European Finance eJournal最新文献

{"title":"A Scale of Credit Risk Evaluations Assessed by Ordered Fuzzy Numbers","authors":"Aleksandra Wójcicka-Wójtowicz, Krzysztof Piasecki","doi":"10.2139/ssrn.3459822","DOIUrl":"https://doi.org/10.2139/ssrn.3459822","url":null,"abstract":"Banks faced many difficulties related to lax credit standards. The effective management of credit risk is a critical component of a comprehensive approach to risk management and it should maintain credit risk exposure within acceptable parameters. However, the problem arises when standards are not strictly quantitative as managers often depend on various approaches – also on experts’ techniques. Each bank has the credit assessment department and a specific credit assessment committee. The committee is provided with the analysts’ recommendation based on ratios from financial statements and internal rating system. However, the final decision belongs to the committee members who do not solely rely on financial data and take into consideration factors of a wider spectrum, e.g. the prospects of the line of business or the experience of board members etc. Those factors are often considered on the linguistic scale which includes imprecise and inaccurate quantifiers such as: more/less, better/worse etc. which for the experts are justified and result from their personal experience.<br><br>The paper presents the approach of the decision-making techniques and scales of imprecise phrases commonly used in the process of credit risk assessment based on experts’ preferences. Due to the imprecision, ordered fuzzy numbers are a useful tool. It also focuses on a question how, a human judgement approach, based on prioritizing and ranking prospect borrowers, affects the decision-making process.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116899828","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Reporting Quality and Sustainability Information Disclosure in Brazil","authors":"João Antônio Salvador de Souza, L. Flach, Jose Alonso Borba, Cleber Broietti","doi":"10.2139/ssrn.3452050","DOIUrl":"https://doi.org/10.2139/ssrn.3452050","url":null,"abstract":"Currently, businesses face an information disclosure approach involving the triple bottom line (social, environmental, and financial). This paper aims to investigate the relationship between corporate social responsibility (CSR) information and financial reporting quality (FRQ). We argue that CSR companies behave differently in preparing financial accounting reports. Recent literature supports this theme, providing two distinct hypotheses: transparent financial reporting and retreatment. We used a sample of 1,181 companies from the years 2012 to 2016 to identify if socially responsible companies have better quality financial accounting information. In contrast to the hypotheses raised, we didn’t find a relationship between the CSR disclosures and the FRQ proxies. This suggests that sustainable companies do not explain lower or higher levels of earnings management. Our findings remain unchanged when we replace results management through discretionary accruals for manipulations of operating activities. Estimates with comparable samples also didn’t change the interpretations of the results.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134294364","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk","authors":"N. Burgess","doi":"10.2139/ssrn.3479833","DOIUrl":"https://doi.org/10.2139/ssrn.3479833","url":null,"abstract":"Libor is arguably the world's most important number, with more than USD 200 trillion of derivatives, loans, securities and mortgages referencing this rate in the US markets alone. The Libor benchmark rate is being replaced with alternative reference rates (ARRs) and there is no guarantee the rate will continue to be quoted beyond 2021. \u0000 \u0000In this paper Libor benchmark rate reform is discussed in detail and we assess the impact this has on yield curve construction, interest rate pricing and risk. We highlight why Libor is important, review its history and how it has evolved, which leads to a discussion as to what is wrong with Libor benchmarks. We outline market terminology with regards to both interest rates and yield curve construction, before proceeding to assess on the impact of Libor reform, reviewing the new benchmarks, fall-back rates and yield curve changes. \u0000 \u0000We review yield curve calibration and in doing so provide many charts and Excel workbook illustrations to demonstrate new features of ARR yield curves. We explain how to both bootstrap and globally calibrate curves to imply forward rates & discount factors. Moreover, we outline the interpolation, optimization and solving process, showing how to calibrate curves in such a way to capture the necessary risk metrics required to compute analytical risk and rebuild curves for ultra-fast performance. \u0000 \u0000It is hoped this paper will serve as a useful Libor benchmark rate reform and yield curve primer.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126797126","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Index Fund and ETF Ownership and the German Market for Corporate Control","authors":"Ludwig Dobmeier, Renata Lavrova, B. Schwetzler","doi":"10.2139/ssrn.3443622","DOIUrl":"https://doi.org/10.2139/ssrn.3443622","url":null,"abstract":"If a bidder launches a takeover offer for a listed company being part of a stock market index, then index funds and exchange traded funds (ETF) as shareholders of this company cannot easily tender their shares without losing track of the index. This paper analyzes the impact of index fund and ETF ownership on the success of takeover offers in Germany. Based on a sample of 323 takeover offers of publicly listed German companies between 2006 and 2018, we document a significant negative impact of index fund and ETF ownership on takeover success. The fraction of outstanding shares eventually being tendered is decreasing with an increase in the stake of index funds and ETF: a one standard deviation increase in pre-offer index fund and ETF ownership reduces the fraction of outstanding shares gained by the bidder by 4.5 percentage points. For control-taking takeover bids with a bidder’s toehold below 30% this value increases to 9.9 percentage points. Thus, our results suggest the increasing importance of index funds and ETF to weaken the German market for corporate control.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128422207","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Ant or the Grasshopper? The Long-Term Consequences of Unilateral Divorce Laws on Savings of European Households","authors":"V. Angelini, Marco Bertoni, Luca Stella, Christoph T. Weiss","doi":"10.1016/J.EUROECOREV.2019.07.002","DOIUrl":"https://doi.org/10.1016/J.EUROECOREV.2019.07.002","url":null,"abstract":"","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118486057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Modeling Hard and Soft Facts for Smes: Some International Evidence","authors":"Massimo Matthias, Michele Giammarino, G. Gabbi","doi":"10.1111/jifm.12108","DOIUrl":"https://doi.org/10.1111/jifm.12108","url":null,"abstract":"This paper asks how well the use of quantitative and qualitative variables can improve the assessment of companies' creditworthiness and how this result can be influenced by the economic and financial peculiarities of countries. We harden qualitative variable measures to model soft information aimed at scoring microfirms, small, and medium&#8208;sized firms. The structural survey covers Germany, Italy, and the UK in a sample of about 17 thousand companies observed during the financial crisis. Soft facts are determined within the balanced scorecard framework in order to find out the impact of customers, business processes, learning and growth, and financial perspectives. Our findings show that credit models integrating soft variables optimize the risk estimation, but estimates are country&#8208;specific and should be tailored to the characteristics of each economic system.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127588143","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Systemic Risk Analysis and SIFIs Detection: A Proposal for a Complete Methodology","authors":"Luca Riccetti","doi":"10.2139/ssrn.3415730","DOIUrl":"https://doi.org/10.2139/ssrn.3415730","url":null,"abstract":"The paper starts reviewing the financial systemic risk mechanisms and how to measure this risk. Then, it proposes to develop an agent-based multi-layer network simulation suited to measure the systemic risk, in order to identify Systemically Important Financial Institutions (SIFIs), and to understand the best policies both to prevent the distress and to mitigate the contagion. The methodology will correctly model the direct network contagion channel (interconnectedness of balance sheet of financial institutions, including direct losses and liquidity hoarding), also integrating the indirect contagion channel (fire sales and bank runs), in order to reach the ground-breaking target of a full representation of the financial systemic risk.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131715139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Tournament Incentives and Firm Credit Risk: Evidence from Credit Default Swap Referenced Firms","authors":"Lijing Du, Jian Huang, B. A. Jain","doi":"10.1111/jbfa.12395","DOIUrl":"https://doi.org/10.1111/jbfa.12395","url":null,"abstract":"In this paper, we evaluate the impact of managerial tournament incentives on firm credit risk in credit default swap (CDS) referenced firms. We find that intra&#8208;firm tournament incentives are negatively related to credit risk. Our results suggest that tournament incentives reduce credit risk by alleviating the potential for underinvestment when managers are concerned about exacting empty creditors. Further, we find that tournament incentives decrease credit risk when internal governance is strong or product market competition is intense. Taken together, our results suggest that creditors perceive senior manager tournament incentives (SMTI) as a critical determinant of a firm's credit risk, particularly in settings where managerial risk aversion is high.","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128733234","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve","authors":"F. Eser, Wolfgang Lemke, K. Nyholm, Soeren Radde, A. Vladu","doi":"10.2139/ssrn.3417070","DOIUrl":"https://doi.org/10.2139/ssrn.3417070","url":null,"abstract":"We trace the impact of the ECB’s asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the “free-float of duration risk” borne by price-sensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by 95 bps. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases is found to have a significant impact on term premia. JEL Classification: C5, E43, E52, E58, G12","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"481 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127561472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Towards a European Legal Framework for Loan-Originating Funds","authors":"Sebastiaan Niels Hooghiemstra","doi":"10.2139/ssrn.3492968","DOIUrl":"https://doi.org/10.2139/ssrn.3492968","url":null,"abstract":"Over the last few years, the European AIF industry has witnessed a surge of interest in loan-originating funds. Both regulatory and economic aspects have been driving this trend. \u0000 \u0000The tighter regulation and increased capital requirements imposed by Basel III on traditional lending banks has reduced the capacity for banks to issue loans. In particular, this holds true for issuing loans to SMEs. Unlike large corporates, SMEs do not have the possibility of a wide range of financing options, such as bonds and listed debt instruments. Given the dependence of European SMEs on bank financing, this created a massive gap in the financing market. Furthermore, institutional investors have been looking to diversity their assets in the search for yield in a low-interest rate environment. This is where European loan-originating fund managers have successfully been stepping in. \u0000 \u0000The current main problem for loan-originating funds in the EEA is that Member States have implemented CRD IV in different ways that restricts loan-originating fund managers in granting loans to SMEs in various EEA Member States. Some Member States take a rather strict approach and consider the origination of loans as a pure banking activity (the so-called ‘banking monopoly’), whereas others also allow non-banking entities to grant loans in their domestic markets. This causes a fragmented landscape for loan-originating funds in which loan-originating fund managers are, in practice, forced to strategically focus themselves on a few (big) EEA domestic markets. As a response to loan-originating funds gaining traction with the EEA, a number of EEA Member States have opened up their ‘banking monopoly’ to boost lending to SMEs by loan-originating fund managers. Despite having the same objective, the regimes on the national level are not necessarily consistent and the current ‘goldplating’ of national AIFMD product laws makes the pan-EU origination of loans for loan-originating fund managers challenging. Furthermore, the regulatory strings attached to the ELTIFR, EuVECAR and EuSEFR have so far offered little help in remedying this fragmented landscape. \u0000 \u0000In an attempt to investigate the current landscape, ESMA conducted research into national loan- originating fund product regimes and issued an opinion related to that. Although the mood is reasonably optimistic, no harmonized EU proposal is yet in place. \u0000 \u0000This contribution seeks to contribute by developing pan-EU standards to facilitate the growth of lending to SMEs and soliciting capital from EEA investors by pan-European loan-originating funds. To that end, section 2 discusses the differences between 'loan funds', loan-originating funds' and 'loan-participating funds'. Section 3 focuses on the EU banking law restrictions, as implemented by Member States under their CRD IV national implementations, for loan-originating funds and section 4 on the differences between loan-originating funds versus banks in terms of investor versus deposit ","PeriodicalId":233958,"journal":{"name":"European Finance eJournal","volume":"163 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132091682","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}