Banking & Insurance最新文献_第2页

Mortality-Linked Securities and Derivatives 死亡率挂钩证券及衍生品

Banking & Insurance Pub Date : 2009-10-07 DOI: 10.2139/ssrn.1340409

E. Biffis, D. Blake

{"title":"Mortality-Linked Securities and Derivatives","authors":"E. Biffis, D. Blake","doi":"10.2139/ssrn.1340409","DOIUrl":"https://doi.org/10.2139/ssrn.1340409","url":null,"abstract":"In the last few years, the risk of mortality improvements has become increasingly capital intensive for pension funds and annuity providers to manage. The reason is that longevity risk has been systematically underestimated, making balance sheets vulnerable to unexpected increases in liabilities. The traditional way of transferring longevity risk is through insurance and reinsurance markets. However, these lack the capacity and liquidity to support an estimated global exposure in excess of $20tr (e.g., Loeys et al., 2007). Capital markets, on the other hand, could play a very important role, offering additional capacity and liquidity to the market, leading in turn to more transparent and competitive pricing of longevity risk. Blake and Burrows (2001) were the first to advocate the use of mortality-linked securities to transfer longevity risk to the capital markets. Their proposal has generated considerable attention in the last few years, and major investment banks and reinsurers are now actively innovating in this space (see Blake et al., 2008, for an overview). Nevertheless, despite growing enthusiasm, longevity risk transfers have been materializing only slowly. One of the reasons is the huge imbalance in scale between existing exposures and willing hedge suppliers. Another reason is that a traded mortality-linked security has to meet the different needs of hedgers (concerned with hedge effectiveness) and investors (concerned with liquidity and with receiving adequate compensation for assuming the risk), needs that are difficult to reconcile when longevity risk, a long-term trend risk that is difficult to quantify, is involved. A third reason is the absence of an established market price for longevity risk. We provide an overview of the recent developments in capital markets aimed at overcoming such difficulties and at creating a liquid market in mortality-linked securities and derivatives.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"2019 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126143760","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}

引用次数: 36

Real World Interest Rate Modelling with the BGM Model 用BGM模型建立真实世界的利率模型

Banking & Insurance Pub Date : 2009-09-29 DOI: 10.2139/ssrn.1480174

James P. Norman

引用次数: 7

Case Analysis: HDFC: Housing Development and Finance Corporation, India 案例分析:HDFC:印度住房发展和金融公司

Banking & Insurance Pub Date : 2009-09-24 DOI: 10.2139/SSRN.1478049

M. Joshi

引用次数: 0

Deposit Insurance and Money Market Freezes 存款保险和货币市场冻结

Banking & Insurance Pub Date : 2009-09-17 DOI: 10.2139/ssrn.1403129

Max Bruche, J. Suárez

引用次数: 85

French Banks Amid the Global Financial Crisis 全球金融危机中的法国银行

Banking & Insurance Pub Date : 2009-09-01 DOI: 10.32890/IJBF2011.8.1.8418

Yin Xiao

引用次数: 61

Basel II and the Capital Requirements Directive: Responding to the 2008/09 Financial Crisis 巴塞尔协议II和资本要求指令:应对2008/09年金融危机

Banking & Insurance Pub Date : 2009-09-01 DOI: 10.2139/ssrn.1475189

Marianne Ojo D Delaney PhD

{"title":"Basel II and the Capital Requirements Directive: Responding to the 2008/09 Financial Crisis","authors":"Marianne Ojo D Delaney PhD","doi":"10.2139/ssrn.1475189","DOIUrl":"https://doi.org/10.2139/ssrn.1475189","url":null,"abstract":"This paper addresses factors which have prompted the need for further revision of banking regulation, with particular reference to the Capital Requirements Directive. The Capital Requirements Directive (CRD), which comprises the 2006/48/EC Directive on the taking up and pursuit of the business of credit institutions and the 2006/49/EC Directive on the capital adequacy of investment firms and credit institutions, implemented the revised framework for the International Convergence of Capital Measurement and Capital Standards (Basel II) within EU member states. Pro cyclicality has attracted a lot of attention – particularly with regards to the recent financial crisis, owing to concerns arising from increased sensitivity to credit risk under Basel II. This paper not only considers whether such concerns are well-founded, but also the beneficial and not so beneficial consequences emanating from Basel II’s increased sensitivity to credit risk (as illustrated by the Internal Ratings Based approaches). In so doing it considers the effects of Pillar 2 of Basel II, namely, supervisory review, with particular reference to buffer levels, and whether banks’ actual capital ratios can be expected to correspond with Basel capital requirements given the fact that they are expected to hold certain capital buffers under Pillar 2. Furthermore, it considers how regulators can respond to prevent systemic risks to the financial system during periods when firms which are highly leveraged become reluctant to lend. In deciding to cut back on lending activities, are the decisions of such firms justified in situations where such firms’ credit risk models are extremely and unduly sensitive - hence the level of capital being retained is actually much higher than minimum regulatory Basel capital requirements?","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124374323","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}

引用次数: 17

The Financial Sector and Climate Change: Risks, Opportunities and Overall Preparedness 金融部门与气候变化:风险、机遇和全面防范

Banking & Insurance Pub Date : 2009-08-24 DOI: 10.2139/ssrn.1460676

J. Stewart, Mark A. Brimble

{"title":"The Financial Sector and Climate Change: Risks, Opportunities and Overall Preparedness","authors":"J. Stewart, Mark A. Brimble","doi":"10.2139/ssrn.1460676","DOIUrl":"https://doi.org/10.2139/ssrn.1460676","url":null,"abstract":"Climate change is increasingly being recognised as a factor that will be one of the most significant challenges to face business, government and the community in the foreseeable future (IPCC, 2007; NOAA, 2008; and Hansen et al., 2007). The impact it will have on the financial services sector, is not immediately clear, as it is a comparatively low emissions sector and one that has received little public scrutiny in recent years in regards to climate change. Despite this, it is accepted that the financial sector will be critical to climate change response due to its role as a provider of capital and advice, and the influence this provides on both business and consumers. In addition, it is also argued that the impact of climate change (extreme weather patterns, sea level rises and atmospheric changes) on asset values, business performance and risk will also effect the performance of credit, investment and insurance portfolios. Finally, it is also apparent that the sector will be impacted by regulatory change in relation to their own operations and those of their clients as emissions reporting, carbon trading and other environmental policies become law.This study examines the preparedness of the financial services sector for climate change. Senior staff in sustainability related roles from across the industry are interviewed to this end. We find that the sector faces significant risk and potential reward from climate change, yet despite some examples of strong engagement, there are great disparities across institutions and the various subsectors of the industry. Interviewees argue that the sector does a lot of talking about climate change and awareness is high, but this has not translated into systemic action at the coal face. Accordingly, legitimacy concerns are yet to translate into a systematic and broad response from the sector. Therefore, regulatory intervention is seen as critical to improve the pace of response in the short term.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130277171","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}

引用次数: 1

Banking Competition and the Lending Channel: Evidence from Bank-Level Data in Asia and Latin America 银行业竞争与贷款渠道:来自亚洲和拉丁美洲银行层面数据的证据

Banking & Insurance Pub Date : 2009-08-24 DOI: 10.2139/ssrn.1461928

M. Olivero, Li Yuan, B. Jeon

引用次数: 2

Dividends and Risk in European Banks 欧洲银行的股息和风险

Banking & Insurance Pub Date : 2009-08-23 DOI: 10.2139/ssrn.1460145

E. Onali

引用次数: 12

CSR Initiatives for Green Buildings: Perspectives of Hong Kong Financial Institutions 绿色建筑的企业社会责任:香港金融机构的观点

Banking & Insurance Pub Date : 2009-08-20 DOI: 10.2139/ssrn.1458744

Paul, Lisa Barnes

引用次数: 1