Banking & Insurance最新文献

{"title":"An Analysis of the Guaranteed Withdrawal Benefits for Life Option","authors":"P. Shah, D. Bertsimas","doi":"10.2139/ssrn.1312727","DOIUrl":"https://doi.org/10.2139/ssrn.1312727","url":null,"abstract":"In this paper, we present an analysis of the \"Guaranteed Withdrawal Benefits'' (GWB) for life option, a recent and popular product that many insurance companies are offering as a retirement planning solution. Under the GWB for life plan, the investor is promised increasing withdrawals during retirement for her lifetime, while still being invested in the markets. GWB for life thus transfers financial and longevity related risks from an individual investor to the insurance company underwriting the guarantee. We first analyze a continuous time version of this product in a Black Scholes economy with simplifying assumptions on population mortality and obtain an analytical solution for the product value. This analysis reveals the high sensitivity the product bears to several risk factors. We then price the GWB in a realistic setting using different asset pricing models, including those that allow the interest rates and the volatility of returns to be stochastic. Our analysis reveals that 1) GWB has insufficient price discrimination and is susceptible to adverse selection and 2) valuations can vary substantially depending on which class of models is used. We believe the ambiguity in value and the presence of significant risks, which can be challenging to hedge, should create concerns to the insurance companies offering the GWB, their investors and clients as well as the regulators.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128766669","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":"Market Risk Reporting by the World's Top Banks: Evidence on the Diversity of Reporting Practice and the Implications for Accounting Harmonisation","authors":"Margaret Woods, K. Dowd, C. Humphrey","doi":"10.2139/ssrn.1308512","DOIUrl":"https://doi.org/10.2139/ssrn.1308512","url":null,"abstract":"The increasing adoption of international accounting standards and global convergence of accounting regulations is frequently heralded as serving to reduce diversity in financial reporting practice. In a process said to be driven in large part by the interests of international business and global financial markets, one might expect the greatest degree of convergence to be found amongst the world’s largest multinational financial corporations. This paper challenges such claims and presumptions. Its content analysis of longitudinal data for the period 2000-2006 reveals substantial, on going diversity in the market risk disclosure practices, both numerical and narrative, of the world’s top-25 banks. The significance of such findings is reinforced by the sheer scale of the banking sector’s risk exposures that have been subsequently revealed in the current global financial crisis. The variations in disclosure practices documented in the paper apply both across and within national boundaries, leading to a firm conclusion that, at least in terms of market risk reporting, progress towards international harmonisation remains rather more apparent than real.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127606555","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":"Anatomy of the 2008 Financial Crisis: An Economic Analysis Postmortem","authors":"Greg W. Hunter","doi":"10.2139/SSRN.1305649","DOIUrl":"https://doi.org/10.2139/SSRN.1305649","url":null,"abstract":"This paper summarizes my ideas about the causes of and solutions to the 2008 financial crisis and is intended to be written so that a non-specialist can grasp the content and contribute to the discussion. The first section focuses on the immediate causes of the crisis and the appropriate short-term policy response. The latter section discusses the broader systemic causes of the crisis related to the mechanisms used in the supply of money and credit. The policy recommendations focus on addressing well-known market failures - like the lack of credible public information about the quality of debt instruments - that were exposed as a result of the crisis. Additionally, institutional reforms in the supply of money and credit designed to streamline monetary policy and limit contagion during a banking crisis are suggested.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116226763","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":"Statistic Analysis of the Total Number of Banking Clients within Territorial Profile During 2002-2007","authors":"C. Cretu, Rodica Pripoaie, C. Sirbu","doi":"10.2139/ssrn.1313690","DOIUrl":"https://doi.org/10.2139/ssrn.1313690","url":null,"abstract":"The evolution of the banking system facilitated the access of Romanians to a large range of services and last generation financial-banking instruments, efficiently valuing the advantage rendered by the recent connection of the Romanian banking system to the dynamic network of the banking innovation. In order to analyse the financial behaviour of the banking services consumers, be them physical or official persons, we analysed several aspects like: the analyse the total number of banking clients; the structure, differentiated on property forms, of the banking clients; the analyse of the total number of accounts; the credit study; examination of the deposits and cash availability.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123866005","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":"Asymmetric Information, Heterogeneity in Risk Perceptions and Insurance: An Explanation to a Puzzle","authors":"Kostas Koufopoulos","doi":"10.2139/ssrn.1301522","DOIUrl":"https://doi.org/10.2139/ssrn.1301522","url":null,"abstract":"Competitive models of asymmetric information predict a positive relationship between coverage and risk. In contrast, most recent empirical studies find either negative or zero correlation. This paper, by introducing heterogeneity in risk perceptions into an asymmetric information competitive model, provides an explanation to this puzzle. If optimism discourages precautionary effort, there exist separating equilibria exhibiting the observed empirical patterns. It is also shown that zero correlation is consistent with information barriers to trade in insurance markets. The predictions of our model allow us to empirically distinguish it from standard asymmetric information models.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126805092","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 Lending, Financing Constraints and SME Investment","authors":"Francisco Rodríguez-Fernández, Gregory F. Udell, S. Carbó-Valverde","doi":"10.2139/ssrn.1247282","DOIUrl":"https://doi.org/10.2139/ssrn.1247282","url":null,"abstract":"Investment opportunities depend on the level of financing constraints. Earlier research has mainly focused on the controversial argument that cash flow-investment correlations increase with the level of these constraints. We side-step this controversy by focusing on bank loans rather than cash flow based on the argument that access to bank lending reduces financing constraints. We also focus on a subset of firms that are likely more vulnerable to financing constraints, small and mid-sized enterprises. Our results show that bank loans predict investment for unconstrained firms, but not for constrained firms, and trade credit predicts investment, but only for constrained firms.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124925982","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":"Do Investment Banks Listen to Their Own Analysts?","authors":"Bradford D. Jordan, Mark H. Liu, Qun Wu","doi":"10.2139/ssrn.1446505","DOIUrl":"https://doi.org/10.2139/ssrn.1446505","url":null,"abstract":"To what extent conflicts of interest affect the investment value of sell-side analyst research is an ongoing debate. We approach this issue from a new direction by investigating how asset-management divisions of investment banks use stock recommendations issued by their own analysts. Based on holdings changes around initiations, upgrades, and downgrades from 1993 to 2003, we find that these bank-affiliated investors follow recommendations from sell-side analysts in general, increasing (decreasing) their relative holdings following positive (negative) recommendations. More importantly, these investors respond more strongly to recommendations issued by their own analysts than to those issued by analysts affiliated with other banks, especially for recommendations on small and low-analyst-coverage firms. Thus, we find that investment banks “eat their own cooking,” showing that these presumably sophisticated institutional investors view sell-side recommendations as having investment value, particularly when the recommendations come from their own analysts.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126907184","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":"Mutual Guarantee Institutions and Small Business Finance","authors":"F. Columba, L. Gambacorta, Paolo Emilio Mistrulli","doi":"10.2139/ssrn.1406424","DOIUrl":"https://doi.org/10.2139/ssrn.1406424","url":null,"abstract":"A large body of literature has shown that small firms experience difficulties in accessing the credit market due to informational asymmetries. Banks can overcome these asymmetries through relationship lending, or at least mitigate their effects by asking for collateral. Small firms, especially if they are young, have little collateral and short credit histories, and thus may find it difficult to raise funds from banks. In this paper, we show that even in this case, small firms may improve their borrowing capacity by joining Mutual Guarantee Institutions (MGI). Our empirical analysis shows that small firms affiliated to MGIs pay less for credit compared with similar firms. We obtain this result for interest rates charged on loan contracts which are not backed by mutual guarantees. We then argue that our findings are consistent with the view that MGIs are better at screening and monitoring opaque borrowers than banks are. Thus, banks benefit from the willingness of MGIs to post collateral since this implies that firms are better screened and monitored.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125785475","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":"Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities","authors":"W. Horneff, R. Maurer, Michael Stamos","doi":"10.1111/j.1539-6975.2008.00295.x","DOIUrl":"https://doi.org/10.1111/j.1539-6975.2008.00295.x","url":null,"abstract":"We compute the optimal dynamic annuitization and asset allocation policy for a retiree with Epstein/Zin preferences, uncertain investment horizon, potential bequest motives, and pre-existing pension income. In our setting the retiree can decide each year how much he consumes and how much he invests in stocks, bonds, and life annuities, while the prior literature mostly considered restricted so-called deterministic or stochastic switching strategies. We show that postponing the annuity purchase is no longer optimal in the gradual annuitization case since investors are able to attain the optimal mix between liquid assets (stocks and bonds) and illiquid life-annuities each year. In order to assess potential utility losses, we benchmark various restricted annuitization strategies against the unrestricted gradual annuitization strategy.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124508548","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":"From Demutualization to Meltdown: A Tale of Two Wannabe Banks","authors":"R. Klimecki, H. Willmott","doi":"10.2139/ssrn.1296482","DOIUrl":"https://doi.org/10.2139/ssrn.1296482","url":null,"abstract":"Purpose - This paper examines the influence of neo-liberalist deregulation on the rash of demutualizations of the 1990's. It explores the extent to which the demutualization of two building societies - Northern Rock and Bradford & Bingley - and their subsequent demise in the wake of the credit crunch - exemplify key features of the neo-liberalist experiment, with a particular focus on their post-mutualization business models. Design/methodology/approach - The analysis draws on literature that examines the neo-liberal development of the financial sector and examines the media coverage of the financial crisis of 2007/8 to study the discursive and material conditions of possibility for the development and implosion of the business models used by Northern Rock and Bradford & Bingley. Findings - The paper argues that the demutualization of Northern Rock and Bradford & Bingley was part of a broader neo-liberal movement which had processes of financialization at its centre. By converting into banks, former building societies gained greater access to wholesale borrowing, to new types of investors and to the unrestricted use of financial instruments such as securitization. The collapse of Northern Rock and Bradford & Bingley is interpreted in the light of their access to these new sources of funding and their use of financial instruments which were either unavailable, or antithetical, to the operation of mutual societies. Originality/value - The paper adopts an alternative perspective on the so-called 'sub-prime crisis'. The collapse of Northern Rock and Bradford & Bingley is understood in relation to the expansion, and subsequent crisis, of financialization, in which financial instruments such as Collateralized Debt Obligations and Credit Default Swaps were at its explosive centre, rather than to the expansion of sub-prime lending per se. Demutualization is presented as a symptom of neo-liberalism, a development that, in the UK, is seen to have contributed significantly to the financial meltdown. Limitations - The paper comments on the contemporary features and current effects of the 2007/8 crisis of liquidity whose full long-term consequences are uncertain. Further research and future events may offer confirmation or serve to qualify or correct its central argument. The intent of the paper is to provide a detailed analysis of the conditions and consequences of building society demutualization in the context of the neo-liberal expansion of the financial sector that resulted in a financial meltdown. It is hoped that this study will stimulate more critical analysis of the financial sector, and of the significance of financialization more specifically.","PeriodicalId":315176,"journal":{"name":"Banking & Insurance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132907605","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}