funds and the central banks, do not suffer from either problem.)


Em Professionally Gloomy destaca a questão do valor justo:

A second source of additional uncertainty is the advent of fair-value accounting, which requires banks to mark the value of their traded assets to market prices (see article http://www.economist.com/surveys/displaystory.cfm?story_id=11325432). That is fine when markets are highly liquid, but in their search for yield the banks had been actively seeking out less liquid assets. When markets dry up, price discovery becomes difficult. Institutions are forced to use proxies such as indices to determine a price, which may not accurately reflect the composition of their own assets or which may become oversold. When such proxies are unavailable, the valuation process becomes a matter of judgment (or worse, of manipulation: an embarrassing restatement of earnings by the hitherto solid Credit Suisse in March was due partially to intentional mismarking by a few traders).


A figura 1 é retirada desse artigo



A figura 2 é do artigo Make them pay. Mostra o valor da compensação por empregado:



Figuras 3 e 4 mostram a reação do mercado em relação ao setor financeiro. Fonte: aqui




Em Paradise Lost a revista afirma que o valor justo é um "amplifier".

Finalmente aqui a reportagem principal sobre contabilidade, que destaco numa postagem específica.

Nesse endereço as fontes da pesquisa da revista.

Fora do caderno especial, mas tratando de contabilidade, a revista comenta o caso da AIG seguros

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