segunda-feira, 30 de julho de 2012

Monges que fizeram o Ocidente Rico

 

Um trabalho do Departamento de Economia da Universidade de Copenhague, discute por que alguns países ficarm ricos e outros ficaram pobres. O ponto é formação de uma ética do trabalho, com isso discute-se o trabalho de Max Weber que dizia que o espírito protestante de trabalho duro com reinvestimento dos lucros. Para os autores, na verdade o espírito protestantes foi formado antes do protesntantismo, por uma ordem católica, a Ordem dos Cistercienses.

Os autores do trabalho são Thomas Andersen, Jeanet Bentzen, Carl-Johan Dalgard e Paul Sharp e pode ser lido clicando aqui.

O site Science Nordic fez um comentário sobre o trabalho dos autores

Muito interessante.

quarta-feira, 18 de julho de 2012

HSBC, Terrorismo, Máfia e Drogas


 


Publiquei este post inicialmente no meu outro blog Thyself O, Lord.

O site Business Insider revela hoje uma investigação do senado dos Estados Unidos sobre o HSBC, mostrando o relacionamento do banco com financiamento ao terrorismo, às máfias internacionais, ao tráfico de drogas.No caso do terrorismo, o banco tem histórico de participar do financiamento do Hamas e da Al Qaeda.

A investigação do senado americano pode ser lida, clicando aqui ou  aqui.

O senado americano diz que encontrou as seguintes vulnerabilidade no HSBC:

• Fornecimento de contas de correspondentes norte-americanos para os afiliados do HSBC de alto risco sem a realização da devida análise, incluindo uma filial mexicana com controles não confiáveis de lavagem de dinheiro;
 

•Não evitou conduta enganosa por parte de filiais do HSBC para contornar um dispositivo de rastreio que  bloqueia transações de terroristas, chefões do tráfico e de nações párias como o Irã;

• Fornecimento de contas bancárias para bancos estrangeiros com ligações com o financiamento ao terrorismo;


• Lavar milhões de dólares em cheques de viagem em dólares, apesar de circunstâncias suspeitas, e


• Fornecimento de contas suspeitas que facilitam atividades escusas.


Para ficar em apenas um caso, vou destacar o relacionamento com um banco da Árabia Saudita que financia a rede terrorista al Qaeda. Diz a subcomissão do senado que estuda co caso:

Uma terceira questão envolve o fato de que o HSBC atuar em regiões do mundo com desafios significativos de terrorismo, ao mesmo tempo demonstrando uma vontade preocupante de fazer negócios com os bancos que têm links para o financiamento do terrorismo. Um exemplo envolve Al Rajhi Bank, o maior banco privado na Arábia Saudita. Após o ataque 9/11 terrorista aos Estados Unidos, surgiram evidências de que o fundador do banco era um benfeitor financeiro da al Qaeda e este fundado fornecia contas para clientes suspeitos. 

Em 2005, o Grupo HSBC disse aos seus filiados para cortar os laços com o banco, mas fez uma exceção para o HSBC no Oriente Médio. Quatro meses depois, sem explicar o motivo, o Grupo HSBC voltou atrás e disse todas as suas filiais poderia decidir fazer negócios com o Al Rajhi Bank.  Em 2006, depois de Al Rajhi ameaçar retirar todos os seus negócios com o  HSBC, se a filial americana do HSBC não restabelecesse negócios, o HSBC cedeu Ao longo dos próximos quatro anos, o HSBC dos Estados Unidos forneceu quase US$ 1 bilhão ao Al Rajhi, parando apenas quando o HSBC fez uma decisão global de deixar a negociação de notas bancárias de forma geral, não apenas com o Al Rajhi.

 O site Businesss Insider descreve o relacionamento do banco Al Rajhi com o terrorismo.

O executivo do HSBC, David Bagley, renunciou após o relatório do senado. 

O jornal inglês The Telegraph repercute o caso e chama atenção para o envolvimento de um padre da Igreja Anglicana que foi chefe executivo do HSBC e até escreveu um livro sobre a moralidade das finanças, Lord Green.  


Obviamente, como o relatório deixa claro, o HSBC não é o único caso de facilitar e financiar o terrorismo, o tráfico de drogas e as máfias no mundo. Basicamente, as organizações criminosas mexem com muito dinheiro, muitas vezes financiadas pelos próprios estados, na ânsia do lucro qual banco no mundo recusa a participação no esquema?


(Agradeço a indicação do assunto ao site Jihad Watch)

terça-feira, 17 de julho de 2012

Um Frei, Pai da Contabilidade, Professor de Leonardo da Vinci



A Bloomberg lembrou hoje do pai da Contabilidade, que foi professor de matemática de Leonardo da Vinci, além de ter escrito a primeira enciclopédia de matemática da Europa, demonstrando a álgebra, o frei franciscano Fra Luca Bartolomeo de Pacioli.

Ficou muito bom o texto.

How a Medieval Friar Forever Changed Finance

Consider some headlines from the past week. China announced its gross domestic product had slowed to a three-year low of 7.6 percent in the latest quarter. The International Monetary Fund cut its global growth forecasts to 3.9 percent for 2013. And Citigroup Inc. announced its net income was down 12 percent.
The system that generates these 21st-century accounting figures -- the numbers that run our nations and corporations -- was first codified by a Renaissance friar named Fra Luca Bartolomeo de Pacioli. He was at one time more famous, as a mathematician, than his collaborator Leonardo da Vinci.
Pacioli is remembered today, if he’s remembered at all, as the father of accounting. He wrote the first mathematical encyclopedia of Europe, which made two critical contributions to modern science and commerce: It was the first printed book to explain Hindu-Arabic arithmetic and its offshoot, algebra, and it contained the first printed treatise on Italian accounting.
Algebra would underpin the Scientific Revolution; Italian accounting, the Industrial Revolution.

Double Entry

As his encyclopedia was going to press in Venice in 1494, Pacioli added a 27-page summary of a new form of accounting that had first emerged in Italy around 1300 and been perfected by the merchants of Venice. He called the addition a “special treatise which is much needed” to help merchants keep their accounts in an orderly way.
Known in the 15th century as accounting “alla Veneziana,” the system is now called double-entry bookkeeping and is standard practice throughout the world. In 1494, it was exceptional -- and in his treatise Pacioli recommended it above all others.
In their ledgers, Venetian merchants separated debits and credits, dividing them into two columns. As Pacioli wrote: “All the creditors must appear in the Ledger at the right-hand side, and all the debtors at the left. All entries made in the Ledger have to be double entries -- that is, if you make one creditor, you must make someone debtor.”
Pacioli’s system was revolutionary because it allowed merchants to calculate increases and decreases in their wealth, recorded in their capital account. In other words, it allowed them to determine that driver of capitalism: profit (or loss). Pacioli wrote that the purpose of every business was to make a lawful and reasonable profit, which could be tallied with Venetian bookkeeping. And thus the seed of capitalism was planted.
Because Pacioli used the recently invented printing press to record and disseminate Venetian double entry, the system swept across Europe during the next two centuries and then to the U.S.
By the 18th century, Italian bookkeeping had become so pervasive that it had spread beyond the realm of commerce and into culture. Daniel Defoe famously applied it in his 1719 novel “Robinson Crusoe” when the shipwrecked Crusoe uses double entry to assess his life, drawing up his “State of Affairs” and comparing “very impartially, like Debtor and Creditor, the Comforts I’d enjoyed, against the Miseries I suffered.”

A New Profession

Fittingly, it was in the economic heart of the Industrial Age -- Great Britain -- that Venetian bookkeeping came into its own. The rise of factories and the flourishing of the joint-stock company transformed double-entry bookkeeping into a brand new profession: accounting.
The huge amounts of capital expenditure required to build railways -- raised from private investors on stock exchanges and managed by joint-stock companies -- brought new issues of accounting and accountability. By the 1860s, accountants were legally required in Britain at every phase of a company’s life: at its formation, during its operation and at its liquidation.
Although financial statements had been an incidental product of a company’s bookkeeping in 1800, they had become its raison d’etre by 1900. Venetian bookkeeping proved to be the perfect mechanism for generating these financial statements. It could accurately record capital and income as required by law and investors, it could distinguish between private expenses and corporate costs, and it could produce data that helped evaluate past investment decisions.
Venetian double entry thus became essential to the modern corporation. In the 20th century, it became equally essential to the nation state. With the crash of the New York Stock Exchange in 1929, and the Great Depression that followed, the laissez-faire principles that had previously informed government approaches to economic affairs suddenly seemed insufficient. At sea in their response to the crisis, the administrations of Herbert Hoover and Franklin D. Roosevelt commissioned comprehensive estimates of the income of the U.S. to guide their policies.
Soon after Roosevelt succeeded Hoover as president and began the New Deal, the British economist John Maynard Keynes travelled to the U.S. to see the policies in action. In Washington, Keynes said: “Here, not in Moscow, is the economic laboratory of the world.”

Theory, Practice

This signified a momentous change in government practice, and in economic theory. If Roosevelt’s response to the Depression was the New Deal, then Keynes’s was his “theory of effective demand.” Published in 1936, it provided a theoretical basis for the measurement of national income, consumption, investment and savings.
Both Roosevelt’s program and Keynes’s theory entailed the creation of national accounting systems, a massive undertaking that was carried out using the principles of double-entry bookkeeping.
At Keynes’s instigation, the first British accounts were made during World War II. Following the war, national accounts were created in countries across Europe as part of the framework of the Marshall Plan. And under the aegis of the newly created United Nations, national accounts were subsequently adopted by almost every nation on Earth.
Today, we depend on the numbers generated by the accounts of nations and corporations to direct our governments, businesses and societies. And so it happened that a medieval Italian accounting system codified by a friar in 1494 now governs the global economy.

domingo, 15 de julho de 2012

A História da Moeda por David Graeber

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Abaixo um excelente texto de John Médaille sobre o livro Debt: The First 5000 Years (Dívida: Os Primeiros 5000 anos) do antropólogo David Graeber. O livro questiona o ensinamento econômico que o homem primeiro trocou mercadorias, depois criou a moeda e depois criou o crédito. O livro mostra que, pelo contrário, o ser humano primeiro criou o crédito, por uma questão social. Além disso, o livro criritca o modelo do sistema bancário moderno.

Friends and Strangers: A Meditation on Money



I start my meditation with a true story that will serve as a parable. On his 21st birthday, the nature writer Francis Thompson was presented by his father with a bill for all the expenses of his upbringing including the costs of his birth and delivery. Francis paid the bill, but he never spoke to his father again. This story is recounted in David Graeber’s Debt: The First Five Thousand Years, an excellent account of the history of money. Yet Graber titled his book “debt”; did he just get it wrong, or did he uncover the essential nature of money?
We are immediately repelled by this story, yet at the same time, we have to concede a strange kind of justice to it. There is no doubt that the father was correct to point out to his son the obligation that he had, but in quantifying that obligation, he converted it into a debt, for that is the difference between an obligation and a debt: an obligation becomes a debt when you can put a number on it. “I owe you one” is an obligation; “I owe somebody $10″ is a debt. Obligations bind people together even after they have been “paid.” But debts bind us only for as long as the debt exists. The relationship dies on payment of the debt. We might say that obligations bind us together, while debts drive us apart. By quantifying the obligation, Thompson’s father offered him the opportunity to dissolve it, to discharge it, and in doing so to end their relationship; his son took the offer and was no longer his son.

The economists tell us a neat story about the development of money. The primitive world, they tell us, begins in barter, develops in money, and matures in credit systems. The problem however, is that the historians and the anthropologists have been telling the economists, and telling them for over 100 years, that they can find no record of this development; in fact, the actual history seems to be just the opposite: first comes credit, then money, and finally barter systems. Widespread barter systems only come about after the collapse of monetary systems, and even then money is still used as a unit of account, as a way of equating dissimilar items.

Economic life begins in the family and the village, and in these structures, there is no accounting for debt. Rather, there are long chains of mutual obligations. In general, people do not barter goods; these are gift economies where each person’s surplus freely circulates throughout the village and the family as gifts. The fisherman, when he wants a pair of shoes, does not, as in the economists’ myth, search out a cobbler who wants some fish. Rather, he freely gives away his surplus fish, an act which gains him honor in the village; he is a man who can contribute to the village, and therefore worthy of honor. Perhaps some woman will notice that he is wearing tatty moccasins, which is not appropriate for a man of honor. She will undertake to make him some moccasins and thereby gain honor for herself. In village life, “honor” is the coin of the realm, and the economic system aims at circulating goods in such a way as to bind the members of the village together in a long chain of mutual obligations.
Barter does not work for two reasons. The first is that natural goods mature in due season. This means that for most of the year, the farmer has nothing to trade with the hunter save his promise to pay when the crop comes in. The second is that even simple production takes place in many steps and stages and over a period of time. Until the work is complete, there are no tradable goods, only a work-in-progress. This cannot be financed by barter, but only by a promise to pay when the work is completed and the product is sold.

Some barter does take place, but only with outsiders, with strangers. With visiting tribes or wandering strangers, there will often be an exchange of gifts that is indistinguishable from barter. The reason for this is obvious: since they will not meet again, or will meet only at odd intervals, the exchange must be immediate, and if honor is to be maintained, the gifts must be of equal value.
Money could not purchase anything because there was nothing to buy; there were no markets. Again, this was not because villagers are ignorant of markets, but rather because they made deliberate efforts to prevent the formation of markets, to bind the village together in long chains of mutual obligations. But such efforts are impossible with the growth of the village into the town and the city. When most of the people you meet are strangers rather than friends, the whole idea of the gift economy becomes impossible. Still, the idea of the obligation never disappears because society can never be anything more than a long chain of mutual obligations.

And herein lies the real power of money: it coordinates the actions of millions of strangers. Our lives are critically dependent on the actions of others; thousands of people contribute daily to our well-being, and all but a tiny fraction of them are strangers to us. How shall we acknowledge our debt to them, and they to us, except by the medium of money? Money then, is not so much a medium of exchange as a record of the obligations we have to each other, a series of debits and credits. A dollar in our pocket is at once the symbol of the labor we have performed for others, and an acknowledgment of the debt they have to us. Our dollar is a visible credit, a claim on that portion of all the goods and services that are being offered for sale. It is a token of exchange only by being the symbol of the debt.

And the history of money bears this out. Money existed as a unit of account for debts for nearly two millennia before it existed as coins and currency. As early as 3500 BC, Babylon developed as a sophisticated society with great cities, and all without the use of money, or at least without the use of currency. Currency would not begin until about 700 B.C. in Greece. In the great temples and palaces of the Babylonians (which served as the banks) we find extensive commercial records preserved in cuneiform tablets. This unit of account was the gur, the measure of barley that constituted the monthly ration, or it was the Shekel, a weight of silver whose value was arbitrarily set to the gur. Domestic debts were computed in gur, while foreign trade was conducted in silver that the temples advanced to the merchants. Debts were paid in real goods, which might be silver or barley or any other worthwhile product.

The use of money introduced something completely new into economic life, namely the invention of interest. Interest most likely began as a way of participating in the profits of the merchants. The Temple advanced silver to the merchants, and received interest as a convenient way of participating in profits. No arguments arose about how much profit was made and what the Temple’s share ought to be; the Temple’s share was fixed in advance. But what likely began as commercial loans, quickly spread to domestic loans; that which proved beneficial for Shekel debts proved disastrous for the barley debts. Farming is a hazardous occupation, and crop failures are inevitable. Debts piled up, and large parts of the population sank into debt peonage and slavery, destabilizing both the economy and the social order. In order to remedy this, the kings would, from time to time, declare a debt amnesty, canceling all the barley debts (but not the Shekel debts) and freeing the slaves. It is noteworthy that the first written use of the word “Freedom” occurs in one of these amnesty proclamations. The cuneiform symbols for “freedom” actually mean “return to mother,” signifying the return of the slave to his family. The famous Rosetta Stone is also a record of one of these amnesties. It became the custom that every king would begin his reign with a debt amnesty, and these amnesties became the “Jubilee” of the Hebrews when they returned from the Babylonian captivity. Ironically, the Jubilee was more favorable to lenders than the older Sabbath codes in Deuteronomy, which mandated a debt amnesty every seven years.

Usury was the bane of the Mesopotamian kingdoms, but in the amnesties they recognized the communal nature of society; while maintaining a strict commercial order, they recognized that debts could not multiply without it being the end of all social order. Usury was also the great social evil of the Roman Empire, as more and more farms disappeared into the great Latifundia, the estates of the aristocrats who were able to seize the land of the citizens who were off fighting Rome’s extensive wars. Daniel Graber notes that the Roman solution was not to declare amnesties, but to throw money at the problem. The wealth of the provinces poured into Rome to create a vast welfare state that demoralized the people while leaving the power of the aristocrats intact.

Rome and Greece were money societies where usury reigned, and the poor became, increasingly, the slaves of the rich. But neither slaves nor state dependents made good soldiers, and the armies became not so much a group of citizens defending their homes, as a group of professionals engaging in a trade. It took vast amounts of coinage to support these armies, and vast amounts of taxes or plunder to support the army; Alexander’s army of 120,000 men required half a ton of silver each day for their pay. Money and militarism went together. Basically, the government issued coins to pay their debts, and then demanded them back in the form of taxes. This set up a circulation of coinage which, as a by-product, set up the kinds of markets that we have today.

With the collapse of the Roman Empire in the West, society reverted to credit systems. There was coinage to be sure, but its value was not fixed, nor its metallic content nor purity. Kings would routinely “cry down” the value of their currency in order to dissolve their debts. This was actually a form of taxation in an era that did not have much in the way of taxes, and worked rather well so long as it was not abused. But much of commerce was carried on simply as credits and debits, often recorded in the form of tally sticks. A tally stick was a bit of hazel wood upon which a debt was recorded in the form of notches; the stick was then split in half. The creditor’s half was called the “stock,” which made him the stockholder, and the debtors half was called the stub. The stock would circulate as money, and as long as the stub remained it was impossible to change the debt.

Tally sticks circulated in England for 500 years. It is worth noting that when the Bank of England was founded, in 1694, one quarter of its capital was in the form of tally sticks. But the bankers wished to monopolize the creation of money, and immediately set out on a long campaign to get the tally sticks outlawed. And they got their wish when the Liberal party came to power in 1832. One of their first acts was to fulfill the agenda of the Bank of England. All of the tally sticks were gathered together and burned in a stove in the House of Lords. However, the fire got out of hand and burned down the Houses of Parliament. When we view Turner’s magnificent paintings of this event, we should keep in mind what it was all about.

Medieval merchants and local markets would also produce tokens or vouchers for their goods. Thus, for example, a baker would issue his own “money” which could be redeemed for his bread, while the butcher or the cobbler would do the same for their meat and shoes. These tokens would circulate as money on market day, and at the end of the day the merchants would settle accounts between them. Note that the baker would not issue more tokens than the bread he could bake nor the cobbler for the shoes he could make; the supply of this market money was always more or less equal to the goods the money could buy.

The banks triumphed in the end, even if it meant that they had to burn down the symbols of democratic order to do so. But a bank is not like a baker; a baker can issue credits only for the bread he can bake; a banker can issue credits in infinite amounts. We have in our mind a picture of the banks as lending out the deposits they receive, as serving as mere financial intermediaries. But this is not the case. A banker will never lend out the money you deposit; this he holds as reserves against losses, and for day-to-day cash transactions. No, the “money” he lends out is simply credits he creates by pressing a few buttons on the computer or by making a few entries in a ledger. The borrower may write checks against these credits, and at the end of the day the bankers settle up the checks between each other; no cash is involved. Now, this would not be a problem if the money was always lent for productive purposes. But insofar as the money is lent for speculation, then the money supply expands faster than the goods and services it is supposed to represent.

New money is injected into the economy, but unlike the baker’s money, that money matches no new goods. The claims on the existing stocks of goods and services are multiplied, but those stocks are not. The power of a small group of citizens is multiplied by the monopoly granted by the government. Compare the situation of the farmer and the banker: the farmer may increase his wealth only by work, the hard work of growing corn; the banker may increase his wealth, or at least his assets, by pressing a few buttons on the computer.

Herein lies the great secret of our money system: before you signed the mortgage to buy your home, or the note to buy your car, or the credit slip to buy a hamburger at McDonald’s, the money to buy the home, the car, or the burger did not exist; it comes into existence in the very act of borrowing it. Henry Ford once said, “If people understood how money was created, there would be a revolution before breakfast.” But Mr. Ford was wrong; there will be no revolution because people will simply not believe that money can be created so easily. But alas, that is indeed the way the system works.
Here we may return to our original parable, the sad tale of how indissoluble obligations were turned into temporary debts; of how the ties that bind are easily dissolved by putting a number on them. We cannot help but be a society of strangers, yet underneath this, we cannot be a society at all unless we recognize our mutual obligations to one another. It is possible that our rude ancestors had it right all along: that obligations are more important than debts, and that amnesties are the key to economic and social order. Surely this question faces us now with a force that cannot be ignored. We are truly in each other’s debt, but it is a debt that extends beyond the mere payment of the sum of money. Money is a useful, even a marvelous tool, but like a fire it can either warm or destroy us. In his latest encyclical, Pope Benedict XVI saw in the root of all financial dealings, a “principle of gratuitousness,” a principle that binds society together in a way that exceeds mere money debts. Money itself is merely the credit we extend to each other, and that “credit” has as its root credo, “I believe.” For along with faith in God we need faith in each other; credo in unum Deo cannot be replaced with credo in unum dollar.

quarta-feira, 11 de julho de 2012

A Culpa é do Modelo?

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Será que a SEC (Securities Exchange Commission) está achando que a culpa é do modelo financeiro usado pelos bancos (preponderantemente VaR, Value at Risk)?

Seria ridículo demais. Acho bem mais adequado, com maiores chances de acharem o culpado se procurarem algo com sangue nas veias.

Vejam o texto da Bloomberg de ontem que discute as perdas financeiras do JP Morgan que assustaram o mercado, por causa do procedimento de divulgação do resultado, que aparenta esconder fraudes.


JPMorgan Silence on Risk Model Spurs Calls for Disclosure


JPMorgan Chase & Co. (JPM)’s multibillion- dollar trading loss exposed an industry practice that U.S. regulators are now likely to clamp down on: Banks keep investors in the dark about how they calculate trading risks.

The U.S. Securities and Exchange Commission is probing JPMorgan’s belated May 10 disclosure that a change to its mathematical model for gauging trading risk helped fuel the loss in its chief investment office. While the SEC would have to prove that the biggest U.S. bank improperly kept important information from investors, regulators probably will press Wall Street firms to tell more about the risks they’re taking, three former SEC lawyers said.
“The SEC and investors are learning that apparently the compliance folks and financial folks at very senior levels at JPMorgan do not think it’s important to share really significant modeling changes,” said Elizabeth Nowicki, a former attorney in the SEC general counsel’s office who’s now an associate law professor at Tulane University in New Orleans.
So far, New York-based JPMorgan has added a warning in its most recent quarterly report that risk models are continually tweaked to account for “improvements” in modeling techniques, and the head of the SEC has publicly asserted that banks should disclose significant changes and the reasons.
The dispute revolves around value-at-risk, the main and sometimes only empirical gauge that investors get as they try to fathom how much a bank could lose if its trading bets go bad. Wall Street firms routinely give only broad outlines of how their mathematicians calculate VaR, according to data compiled by Bloomberg, and almost nothing about changes in statistical assumptions or the prices they choose to feed into their models.

London Whale

The skewed comparisons can leave investors guessing about whether the potential for loss is rising or falling, according to risk analysts. Adding to the muddle, some bankers including JPMorgan Chief Executive Officer Jamie Dimon have told investors not to rely too much on VaR, calling it just one part of their effort to manage risks at the biggest lenders.
SEC Chairman Mary Schapiro told a Congressional panel last month that her agency is scrutinizing the banks’ disclosures about the change in VaR models for its chief investment office, which invests the banks’ excess cash. The Federal Reserve and Office of the Comptroller of the Currency are examining why the change was made and whether it’s a sign of weakness in risk- management practices.

Formula Changed

They’re asking because JPMorgan changed its calculation methods on Jan. 15 for the CIO as the unit was grappling with how to unwind stakes held by Bruno Iksil. The U.K.-based executive was dubbed “the London Whale” after his trades became so big that they distorted prices in an illiquid market, making it hard to get out of the positions.
Losses on the trades may have climbed to $4 billion in the second quarter, according to John McDonald, an analyst with Sanford C. Bernstein & Co., far exceeding the amounts predicted by JPMorgan’s VaR gauge.
Value-at-risk represents the maximum trading loss that might be expected by JPMorgan on 95 out of 100 trading days. The SEC ordered banks to disclose information about their market risks through a rule adopted in 1997.

‘Nefarious Purposes’

JPMorgan didn’t tell investors about the change in its formula before it took effect, or in its first-quarter earnings report on April 13, when it said the figure averaged $67 million. It wasn’t until May 10, after losses mounted to about $2 billion, that the bank disclosed that the formula had changed -- and that it had been discarded in favor of the old one, which showed average VaR was actually $129 million. JPMorgan’s shares have tumbled 17 percent since then through yesterday, the worst showing among the four biggest U.S. banks.
Dimon, 56, told a Congressional panel last month that his bank has hundreds of computer-based models for estimating trading risk and they’re constantly updated. He said that the change in the VaR model and its lower reading “did effectively increase the amount of risk that this unit was able to take,” adding he didn’t believe it was altered for “nefarious purposes.”
There’s “tremendous subjectivity” in how VaR is calculated, said Aaron Brown, a former Citigroup Inc. (C) and Morgan Stanley (MS) executive who’s now head of risk management at hedge fund AQR Capital Management LLC in Greenwich, Connecticut. In his 32-year career, Brown said, he had never seen a bank disclose a change in the risk model for a specific trading desk.

‘Continuously Evaluated’

“What would you tell people, that we changed this parameter that we never told you about in the first place?” Brown said. The threshold might depend on the potential impact, he said. “Maybe it was so big it should have been disclosed.”
Not once in the three years before JPMorgan’s trading loss did the bank disclose a change in any risk models for specific trading desks, according to data compiled by Bloomberg.
Underscoring the point, JPMorgan’s quarterly report on May 10 included a disclaimer -- for the first time -- that risk models are changed frequently.
“VaR models are continuously evaluated and enhanced in response to changes in the composition of the firm’s portfolios, changes in market conditions and dynamics, improvements in the firm’s modeling techniques, system capabilities and other factors,” the bank said on page 73 of the 178-page report.
Jennifer Zuccarelli, a JPMorgan spokeswoman, declined to comment on VaR, citing the bank’s plan to discuss the CIO’s losses in conjunction with a July 13 second-quarter earnings announcement. John Nester, an SEC spokesman, declined to comment on the agency’s investigation.
JPMorgan isn’t alone in tweaking its risk models behind the scenes or employing discretion to calculate the figure. Goldman Sachs Group Inc. (GS) and Citigroup also make changes to their VaR models regularly, people with knowledge of the matter said.

Analysts’ Questions

Schapiro, 57, testified before the House Financial Services Committee on June 19 that banks’ quarterly reports are supposed to include “discussion and analysis” of any “material changes in the market risk.”
They must also “disclose any changes to key model characteristics and to the assumptions and parameters used, as well as the reasons for the change,” she said. “Changes to the scope of the instruments included within the model and the reasons for those changes must be disclosed as well.”
Value-at-risk is critical enough to investors that analysts including Guy Moszkowski, formerly of Bank of America Corp. (BAC), and Glenn Schorr of Nomura Holdings Inc. asked Dimon during at least three quarterly conference calls about changes in the figure.

Other Tools

Dimon, responding in April 2009, said that he didn’t “pay that much attention to VaR.” In January 2010, he told analysts that it was “really not an accurate measure of risk.” JPMorgan uses data going back one year, Dimon said, so the figure might fall just because a volatile week was no longer included in the calculation. He didn’t mention then that the models themselves were constantly changing.
“It was exceedingly difficult for third-party analysts to diagnose the magnitude of JPMorgan’s CIO hedging portfolio risk buildup based on bank-provided disclosures,” David Hendler, an analyst at CreditSights Inc., wrote in a June 18 report. Only “on-the-ground” hedge funds trading credit derivatives could discern the buildup, he wrote.
JPMorgan supplements its VaR modeling with other risk- management tools, including “stress tests,” in which bank officials estimate how trading positions might perform in deteriorating economic conditions or market turmoil, according to the bank’s annual report. The results of the internal stress tests aren’t disclosed.
Harvey Pitt, a former SEC chairman, said the agency might allege that when JPMorgan adopted the new VaR model in January, it should have disclosed any perceived defects with the old one -- and how results might have differed with the new model.

SEC’s Concerns

“The SEC would be concerned about how JPMorgan became aware of the original problems, how it satisfied itself that it had repaired those deficiencies and how much assurance it had that its new model would perform,” Pitt wrote in an e-mail. “JPMorgan did not bother to address these issues.”
Based on past regulatory practice, bringing a case against the bank may not be warranted, said Edward Greene, a former SEC general counsel who later served as legal chief for Citigroup’s trading and investment-banking division.
“All these banks have a VaR approach, and they come up with a range of values that they disclose, but to my knowledge the SEC has never required you to give much background as to how you change it or adjust it,” said Greene, now senior counsel at the law firm Cleary Gottlieb Steen & Hamilton LLP in New York. The SEC “may have to show that there would be some intent to deceive the market, or reckless disregard.”

Evolving Models

Banks typically disclose only changes to the broadest parameters of their risk models. In 2008, for example, JPMorgan switched its VaR formula to use the 95 percent “confidence level” from 99 percent, according to the bank’s annual report for that year. The move, which reduced the bank’s year-end VaR to $286 million from $317 million, was intended to “provide a more stable measure,” the bank said.
Goldman Sachs changed its VaR model in 2004 to exclude “distressed asset portfolios” that couldn’t “be properly measured,” according to the bank’s annual report filed in February 2005. The impact of the change was “not material to prior periods,” so previously reported figures weren’t adjusted, New York-based Goldman Sachs said. The company’s recent filings haven’t disclosed changes to any VaR model for a particular trading desk.

Risk Estimates

Morgan Stanley, owner of world’s largest brokerage, has included a disclaimer in its annual report since at least 1998 stating that its VaR model “evolves over time” in response to “improvements in modeling techniques and systems capabilities.” Bank of America’s annual report for this year included the line, “We continually review, evaluate and enhance our VaR model.”
Citigroup said in its annual report its VaR model is updated weekly. In the first quarter, a 10 percent drop in the New York-based bank’s average VaR compared with the prior three- month period was “primarily driven by a change in VaR model parameters,” according to a May 4 filing.
Jon Diat, a Citigroup spokesman, said the firm “provides extensive disclosure on value-at-risk.”
Mary Claire Delaney, a spokeswoman for Morgan Stanley in New York, declined to comment, as did Jerry Dubrowski at Charlotte, North Carolina-based Bank of America and Goldman Sachs’s Michael DuVally.

‘Subjective Judgment’

Risk modelers and mathematicians at banks routinely make choices that affect the VaR calculation, said AQR’s Brown, who in February was named “risk manager of the year” by the Global Association of Risk Professionals, a trade group. For instance, banks can base their risk estimates on absolute numbers or percentage changes.
“That is something that might change without somebody noting it in an annual report,” said Steve Allen, a former head of risk methodology for JPMorgan who retired in 2004. “It could have made a really big difference.”
When calculating VaR for an asset without a complete pricing history, traders and risk managers have to choose a “proxy” -- an asset whose price moves are believed to be similar to those of the asset being modeled.
“The choice of proxy is a subjective judgment,” said Allen, now a consultant based in New York.
Goldman Sachs regularly tweaks its models, Chief Financial Officer David Viniar said in May at a Citigroup-sponsored money- management conference in Napa County, California, according two people with knowledge of the remarks. What’s unusual is for a model change to result in a doubling of the VaR, Viniar said, according to the people, who asked not to be identified because the session wasn’t public.

‘Terrible Precedent’

Viniar added that JPMorgan executives are good risk managers, one of the people said.
The SEC “could allege that the books and records were not accurate, or that they failed to disclose material facts or amend timely obligatory disclosures,” said Jacob Frenkel, a former SEC enforcement lawyer who’s now at the law firm Shulman Rogers Gandal Pordy & Ecker PA in Potomac, Maryland. “But it is a terrible precedent if the SEC starts second-guessing or expecting that every tweak of a model or a calculation for legitimate reasons should somehow implicate a violation.”

segunda-feira, 9 de julho de 2012

O Capitalismo e a Alma da Europa

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Abaixo, vai um discurso (vídeo e transcrição do início do discurxo, a partir do 2:34) do Rabino Jonathan Sacks feito em Roma no final do ano passado. É realmente sensacional.

Todo o discurso pode ser lido clicando aqui.


As the political leaders of Europe come together to try to save the euro, and with it the very project of European Union, I believe the time has come for religious leaders to do likewise, and I want to explain why.

What I hope to show in this lecture, is first, the religious roots of the market economy and of democratic capitalism. They were produced by a culture saturated in the values of the Judaeo-Christian heritage, and market economics was originally intended to advance those values.

Second, the market never reaches stable equilibrium. Instead the market itself tends to undermine the very values that gave rise to it in the first place through the process of “creative destruction.”

Third, the future health of Europe, politically, economically and culturally, has a spiritual dimension. Lose that and we will lose much else besides. To paraphrase a famous Christian text: what will it profit Europe if it gains the whole world yet loses its soul? Europe is in danger of losing its soul.

I want to preface my remarks by thanking His Eminence Cardinal Koch for not only inviting me to deliver this lecture, but being so graciously helpful throughout my trip and private audience with His Holiness.

I want to begin by saying a word about the relationship between the Vatican and the Jewish people.
The history of the relationship between the Catholic Church and the Jews was not always a happy or an easy one. Too often it was written in tears. Yet something extraordinary happened just over half a century ago, when on 13 June 1960 the French Jewish historian Jules Isaac had an audience with Pope John XXIII and presented him with a dossier of materials he had been gathering on the history of Christian antisemitism. That set in motion the long journey to Vatican II and Nostra Aetate, as a result of which, today, Jews and Catholics meet not as enemies, nor as strangers, but as cherished and respected friends.

That is one of the most dramatic transformations in the religious history of humankind and lit a beacon of hope, not just for us but for the world. It was a victory for the God of love and forgiveness, who created us in love and forgiveness, asking us to love and forgive others.

I hope that this visit, this morning’s audience with His Holiness, and this lecture might in some small way mark the beginning of a new chapter in our relationship. For half a century Jews and Christians have focused on the way of dialogue that I call face-to-face. The time has come to move on to a new phase, the way of partnership that I call side-by-side.

For the task ahead of us is not between Jews and Catholics, or even Jews and Christians in general, but between Jews and Christians on the one hand, and the increasingly, even aggressively secularising forces at work in Europe today on the other, challenging and even ridiculing our faith.

If Europe loses the Judaeo-Christian heritage that gave it its historic identity and its greatest achievements in literature, art, music, education, politics, and as we will see, economics, it will lose its identity and its greatness, not immediately, but before this century reaches its end.

When a civilisation loses its faith, it loses its future. When it recovers its faith, it recovers its future. For the sake of our children, and their children not yet born, we – Jews and Christians, side-by-side – must renew our faith and its prophetic voice. We must help Europe recover its soul.

That is by way of introduction. Let me begin with a striking passage from Niall Ferguson’s recent book, Civilisation. In it he tells of how the Chinese Academy of Social Sciences was given the task of discovering how the West, having lagged behind China for centuries, eventually overtook it and established itself in a position of world pre-eminence. At first, said the scholar, we thought it was because you had more powerful guns than we had. Then we concluded it was because you had the best political system. Then we realised it was your economic system. “But in the past 20 years, we have realised that the heart of your culture is your religion: Christianity. That is why the West has been so powerful. The Christian moral foundation of social and cultural life was what made possible the emergence of capitalism and then the successful transition to democratic politics. We don’t have any doubt about this.” 

The Chinese scholar was right. The same line of reasoning was followed by the Harvard economic historian, David Landes, in his magisterial The Wealth and Poverty of Nations. He too pointed out that China was technologically far in advance of the West until the 15th century. The Chinese had invented the wheelbarrow, the compass, paper, printing, gunpowder, porcelain, spinning machines for weaving textiles and blast furnaces for producing iron. Yet they never developed a market economy, the rise of science, an industrial revolution or sustained economic growth. Landes too concludes that it was the Judeo-Christian heritage that the West had and China lacked.

Admittedly the phrase “Judeo-Christian tradition” is a recent coinage and one that elides significant differences between the two religions and the various strands within each. Different scholars have taken diverse tracks in tracing the economic history of the West. Max Weber famously spoke about The Protestant Ethic and the Spirit of Capitalism, with special emphasis on Calvinism. Michael Novak has written eloquently about the Catholic ethic. Rodney Stark has pointed out how the financial instruments that made capitalism possible were developed in the fourteenth century banks in pre-Reformation Florence, Pisa, Genoa and Venice.


terça-feira, 3 de julho de 2012

Há Algo de Podre no Setor Bancário, Bloomberg reconhece

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Atualmente, divulga-se fraudes de grandes bancos como JP Morgan e Barclays. Recentemente, houve os casos do Goldman Sachs.

Um texto da Bloomberg de hoje fala da fraude do Barclays, que manipulou a taxa básica de juros, e reconhece que há algo de podre no setor bancário. Demorou a reconhecer, não? Séculos.

Texto da Bloomberg abaixo.

There’s Something Rotten in Banking

You might have missed the latest bank scandal, the one involving Barclays Plc (BARC), in the hubbub of last week’s U.S. health-care ruling and euro salvage plan.

If so, allow us to fill you in: On June 27, Barclays, the U.K.’s second-largest bank by assets, admitted it deliberately reported artificial borrowing costs from 2005 to 2009. The false reports were used to set a benchmark rate, the London interbank offered rate, or Libor, which affects the value of trillions of dollars of derivatives contracts, mortgages and consumer loans. The bank agreed to pay a hefty $455 million to settle charges with U.S. and U.K. regulators, and on Monday its chairman resigned.

Earlier today, Robert Diamond resigned as chief executive officer. Marcus Agius, who yesterday said he would resign as chairman, reversed his decision after Diamond quit and will stay on to lead the search for a new CEO. In an apology to employees before he stepped down, Diamond wrote that some of the misconduct occurred on his watch, when he was head of Barclays Capital, the investment-banking unit. Diamond was already in the doghouse with investors. In April, 27 percent of shareholders, upset that Barclays had missed profit targets, voted down his $19.5 million pay package.

Heads should roll at other banks, too. Regulators and criminal prosecutors, including the U.S. Justice Department, are investigating at least a dozen other firms to determine whether they colluded to rig the rate. Among them: Citigroup Inc., Deutsche Bank AG, HSBC Holdings Plc and UBS AG.

 

Bank Bashing

We don’t countenance bank bashing. Nor have we ever called on regulators to bust up big banks. But it’s difficult to defend an industry that defrauds the market with fake interest-rate figures, thereby stealing from other banks and customers.

Sadly, the Libor case reveals something rotten in today’s banking culture. We hope the investigations expose the bad actors, lead to jail terms for those who knowingly manipulated the market, and force out the senior managers and board directors who participated in, or overlooked, such conduct.
Why so exercised? In the Barclays settlement documents, regulators released smoking-gun e-mails that reveal the extent of the dirty dealing between bank traders (looking to protect profits and bonuses) and senior officials in bank treasury units (hoping to convince markets that their banks weren’t in financial difficulty). The two aren’t supposed to collude, but it’s obvious that the Chinese walls between them come with ladders.

Libor and its euro counterpart, the Euribor, are benchmark rates determined by bank estimates of how much it would cost them to borrow from one another, in different timeframes and currencies. The banks submit sheets of numbers every weekday morning, London time. An adjusted average of the rates determines the size of payments on mortgages and corporate loans worldwide. The rates also serve as an indicator of the health of the banking system. Because some submissions aren’t based on real trades, the potential exists for manipulation.

A Barclays banker responsible for reporting borrowing rates was told to make the bank look healthier by not revealing that borrowing costs had risen. An e-mail he wrote to a supervisor confirms that he complied: “I will reluctantly, gradually and artificially get my libors in line with the rest of the contributors as requested,” he wrote. “I will be contributing rates which are nowhere near the clearing rates for unsecured cash and therefore will not be posting honest prices,” he continued, referring to rates in the overnight money market.

 

Derivatives Contracts

At times, Barclays traders sought to affect rates on dates when interest-rate derivatives contracts settled, thus profiting more from trades, according to documents made public by the U.S. Commodity Futures Trading Commission, one of the agencies conducting the Libor probes. Here’s an e-mail about the three- month rate from a senior Barclays trader in New York to the London banker who submitted the rates: “Hi Guys, We got a big position in 3m libor for the next 3 days. Can we please keep the lib or fixing at 5.39 for the next few days. It would really help. We do not want it to fix any higher than that. Tks a lot.”

Bankers submitting rates responded to such requests as if they were routine: “For you, anything,” and “done ... for you big boy,” according to the e-mails. Not that the efforts went unappreciated: “Dude. I owe you big time!” one trader wrote to a Libor submitter. “Come over one day after work and I’m opening a bottle of Bollinger.”

Barclays traders also coordinated with counterparts from other banks. In an instant message, one Barclays trader wrote to a trader at another bank: “If you know how to keep a secret I’ll bring you in on it, we’re going to push the cash downwards. ... I know my treasury’s firepower ... please keep it to yourself otherwise it won’t work.”

The Libor system, overseen by the British Bankers Association, operates much the way it did in the 1980s. Even after the news media uncovered evidence of manipulation in 2008, the bank lobby did little to reduce conflicts or improve the veracity of its numbers. The best solution, as Bloomberg View has advocated, is to end Libor and create a benchmark using data from actual loans, rather than relying on banks to tell the truth about their borrowing costs.

The real tragedy of the scandal is the apparent lack of ethics or self-restraint among the people involved. Following billions of dollars of trading losses at JPMorgan Chase & Co.’s out-of-control London unit, the latest installment of big-bank follies offers yet more proof that the industry shouldn’t be trusted to regulate itself.