ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)最新文献

{"title":"Basis Risk When Hedging a Global Credit Portfolio","authors":"Álvaro Chamizo, Alfonso Novales Cinca","doi":"10.2139/ssrn.3064589","DOIUrl":"https://doi.org/10.2139/ssrn.3064589","url":null,"abstract":"The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary position in a credit index. We examine the efficiency of such hedge in the face of decreased correlations between single name CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several questions: Is there enough diversification of risk in a global credit portfolio to allow for a good hedge? Is basis risk higher in North America than in Europe? Does the effectiveness of the hedge increase when we take credit quality into account? Do conditional second order moments provide a better hedge than least squares?","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"38 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131329393","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":"Bank Capital Structure, Fire Sales, and the Social Value of Deposits","authors":"Douglas Gale, Tanju Yorulmazer","doi":"10.2139/ssrn.2946332","DOIUrl":"https://doi.org/10.2139/ssrn.2946332","url":null,"abstract":"We describe a model in which bank deposits yield liquidity services and therefore earn a lower rate of return than equity. In this sense, deposits are a cheaper source of funding for banks than equity. The banks’ equilibrium capital structure is determined by a trade off between the funding advantages of deposits and the risk of costly default. The cost of default, however, is an illusion associated with the transfer of value in fire sales. This transfer is a private cost for the owners of failed banks but not a deadweight loss for society. As a result, deposits are under-used and banks’ funding costs receive a subsidy from depositors. This subsidy eventually causes banks to grow too large and overaccumulate assets. Policies that force banks to hold higher capital buffers, motivated by a desire to make banks “safer,” will make deposits even cheaper and increase the overaccumulation problem. Increasing leverage, on the other hand, will increase the cost of debt finance and reduce overaccumulation, but may increase the external costs of financial distress, which bankers ignore.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115381073","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 Impact of Solvency II Regulations on Life Insurers' Investment Behaviour","authors":"Graeme Douglas, Joseph Noss, Nicholas Vause","doi":"10.2139/ssrn.2999604","DOIUrl":"https://doi.org/10.2139/ssrn.2999604","url":null,"abstract":"This paper provides a means of estimating how ‘Solvency II’ regulations — introduced in the European Union in January 2016 — might affect UK life insurers’ incentives to hold different types of financial assets, and how these asset holdings are likely to vary in the face of hypothetical changes to market prices. To do so, it sets out a structural model of firms’ equity to assess their investment behaviour under different regulatory regimes. It finds that, while Solvency II may partly protect insurers’ solvency positions from falls in risky asset prices, the new regulations might encourage certain types of UK life insurers to de-risk — that is, move to holding safe assets in place of risky — following falls in risk-free interest rates. This behaviour is driven by changes in the so-called ‘risk margin’, which, under its current design within the Solvency II framework, reduces insurers’ solvency positions following falls in risk-free interest rates, thereby encouraging them to sell risky assets to reduce their probability of regulatory insolvency. The model also suggests that, once Solvency II is fully implemented by 2032, UK life insurers may have markedly reduced their holdings of long-term, risky assets. In the model, this behaviour is also driven by the risk margin, which, by increasing the volatility of insurers’ solvency, encourages them to de-risk to reduce the variance of their asset portfolios.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134607471","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":"Europe's CoCos Provide a Lesson on Uncertainty","authors":"K. Gleason, S. Bright, F. Martinez, Charles Taylor","doi":"10.2139/ssrn.2965085","DOIUrl":"https://doi.org/10.2139/ssrn.2965085","url":null,"abstract":"Contingent convertible bonds (CoCos) issued by European global systemically important banks (GSIBs) as part of their total loss-absorbing capacity (TLAC) are meant to enhance financial stability by forcing investors to absorb losses when a bank is under stress. Coupon payments are made at issuers' discretion while loss absorption can be triggered at regulators' discretion. This study investigates price effects of four press releases by Deutsche Bank AG in February 2016 related to the bank's willingness and ability to make its upcoming CoCo coupon payments. Expected cash flow models capture changes in CoCo default risk, while event dates capture uncertainty effects. The price of a European G-SIB peer group portfolio declined a statistically significant 2.0-2.5 percent over two days in response to Deutsche Bank's first press release. Deutsche Bank's efforts to allay its own CoCo investors' concerns appeared to increase concerns among CoCo investors generally. The results show potential negative effects of regulatory discretion.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117044301","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":"Career Concerns of Banking Analysts","authors":"Joanne Horton, G. Serafeim, Shan Wu","doi":"10.2139/ssrn.2596966","DOIUrl":"https://doi.org/10.2139/ssrn.2596966","url":null,"abstract":"We study how career concerns influence banking analysts’ forecasts. Banking analysts’ first (last) earnings forecast of the year is relatively more optimistic (pessimistic) for a bank that could be their future employer. This pattern is not observed when the same analysts forecast earnings of banks unlikely to be their future employer. We use the Global Settlement as an exogenous shock on career concerns and show that this forecast pattern is more pronounced after the Settlement. Moreover, we find evidence that analysts benefit from this behavior as analysts that are more biased in their forecasts of potential future employers are more likely to move to a higher reputation bank.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"597 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121893878","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":"Settling Inconsistencies Associated with the Genesis of the Financial Services Authority Act","authors":"T. Christiani, Mariani Hutapea","doi":"10.35609/JBER.2017.2.1(4)","DOIUrl":"https://doi.org/10.35609/JBER.2017.2.1(4)","url":null,"abstract":"\"Objective – The FSA Act the establishment of which is mandated by Article 34 of Law No. 23 of 1999 concerning the Bank of Indonesia, was enacted on 22 November 2011. This Act, together with Law No. 3 of 2004, regulates and supervises Indonesia’s integrated financial services sector. This article reveals the existence of inconsistencies between the legal terms underlying the establishment of the FSA one the one hand, and the provisions contained in the Financial Service Authority itself, on the other. These inconsistencies also become evident in the light of the 1945 Constitution which facilitated the establishment of the Bank of Indonesia Law. The purpose of this article is to ascertain a method of resolving these inconsistencies associated with the genesis of the Financial Service Authority. Methodology/Technique – The research method used in this article is doctrinal in nature that uses secondary data and information sources as material to analyse the relevant problems. Findings – The research has revealed that the most appropriate method of settling these inconsistencies requires a consideration of the express wording of the FSA. Novelty – This article indicates the need to apply legal principles rather and adjudicatory methods.\"","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121957654","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":"Design of Mysuper Default Funds: Influences and Outcomes","authors":"Adam Butt, M. Donald, F. Foster, S. Thorp, G. Warren","doi":"10.1111/acfi.12134","DOIUrl":"https://doi.org/10.1111/acfi.12134","url":null,"abstract":"We interview Australian fund executives about how their organisations responded to MySuper, a regulatory framework for default retirement savings funds that providers were required to have in place by the beginning of 2014. We provide an account of the influences on MySuper product design. Our analysis provides insight into how fund providers balanced their perceptions of the needs of default fund members against business considerations. Differences in member bases and organisational circumstances across funds are found to lead to considerable variation in default fund design.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128342453","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":"Specialisation in Mortgage Risk Under Basel II","authors":"M. Benetton, P. Eckley, Nicola Garbarino, Liam Kirwin, Georgia Latsi","doi":"10.2139/ssrn.2900165","DOIUrl":"https://doi.org/10.2139/ssrn.2900165","url":null,"abstract":"Since Basel II was introduced in 2008, two approaches to calculating bank capital requirements have co-existed: lenders’ internal models, and a less risk-sensitive standardised approach. Using a unique dataset covering 7 million UK mortgages for 2005–15, and novel identification, we provide empirical evidence that the differences between these approaches cause lenders to specialise. This leads to systemic concentration of high-risk mortgages in lenders with less sophisticated risk management. Our results have broad implications for the design of the international bank capital framework.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134426674","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":"Business Complexity and Risk Management: Evidence from Operational Risk Events in U. S. Bank Holding Companies","authors":"A. Chernobai, Ali K. Ozdagli, Jianlin Wang","doi":"10.2139/ssrn.2736509","DOIUrl":"https://doi.org/10.2139/ssrn.2736509","url":null,"abstract":"How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on either balance-sheet or market-based information, both of which may suffer from identification problems when it comes to answering this question. Balance-sheet measures, such as return on assets, capture the risk when it is realized, while empirical identification requires knowledge of the risk when it is actually taken. Market-based measures, such as bond yields, not only ignore the problem that investors are not fully aware of all the risks taken by management due to asymmetric information, but are also contaminated by other confounding factors such as implicit government guarantees associated with the systemic importance of complex financial institutions. To circumvent these problems, we use operational risk events as a risk management measure because (i) the timing of the origin of each event is well identified, and (ii) the risk events can serve as a direct measure of materialized failures in risk management without being influenced by the confounding factors that drive asset prices. Using the gradual deregulation of banks’ nonbank activities during 1996–1999 as a natural experiment, we show that the frequency and magnitude of operational risk events in U. S. bank holding companies have increased significantly with their business complexity. This trend is particularly strong for banks that were bound by regulations beforehand, especially for those with an existing Section 20 subsidiary, and weaker for other banks that were not bound and for nonbank financial institutions that were not subject to the same regulations to begin with. These results reveal the darker side of post-deregulation diversification, which in earlier studies has been shown to lead to improved stock and earnings performance. Our findings have important implications for the regulation of financial institutions deemed systemically important, a designation tied closely to their complexity by the Bank for International Settlements and the Federal Reserve.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129344440","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":"Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis","authors":"G. Dionne, Samir Saissi Hassani","doi":"10.2139/ssrn.2620423","DOIUrl":"https://doi.org/10.2139/ssrn.2620423","url":null,"abstract":"We determine whether there is an endogenous Hidden Markov Regime (HMR) in the operational loss data of banks from 2001 to 2010. A high level regime is marked by very high loss values during the recent financial crisis. There is therefore temporal heterogeneity in the data. If this heterogeneity is not considered in risk management models, capital estimations will be biased. Levels of reserve capital will be overestimated in periods of normal losses, corresponding to the low level of the regime, and underestimated in periods of a high regime. Variation in capital can go up to 30% during this period of analysis when regimes are not considered.","PeriodicalId":266240,"journal":{"name":"ERN: Econometric Studies of Government Regulation of Financial Markets (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117193576","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}