Aureliano Angel Bressan

Objective: This study aims to evaluate the performance of different ARMA-GARCH model specifications in the risk management of major cryptocurrencies, investigating whether the inclusion of exogenous variables improves the calibration of risk measures such as Value-at-Risk (VaR) and Expected Shortfall (ES). Methodology: To achieve this objective, 4,032 specifications of the ARMA-GARCH model applied to the ten main cryptocurrencies in trading were tested. The study incorporated the Fear and Greed Index and Bitcoin Trading Volume as exogenous variables in an ARMA-GARCH-X framework, comparing the performance of the different specifications against an ARMA(1,1)-GARCH(1,1) benchmark. Originality: Despite growing interest in crypto asset risk management, there are still gaps in the literature regarding the effectiveness of incorporating exogenous variables into forecasting models, as well as the increase in the quality of forecasts when using more complex models. Main results: The results indicate that the inclusion of external variables improves risk calibration in some assets, although the gains are marginal and heterogeneous. There is also no single optimal parameterization, requiring ARMA orders, GARCH specifications, and error distributions to be adjusted for each cryptocurrency. Theoretical/methodological contributions: From a methodological point of view, the study contributes by demonstrating the importance of specific calibration of ARMA-GARCH models for different cryptocurrencies in risk estimation. Furthermore, the results suggest that, although more complex models can improve tail risk estimation, the gains in predictive power over simpler models are limited. Keywords: Cryptocurrencies; Risk Management; ARMA-GARCH; Value-at-Risk; Expected Shortfall.

This study examines the determinants of capital adequacy in Brazilian commercial banks, focusing on how internal performance indicators from the CAMELS (capital adequacy, asset quality, management quality, earnings, liquidity, and sensitivity to market risk) framework and macroeconomic conditions shape prudential capital buffers under Basel III. Although capital regulation plays a central role in emerging economies, the literature offers limited evidence on the joint influence of CAMELS dimensions and macroeconomic factors on banks’ excess capital positions. Moreover, few studies explicitly address the dynamic and endogenous nature of prudential capital adjustment, particularly in the Brazilian context. Understanding the drivers of banks’ capital buffers provides insights into the effectiveness of Basel III in strengthening financial resilience and informs regulatory debates in developing economies. Quarterly panel data from 15 Brazilian commercial banks from 2018 to 2024 are analyzed using traditional panel estimators and dynamic approaches based on difference and system generalized method of moments, allowing for endogeneity, persistence, and intertemporal adjustment. The dependent variable is defined as the difference between the observed capital adequacy ratio and the regulatory minimum. The results indicate that asset quality and profitability positively affect capital buffers, while leverage and inflation exert robust negative effects. Other factors, including liquidity, market risk sensitivity, bank size, and economic growth, display specification-sensitive results, highlighting the role of dynamic adjustment and feedback effects. Overall, capital buffers reflect a prudential and dynamic process rather than purely contemporaneous decisions. The findings contribute to the prudential regulation literature and provide insights for regulators and bank managers regarding risk-based supervision and capital planning in emerging economies.

This study aimed to develop and validate a psychometric instrument for measuring financial resilience among socioeconomically vulnerable populations in Brazil, addressing a gap in context-specific measurement tools for emerging economies. A cross-sectional study was conducted with 388 adults from Brazil's C, D, and E socioeconomic classes. The instrument's development involved a multi-phase process including expert content validation, pilot testing, and construct validation through exploratory and confirmatory factor analyses and Structural Equation Modeling. The analysis yielded a 11-item instrument with appropriate psychometric properties. The final validated model confirms a second-order structure for financial resilience composed of three core dimensions: Savings Behavior, Coping Capacity, and Financial Inclusion. Notably, Financial Literacy and Social Support, while part of the initial theoretical model, were excluded from the final structure after statistical analysis failed to support them as independent factors. The study's primary limitations include its non-probabilistic and cross-sectional sample, which restricts the generalizability of the findings. It is recommended that future research test the instrument with probabilistic, longitudinal samples and in underrepresented populations, such as rural and native communities, to further establish its validity.

O avanço das plataformas de apostas esportivas (bets) no Brasil tem despertado preocupações quanto ao seu impacto sobre grupos social e economicamente vulneráveis. Este estudo investiga os principais fatores associados à propensão e à frequência de uso das bets, com base nos dados do Raio-X do Investidor 2024 e 2025 da ANBIMA. Por meio de modelos logísticos e de Floresta Aleatória, buscou-se identificar como as variáveis idade, renda, estresse financeiro e acesso digital influenciam neste comportamento. Os resultados revelam que indivíduos mais jovens, com menor renda e sob maior estresse financeiro apresentam maior propensão a apostar e a fazê-lo com frequência. A motivação econômica para apostar foi o preditor mais relevante na distinção entre os níveis de frequência de apostas, revelando uma percepção distorcida das bets como complemento de renda. Os achados evidenciam a necessidade de políticas públicas de proteção, educação financeira e regulação da publicidade para evitar o agravamento de desigualdades e os riscos associados a esta prática.

This article investigates the factors that influence the choice of Brazilian film production companies regarding different public cultural incentive mechanisms. Based on a questionnaire applied to 80 companies from various regions of the country, the study identified the key elements valued in the selection of available funding instruments. Content analysis of the responses revealed three main categories: Finance, Logistics, and Creation. The results show that direct funding, lower bureaucracy, and easier access are the most attractive aspects. The Audiovisual Sector Fund was the most frequently cited mechanism, followed by the Audiovisual Law. The findings provide insights for improving public cultural policies directed at Brazil’s audiovisual sector.

RESUMO Este artigo investiga os fatores que influenciam a escolha de produtoras cinematográficas brasileiras por diferentes mecanismos de incentivo público à cultura. Por meio de um questionário aplicado a 80 produtoras de distintas regiões do País, foram identificados os elementos mais valorizados pelas empresas na escolha entre os instrumentos de fomento disponíveis. A Análise de Conteúdo das respostas revelou três categorias principais: Finanças, Logística e Criação. Os resultados indicam que o financiamento direto, a menor burocracia e o acesso facilitado são os aspectos mais atrativos. O Fundo Setorial do Audiovisual foi o mecanismo mais citado, seguido pela Lei do Audiovisual. As conclusões oferecem subsídios para o aprimoramento das políticas públicas culturais voltadas ao setor audiovisual brasileiro.

RESUMO Este estudo examina os determinantes da adequação de capital nos bancos comerciais brasileiros, com foco em como os indicadores internos de desempenho da estrutura CAMELS (adequação de capital, qualidade dos ativos, qualidade da gestão, ganhos, liquidez e sensibilidade ao risco de mercado) e as condições macroeconômicas moldam o capital prudencial adicional sob o Acordo de Basileia III. Embora a regulamentação de capital desempenhe um papel central nas economias emergentes, a literatura oferece evidências limitadas sobre a influência conjunta das dimensões CAMELS e dos fatores macroeconômicos nas posições de capital excedente dos bancos. Além disso, poucos estudos abordam explicitamente a natureza dinâmica e endógena do ajuste prudencial de capital, particularmente no contexto brasileiro. Compreender os fatores determinantes dos adicionais de capital dos bancos fornece insights sobre a eficácia do Acordo de Basileia III no fortalecimento da resiliência financeira e contribui para os debates regulatórios nas economias em desenvolvimento. Dados de painel trimestrais de 15 bancos comerciais brasileiros de 2018 a 2024 são analisados utilizando estimadores de painel tradicionais e abordagens dinâmicas baseadas no método de momentos generalizados por diferença e por sistema, permitindo endogeneidade, persistência e ajuste intertemporal. A variável dependente é definida como a diferença entre o índice de adequação de capital observado e o mínimo regulatório. Os resultados indicam que a qualidade dos ativos e a rentabilidade afetam positivamente a adequação de capital, enquanto a alavancagem e a inflação exercem efeitos negativos robustos. Outros fatores, incluindo liquidez, sensibilidade ao risco de mercado, tamanho do banco e crescimento econômico, apresentam resultados sensíveis à especificação, destacando o papel do ajuste dinâmico e dos efeitos de retroalimentação. De modo geral, os valores de capital adicional refletem um processo prudencial e dinâmico, em vez de decisões puramente contemporâneas. Os resultados contribuem para a literatura sobre regulamentação prudencial e fornecem insights para reguladores e gestores bancários sobre supervisão baseada em risco e planejamento de capital em economias emergentes.

This paper investigates the behavior of investors in the face of negative real interest rates through a quasi-experiment with 142 respondents. The study analyzes the impact of changes in the invested volume, time horizon, and interest rates on investment decisions. The findings reveal that investors with a shorter investment time horizon and those who save larger amounts are more likely to tolerate negative real rates. However, the tolerance for negative real rates decreases when investors are provided with information about the effects of inflation. The study found no effects of saving habits and financial literacy on the tolerance for negative real rates. These insights are important for policymakers and financial agents in countries with wide and successive variations in interest rates and inflation, as they can help in defining more effective and sustainable credit and financial inclusion policies.