A carregar...
Publicação
The notion and role of ´suitable empirical information´ in the solvency II:
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 488.32 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
A possibilidade do risco sist´emico do setor segurador ´e um debate em curso. E comum ´
ler-se que o risco sist´emico ´e impulsionado pelo problema de informa¸c˜ao assim´etrica
entre as entidades reguladoras e as institui¸c˜oes financeiras, o que pode tornar assim, a
regula¸c˜ao prudencial ineficiente. Partindo-se desta idea, ´e apresentado ao longo dos
principais cap´ıtulos desta disserta¸c˜ao (Cap´ıtulos 2 e 3), uma abordagem te´orica do papel
da informa¸c˜ao privada no desenho de requisitos regulamentares que permite explicar o
risco sist´emico do setor segurador. No segundo cap´ıtulo procuro abordar como os
problemas no desenho da Diretiva Solvˆencia II afetam a qualidade regulat´oria: a
incompletude da Diretiva causada pela assimetria de informa¸c˜ao e eventos indescrit´ıveis
na fase do seu desenho aumenta a probabilidade de risco sist´emico. Em particular,
demonstro que, os princ´ıpios da Diretiva podem conduzir a resultados sub´otimos por
duas raz˜oes. Em primeiro lugar, o setor segurador goza de um poder discricion´ario
significativo no que diz respeito `a gest˜ao de riscos e ao controlo interno, onde os
requisitos regulamentares podem n˜ao corresponder (i) `as verdadeiras caracter´ısticas da
sua gest˜ao de riscos e do seu controlo interno e (ii) aos seus incentivos para a tomada de
risco excessivo. Por outro lado, a generalidade que caracteriza estes requisitos permite
fazer face a eventos n˜ao descritos, mas deixa o setor relativamente menos regulado. No
terceiro cap´ıtulo, abordo o problema de como o desenho ´otimo de pol´ıticas
macroprudenciais para o setor segurador ´e dependente de informa¸c˜ao privada. Defendo
que o setor tem incentivos para esconder as suas verdadeiras caracter´ısticas, no
pressuposto de que a probabilidade de risco sist´emico constitui informa¸c˜ao privada do
setor segurador. Estes incentivos s˜ao impulsionados, em larga escala, por receios quanto
`a regula¸c˜ao mais onerosa ex post, visto que pressup˜oe-se que o regulador n˜ao pode
comprometer-se ex ante a ignorar informa¸c˜ao divulgada pelo setor aquando do desenho
da regula¸c˜ao. Dependendo da informa¸c˜ao dispon´ıvel, o regulador possui ou n˜ao um
conhecimento correto sobre o risco sist´emico do setor. A regula¸c˜ao desenhada ir´a
eventualmente refletir a revis˜ao do seu conhecimento. De um modo geral, a presente
disserta¸c˜ao ´e relevante para o entendimento das reformas da Solvˆencia II, tendo em vista
mitigar o risco sist´emico, e melhorar o m´etodo de avalia¸c˜ao ao pre¸co de mercado, e o
princ´ıpio do ‘gestor prudente’.
An ongoing debate is the extent to which insurance companies generate systemic risk. The commonly held view is that systemic risk is driven by asymmetric information problems between regulators and financial institutions, which may render prudential regulation inefficient. Taking this view as a starting point, I develop throughout the main chapters of this dissertation (Chapters 2 and 3) a theoretical account of the role of private information in regulatory design, which allows me to explain systemic risk in the insurance sector. In the second chapter, I study how the Solvency II Directive’s design issues affect regulatory quality: the incompleteness of the Diretive because of information asymmetry and indescribable events in its design stage increases the chance of systemic risk. In particular, I show that Solvency II’s principles lead to suboptimal outcomes because of two reasons. First, it gives wide discretion to insurers over their risk management and internal control, where the requirements it lays down may not reflect (i) the true characteristics of their risk management and internal control and (ii) excessive risk-taking incentives. Second, its requirements operate at a high level of generality in order to deal with events not described, but leave insurers relatively less regulated. In the third chapter, I study the optimal design of macroprudential policy in insurance contingent on private information. Assuming that the probability of systemic risk is the insurance sector’s private information, I show that insurers have an incentive to hide their true characteristics. This incentive is driven entirely by the fear of costly ex-post regulation, since I assume that the regulator cannot commit ex ante to ignore information disclosed by insurers when designing his regulation. Depending on the information available, the regulator either holds correct or incorrect beliefs about systemic risk in insurance. Ultimately, the policy he designs will reflect his belief updating. Overall, the present dissertation is relevant for the understanding of reforms to Solvency II designed to mitigate systemic risk, and improvements relating to mark-to-market valuation and the ‘prudent person’ principle.
An ongoing debate is the extent to which insurance companies generate systemic risk. The commonly held view is that systemic risk is driven by asymmetric information problems between regulators and financial institutions, which may render prudential regulation inefficient. Taking this view as a starting point, I develop throughout the main chapters of this dissertation (Chapters 2 and 3) a theoretical account of the role of private information in regulatory design, which allows me to explain systemic risk in the insurance sector. In the second chapter, I study how the Solvency II Directive’s design issues affect regulatory quality: the incompleteness of the Diretive because of information asymmetry and indescribable events in its design stage increases the chance of systemic risk. In particular, I show that Solvency II’s principles lead to suboptimal outcomes because of two reasons. First, it gives wide discretion to insurers over their risk management and internal control, where the requirements it lays down may not reflect (i) the true characteristics of their risk management and internal control and (ii) excessive risk-taking incentives. Second, its requirements operate at a high level of generality in order to deal with events not described, but leave insurers relatively less regulated. In the third chapter, I study the optimal design of macroprudential policy in insurance contingent on private information. Assuming that the probability of systemic risk is the insurance sector’s private information, I show that insurers have an incentive to hide their true characteristics. This incentive is driven entirely by the fear of costly ex-post regulation, since I assume that the regulator cannot commit ex ante to ignore information disclosed by insurers when designing his regulation. Depending on the information available, the regulator either holds correct or incorrect beliefs about systemic risk in insurance. Ultimately, the policy he designs will reflect his belief updating. Overall, the present dissertation is relevant for the understanding of reforms to Solvency II designed to mitigate systemic risk, and improvements relating to mark-to-market valuation and the ‘prudent person’ principle.
Descrição
Palavras-chave
Solvency II Insurance companies Asymmetric information Disclosure Systemic risk Regulatory design Macroprudential regulation Solvˆencia II,,, , Setor segurador Informa¸c˜ao assim´etrica Divulga¸c˜ao Risco sist´emico Desenho regulat´orio Pol´ıtica macroprudencial.