International Monetary Fund. Monetary and Capital Markets Department
Brazil has a large and diverse investments funds sector which is subject to a robust regulatory framework. The competent authority, the Comissão de Valores Mobiliários (CVM), requires high standards of the entities it oversees and makes good use of the extensive data it receives from market participants on an ongoing basis. Fiduciary administrators play an important role as the main gatekeeper for investment funds and, despite the highly concentrated nature of the industry, there is evidence that they make a significant contribution to the safety and soundness of the sector as a whole.
Ms. Yingbin Xiao, Mr. Dale F Gray, Cheng Hoon Lim, and Michael T. Gapen
In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.