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Basilea III: Nuevos Paradigmas para el Negocio Bancario en Latinoamérica

Alfredo B. RoisenzvitPanamá, 22 de Setiembre de 2016

! Actualidad:! Economista, distinción cum-laude, Harvard University,

! Posgrado especialización en Finanzas, ISEG-BCRA

! Executive Director RiskBusiness Latin America

! Asociado y Rep del Risk Management Association para LATAM

! CEO Erudias: Empresa de Capacitación en temas financieros

! Profesor Risk Management ,Regulación Bancaria: Masters en Finanzas de la U de San Andres, exProfesor de Risk management en el PDP, y de Regulacion Bancaria en el Posgrado de Desarrollo sustentable de la UCA. U de San Andres: Co autor del Diplomado en Administración de Riesgos y Basilea II y profesor de Materias de Riesgo Operacional y Basilea II. Profesor de Adminsitración de Riesgos en el Programa de Adminsitración Bancaria, Universidad Torcuato Di Tella

! Antes:! Banco Central de la República Argentina:

! Gerente de Coordinación de Supervisión (A cargo de desarrollo de manuales y técnicas de supervisión)

! Responsable implementación de BII para la Supervisión

! Representante de Argentina ante ASBA – Trabajos con el Comité de Basilea para BII

! Desarrollo y coordinación del Programa de Capacitación de Supervisión

! Asesor del Directorio

! Congreso de La Naciòn

! Trabajos para ley de Cheques, LEF, CO del BCRA, Factura de Crédito entre otras

! Diversas Publicaciones y conferencias en materia financiera

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! Joel Bessis:! “A Bank is a Risk Machine!”

! ¿Por Qué?! Los Incentivos de la estructura bancaria! La Regulación principal y única: ………. ?

! La “materia prima” del banco

! La Regulación Moderna girará entonces en torno a la relación entre capital y riesgo.

! Somos contemporáneos a:

1. Un cambio de Paradigma en la Regulación

2. Un cambio en la formulación e interpretación de la actividad financiera

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! Esto en el marco de una proliferación de mejoras en el entendimiento conceptual de nuestro comportamiento:

! Premio Nobel de Economía 2006: Prof. Daniel Kahneman! Bounded Rationality,! Prospect Theory: ! Inauguran lógica de Economía del Comportamiento

! En nuestra capacidad cognitiva conviven 2 sistemas que movilizan nuestras decisiones:

1. System 1: System 1 thinking refers to our intuitive system, which is typically fast, automatic, effortless, implicit, and emotional. We make most decisions in life using System 1 thinking

2. System 2: By contrast, System 2 refers to reasoning that is slower, conscious, effortful, explicit, and logical”

“Specifically, researchers have found that people rely on a number of simplifying strategies, or rules of thumb, when making decisions. These simplifying strategies are called heuristics. As the standard rules that implicitly direct our judgment, heuristics serve as a mechanism for coping with the complex environment surrounding our decisions. In general, heuristics are helpful, but their use can sometimes lead to severe errors” (Bazerman)

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! 75% cree que son los “dueños” legales de sus depósitos

! "!

2) 74% of people think that they are the legal owner of the money in their current account, as opposed to the bank !Almost three quarters of the public believe that they still own the money they deposit in the bank, however, under British law the customer has no specific claim of ownership of these assets, as they become the property of the bank and are treated as loans from the depositor. The famous legal case of Carr vs Carr (1811) established that putting money in a bank was not an act of bailment, but rather was a generalized debt (from bank to customer). This seemingly innocuous change opened the doors for fractional reserve banking. Suddenly, the bank was not responsible for the specific asset the customer entrusted them with, only the generalized debt. This allowed them to take a portion of the deposit and loan it or invest it. Consequently, banks became responsible only to repay the customer the amount of the deposit, while the depositor had no specific claim of ownership of the assets deposited. Only 8% of the public understood this point, whilst 16% believe that both the account holder and the bank share ownership of the same resources.

Question 2. Who do you think owns the money in your current account(s)?

! 33% cree que el Banco no puede usar ni prestar su depósito

! "!

4) 33% of the population oppose the fact that banks lend out some of the money in their current account as loans !A majority of the population do not mind about their bank lending out some of

the money in their current account as loans, however 33% believe that they

have not given this permission to the bank. Given the fact that banks do these

transactions all the time, one may conclude that they are simply not aware of

this reality. As the Foley vs Hill case (1848) showed, demand deposits

become the property of the bank given that the bank has borrowed the money

from its customer. It was found that when a customer pays money into his

account, the bank becomes a debtor to the customer. The money becomes

the property of the bank.

Question 4. You may or may not have been previously aware that banks lend

out some of the money deposited within current accounts by their customers

to fund loans. Which of the following best describes how do you feel about the

fact that your bank lends out some of the money in your current account as

loans?

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! 33% cree que el Banco debería quebrar bajo reglas normales de bancarrota

! 26% cree que bancos deben respaldar el 100% de los depósitos

! "!

5) Only 33% of the general public favour the existing policy of government backed deposits and a lender of last resort

When asked about what policies should be applied to banking, a third of the

general public believe that if banks were subjected to normal bankruptcy

regulations, they would act more cautiously. Anther third of the public

supported the current practice of government guarantees and the support of

the central bank if there is a bank run. Around a quarter of the public

supported the idea of mandating 100% reserves.

Question 5. Given that banks only keep a fraction of the money their

customers deposit with them in reserve, if more than 1 in 34 people wish to

withdraw all their money at the same time they would not have enough to pay

out. Which of the following apply to what you think about this:

! Por definición, un banco es un equilibrio inestable de fuerzas dispares, con incentivos contrapuestos.

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!¿Los Problemas Intrínsecos de la Banca son:

1. Incentivos hacia alto apalancamiento

2. Incentivos hacia disminuir la transparenciaen el real valor de los activos

! Centrada en el capital y la gestión de los riesgos

! ¿Para qué sirve el capital?

! Para solventar las pérdidas no esperadas ypara sustentarplanes de crecimiento

! Iguala los incentivos del banquero con los del depositante

! Evolución de la regulación:

! Límite al apalancamiento

! Se convierte en requisitos de capital

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!“Idioma” diferente en lasRegulaciones:

!Principios en vez de check-lists

!Nuevo enfoque de cumplimiento

!“Explicar y Demostrar”

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! La mayoría de los reguladores requieren a los bancos la presentación anual de un

! Esto significa que el banco debe presentar por escrito la explicación de su enfoque Cualitativo y Cuantitativo de risk management...

! Para cada Riesgo!

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El ICAAP: (Proceso de Autoevaluación del Capital)

! Las Directivas en países de Europa establecen un informe por escrito con diferentes alcances

! En AL están convergiendo hacia su implementación

! Diferentes Países toman diferentes enfoques, pero todos bajo los mismos lineamientos establecidos en el Pilar II

! España: enfoque estandarizado para ICAAP de bancos pequeños

La forma de Medir si un país aplica BII / III es ver si sus bancos realizan ICAAPs

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El Comité de Basilea y el cambio de Paradigma

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! Acuerdo de Capital 1988! Principios Básicos para una

Supervisión Bancaria Efectiva(Core Principles) 1997

! Acuerdo de Capital II (B asilea II)2004

! Modificación de los Core Principles(2006)

! No constituye formalmente unorganismo superv isor supranacional ysus conclusiones y recomendacionesno tienen fuerza legal. (PERO....)

Core Principles– Principios de Basilea

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! Basilea I: Capital

! Basilea II: Risk Management

! Basilea III: Estabilidad Macroprudencial

! INTERNATIONAL CONVERGENCE OF CAPITAL MEASUREMENT AND CAPITAL STANDARDS, Julio 19881

! Capital Accord : Acuerdo de Capitales Mínimos

" Constituents of Capital (Componentes)1. Capital Básico : Core Capital (Acciones y Reservas publicadas) (debe ser 50%

del capital total)

2. Capital Complementario

! (Reservas, Previsiones, Perpetuities / Hibridos, ONS

" Requisito Mínimo: 8%

" Ponderadores

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! Esto genera regulaciones más sensibles al riesgo

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! Era necesario:! Para los bancos

!Mayor granularidad en la evaluación de riesgos de cada cartera

! Para los reguladores:!Mejor captura de los 2 problemas Intrínsecos de la Banca

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! Para administrar adecuadamente los riesgos se necesitan:

! Información

! Método

! Toma de Decisiones

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! El modelaje de riesgos nos aporta el segundo elementoimportante para la implementación de los ModelosAvanzados de Risk Management

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Basilea II

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La Crisis y su impacto sobre la regulación

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! En perspectiva, el problema fue uno clásico de crisis bancaria

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La respuesta regulatoria! 26-3-09: Secretario Geithner ante Congreso:! The current system failed in basic, fundamental ways and has

proven to be too unstable and fragile! To address this will require comprehensive reform. Not modest

repairs at the margin, but new rules of the game."! extend federal regulations for the first time to all trading in

financial derivatives, exotic financial instruments such as credit default swaps and would require larger hedge funds to register with the SEC

! Single systemic regulator for participants in the financial system! "Let me be clear: the days when a major insurance company

could bet the house on credit default swaps with no one watching and no credible backing to protect the company or taxpayers from losses must end,"

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! Como consecuenacia de la Crisis, el Comité de Basilea aprobó una serie de reformas a Basilea II, y las dio a conocer como Basilea III

! Estas reformas se centran en 5 elementos principales:! Mayor requisito de capital básico o ‘core´! Colchones Contracíclicos! Requisito de ratios de liquidez de corto y largo plazo! Colchón extra para bancos sistémicos! Visión Micro + Macro Prudencial

! Si bien son reformas positivas e importantes, el gran cambio de paradigma reside en la aplicación de Basilea II y III conjuntamente

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! Nuevas Tecnologías: Big Data

! Es el análisis estadístico (no tradicional) de grandes cantidades de datos, que permite obtener patrones de comportamiento en la información, para arribar a explicaciones o proyecciones sobre la misma.

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Managing risk in an international financial institution

Aon Risk Solutions hosts ‘mega trends’ discussion panel

Islamic banking: Changing perceptions

News: Market manipulation; Fifa update;

JPMorgan hacking case

June 2016 Behind the maskLessons learned from the Panama Papers

Big data

The case for operational

risk management

Cover 54 FINAL.indd 1 15/06/2016 15:58

! Multiplicidad de Enfoques

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Big data

risk management performance”, according to the survey report. In Figure 2 above, we can ascertain how big data is predicted to become much more representative in the next three years – the survey was carried out in 2014, so progress in this area is well underway. Interestingly, the survey predicts that by next year, roughly 90% of the industry will be using big data tools as predictive analytics and data visualisation aids.

Figure 3 above shows the actual implementation by respondents of big data in risk management activities. The biggest category, with one third of respondents, is the prevention of credit card fraud; one of the highest frequency operational risk events historically tackled by banks of all sizes and complexity. As we can see from the responses, compliance is also present, in line with my earlier point that they have

closely interrelated risk drivers.The IBM Institute for Business Value, in

conjunction with the Said Business School at the University of Oxford argues that big data may be best understood as the convergence of four dimensions, or “four Vs”: volume, variety, velocity and veracity. According to IBM, “volume” refers to the quantity of data, as big data is frequently defined in terms of massive data sets, with metrics such as petabytes and zetabytes commonly referenced; “variety” refers to the increasing diversity in the types and sources of data requiring management and analysis; “velocity” refers to the accelerating speed at which data is being generated today and, finally; “veracity” refers to the reliability associated with particular data.

In line with this new logic of data availability in its many dimensions, Veldhoen1 has developed the interesting

New data lake technologies have the benefit of collecting data from any imaginable source; not only trading systems, email, social media and mobile data

20 The Risk Universe June 2016

Comprehensive data on the organisation’s risk profile routinely provided to the board and senior executives

Basic big data tools to integrate, manipulate and access structured and unstructured data

Advanced big data tools such as predictive analytics and data visualization

FIGURE 2: WHAT IS YOUR ORGANISATION USING NOW AND WHAT DO YOU EXPECT IN THREE YEARS?% of all respondents

81 15

42 47

41 44

Now In 3 years

Source: Economist Intelligence Unit survey, July, 2014.

Preventing credit card fraud

Guarding against loan defaults

Meeting liquidity requirements

Supporting compliance and reporting

Anticipating market trends

FIGURE 3: WHICH OF THE FOLLOWING RISK MANAGEMENT ACTIVITIES HAS BIG DATA BEEN MOST SUCCESSFUL?% of all respondents using Big Data tools

31

26

24

9

8

Source: Economist Intelligence Unit survey, July, 2014.

1. Veldhoen, A and De Prins, S: Applying Big Data to Risk Management, Avantage Reply, (2014).

Data FINAL.indd 20 15/06/2016 12:43

! Nuevas Tecnologías: Big Data

! Presiones de la industria para retraer regulación post-

crisis

! Decisiones “abiertas” todavía en el Comité de Basilea

! Modelos avanzados de Riesgo Operacional – virtualmente

suspendidos

! Cronograma amplio de BIII es hasta 2019

! Desafíos para la región

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! Potencial para demasiada diferenciación de

avances (y eventualmente tratamiento

regulatorio) entre:

! Bancos Grandes Internacionales

! Bancos Grandes Locales

! Bancos pequeños

! Esto redundaría en aún más concentración

! Relativo retraso en implementación de modelos y

esquemas de gestión más avanzados, consistente con

menos profundidad de los sistemas

! ¿Puede ser un condicionante para el siguiente paso de

desarrollo?

! Avances están mucho menos establecidos y

aceptados

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Es un Arte!!1. Entender el Problema2. Entender los Datos / Información3. Prparar los Datos4. Modelar5. Evaluar el Modelo (corriéndolo con datos reales)6. Volver a recalibrar el modelo/ problema / datos7. Incorporar y documentar el Conocimientoadquirido

Sir Winston Churchill:“Now this is not the end. It is not even the

beginning of the end. But it is, perhaps, the end of the beginning…”

Como todo proceso complejo, debe encararse con Esfuerzo y Esperanza

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Alfredo B. Roisenzvit

alfredo@basileaIII.com