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Preventing Borrower Runs: The Prompt Corrective Action Approach 防止借款人挤兑:及时纠正措施方法
Banking & Insurance eJournal Pub Date : 2021-09-29 DOI: 10.2139/ssrn.3933476
Nisha Kashyap, Sriniwas Mahapatro, Prasanna Tantri
{"title":"Preventing Borrower Runs: The Prompt Corrective Action Approach","authors":"Nisha Kashyap, Sriniwas Mahapatro, Prasanna Tantri","doi":"10.2139/ssrn.3933476","DOIUrl":"https://doi.org/10.2139/ssrn.3933476","url":null,"abstract":"We ask whether regulatory intervention in the form of prompt corrective action that seeks to bring troubled banks back to health by imposing temporary restrictions and increasing regulatory monitoring reverses borrower runs. Using the Indian PCA regime and exploiting the sharp discontinuity provided by the entry criteria in a regression discontinuity framework, we find that timely regulatory intervention reduces loan delinquency by way of borrower runs by 93%. Cross-sectional tests based on regional variation in court efficiency and the relationship between economic shocks and delinquency show that a reduction in strategic default leads to improvement in loan performance.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127727505","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: 2
Conflicts of Interest in Subscriber-Paid Credit Ratings 订户付费信用评级中的利益冲突
Banking & Insurance eJournal Pub Date : 2021-09-26 DOI: 10.2139/ssrn.3931024
S. Bonsall, Jacquelyn R. Gillette, Gabriel Pundrich, Eric C. So
{"title":"Conflicts of Interest in Subscriber-Paid Credit Ratings","authors":"S. Bonsall, Jacquelyn R. Gillette, Gabriel Pundrich, Eric C. So","doi":"10.2139/ssrn.3931024","DOIUrl":"https://doi.org/10.2139/ssrn.3931024","url":null,"abstract":"We provide the first evidence of systematic bias among an emerging type of credit rating agency that relies on subscriptions from institutional clients as its primary source of revenue. Using data on Egan-Jones (EJR) ratings, a subscriber-paid rating agency, we show that EJR issues more optimistically biased bond ratings, less timely downgrades, and less accurate ratings for bonds held by more EJR clients. Our evidence is consistent with subscriber-paid agencies optimistically biasing their ratings to bolster subscriber revenue, which allows institutional clients to invest in riskier bonds with higher expected returns. Taken together, our findings suggest that the emergence of subscriber-paid rating agencies as an alternative to more traditional issuer-paid agencies is unlikely to resolve problems arising from conflicts of interest, but rather alter the nature of these conflicts in the ratings process.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132082917","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
Is a Single Bank Supervisor Inevitable throughout the European Union? 单一银行监管机构在整个欧盟不可避免吗?
Banking & Insurance eJournal Pub Date : 2021-09-22 DOI: 10.2139/ssrn.3928896
Duncan E. Alford
{"title":"Is a Single Bank Supervisor Inevitable throughout the European Union?","authors":"Duncan E. Alford","doi":"10.2139/ssrn.3928896","DOIUrl":"https://doi.org/10.2139/ssrn.3928896","url":null,"abstract":"Nineteen Member States (out of 27) of the European Union have currently adopted the euro as their common currency and joined the banking union of the EU. By treaty provision all Member States except Denmark are required to adopt the euro. Eight Member States (including Denmark) have yet to adopt the euro. Two of these eight Member States (Bulgaria and Croatia) have recently joined the banking union. This article analyzes the likelihood of the remaining six Member States (Czech Republic, Denmark, Hungary, Poland, Romania, Sweden) of joining the banking union and adopting the euro as their common currency. While they have a legal obligation to join the euro, various factors, both economic and political, may delay that adoption.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129836315","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: 0
Are Actuaries Independent Guardians of Financial Security or Just Telling a Convenient Tale? 精算师是金融安全的独立守护者还是只是一个方便的故事?
Banking & Insurance eJournal Pub Date : 2021-09-17 DOI: 10.2139/ssrn.3925778
Michael Fackler
{"title":"Are Actuaries Independent Guardians of Financial Security or Just Telling a Convenient Tale?","authors":"Michael Fackler","doi":"10.2139/ssrn.3925778","DOIUrl":"https://doi.org/10.2139/ssrn.3925778","url":null,"abstract":"We look at the actuarial role from a behavioural point of view, borrowing from psychology and sociology. Actuaries should give independent advice, but they belong to and depend on various social groups. Large social groups are tied together by social trust, which builds up slowly, but can erode quickly. Preventing distrust requires hard work – and possibly some window dressing. What does this mean for the insurance industry? Insurance is a risky and complex business, hard to manage, and it is even harder to make the public trust in it. This throws actuaries into a big dilemma when they create transparency about risks and uncertainties: the more transparency they create, the more risks come to light. Thus, transparency improves real security (making risks visible), but may undermine perceived security, as too much bad news erodes social trust. So, how much transparency is optimal? 100%, as envisaged by financial regulation, or somewhat less?","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131005565","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: 0
Asymmetric Monetary Policy Expectations 不对称货币政策预期
Banking & Insurance eJournal Pub Date : 2021-09-14 DOI: 10.2139/ssrn.3930267
Anthony M. Diercks, Hiroatsu Tanaka, P. Cordova
{"title":"Asymmetric Monetary Policy Expectations","authors":"Anthony M. Diercks, Hiroatsu Tanaka, P. Cordova","doi":"10.2139/ssrn.3930267","DOIUrl":"https://doi.org/10.2139/ssrn.3930267","url":null,"abstract":"We document some novel empirical evidence of significant time-varying skewness in the aggregate forecast distribution of the federal funds rate (FFR), i.e. asymmetric monetary policy expectations. To this end, we construct measures of the one-year ahead FFR expectations from responses to the Survey of Primary Dealers (SPD). The SPD provides a \"physical\" future distribution of the FFR, in contrast to measures extracted from asset prices. Importantly, this survey's unique feature allows us to explicitly compute mean and modal expectations and the discrepancy between the two measures, free of risk premia. We further show that a simple New-Keynesian model with the ZLB constraint can endogenously generate both positive and negative skewness similar to patterns in the data. The time-variation of asymmetry in the aggregate distribution highlights the importance of correctly measuring the mean when extracting FFR expectations from surveys. We argue that the FFR forecasts from the Blue Chip Survey (BCS), a popular survey measure of monetary policy expectations, track the mode more closely than the mean since 2011, when the data became publicly available. As a result, the mean measure of policy expectations extracted from the SPD implies significantly less negative term premia compared to term premia implied by BCS forecasts. The mean measure also outperforms the BCS forecasts based on the mean squared error loss, consistent with the theory of optimal forecasting.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126174189","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: 2
Study of Characteristics of One-Year and Ultimate Reserve Risk Distributions Based on Market Data 基于市场数据的一年期及最终准备金风险分布特征研究
Banking & Insurance eJournal Pub Date : 2021-09-12 DOI: 10.2139/ssrn.3922299
M. Szatkowski
{"title":"Study of Characteristics of One-Year and Ultimate Reserve Risk Distributions Based on Market Data","authors":"M. Szatkowski","doi":"10.2139/ssrn.3922299","DOIUrl":"https://doi.org/10.2139/ssrn.3922299","url":null,"abstract":"In this work, we perform an analysis of commonly used characteristics of the one-year and ultimate reserve risk distributions: duration, first development factor, coefficient of variation, skewness coefficient, skewness-to-CoV ratio, aggregated emergence factor, emergence pattern, and risk margin run-off pattern for the standard deviation based risk measure and for the best-estimate reserves scaled risk measure approach. Our study is based on empirical data for two European markets: Polish and Slovak. We provide benchmarks and ranges for the considered characteristics, as well as analyse the relations between them. We examine and assess the results for all Solvency II LoBs and we also compare the coefficient of variation results to the Standard Formula reserve risk standard deviations. We investigate more deeply the topic of emergence pattern - we analyse the impact of different characteristics of the claims triangle on its structure.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115778839","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: 0
Sectorial Holdings and Stock Prices: The Household-bank Nexus 行业持股和股票价格:家庭银行关系
Banking & Insurance eJournal Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3920902
Matías Lamas, David Martínez-Miera
{"title":"Sectorial Holdings and Stock Prices: The Household-bank Nexus","authors":"Matías Lamas, David Martínez-Miera","doi":"10.2139/ssrn.3920902","DOIUrl":"https://doi.org/10.2139/ssrn.3920902","url":null,"abstract":"We analyze the evolution and price implications of aggregate sectorial holdings of stocks, using detailed information on the universe of publicly traded stocks in the euro area. We document that: i) households’ (HH) direct holdings represent a higher fraction of total ownership in domestic bank stocks than in non-financial corporation (NFC) stocks; ii) HH holdings of stocks increase (decrease) following a decline (increase) in the stock price, especially for domestic bank stocks; and iii) an increase in domestic HH holdings is followed by future (persistent) increases in the price of NFC stocks, but not for bank stocks. Moreover, during equity issuances, an increase in the share of domestic HH holdings is followed by a future (persistent) decrease in the stock price of bank stocks, but not for NFC stocks. Our results are consistent with HH being liquidity providers in the stock market, and at the same time subject to negative information asymmetries. We argue that this latter effect is more prevalent in domestic bank stocks than in NFC given the close relationships between HH and banks.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122981107","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: 4
Machine Learning Methods: Potential for Deposit Insurance 机器学习方法:存款保险的潜力
Banking & Insurance eJournal Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3887337
Ryan Defina
{"title":"Machine Learning Methods: Potential for Deposit Insurance","authors":"Ryan Defina","doi":"10.2139/ssrn.3887337","DOIUrl":"https://doi.org/10.2139/ssrn.3887337","url":null,"abstract":"The field of deposit insurance is yet to realise fully the potential of machine learning, and the substantial benefits that it may present to its operational and policy-oriented activities. There are practical opportunities available (some specified in this paper) that can assist in improving deposit insurances’ relationship with the technology. Sharing of experiences and learnings via international engagement and collaboration is fundamental in developing global best practices in this space.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123387444","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: 0
Intermediation Frictions in Debt Relief: Evidence from CARES Act Forbearance 债务减免中的中介摩擦:来自《关怀法案》容忍的证据
Banking & Insurance eJournal Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3919252
You Suk Kim, Donghoon Lee, Therese C. Scharlemann, J. Vickery
{"title":"Intermediation Frictions in Debt Relief: Evidence from CARES Act Forbearance","authors":"You Suk Kim, Donghoon Lee, Therese C. Scharlemann, J. Vickery","doi":"10.2139/ssrn.3919252","DOIUrl":"https://doi.org/10.2139/ssrn.3919252","url":null,"abstract":"We study the role of mortgage servicers in implementing the CARES Act mortgage forbearance program during the COVID-19 pandemic. Despite universal eligibility, around one-third of the nonperforming federally-backed loans in our sample fail to enter into forbearance. The relative frequency of these \"missing\" forbearances varies significantly across servicers for observably similar loans, with small servicers and nonbanks, and especially nonbanks with small liquidity buffers, having a lower propensity to provide forbearance. The incidence of forbearance-related complaints by borrowers is also higher for these servicers. We also use servicer-level variation to estimate the causal effect of forbearance on borrower outcomes. Assignment to a \"high-forbearance\" servicer translates to a significant increase in the probability of nonpayment, which moves essentially 1:1 with the forbearance probability. Part of this additional household liquidity is used to pay down high-cost credit card debt.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131104297","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: 13
Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry 给予者还是接受者?金融科技与传统金融业的回报与波动溢出效应
Banking & Insurance eJournal Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3919636
Yuxuan Chen, J. Chiu, Hui-Young Chung
{"title":"Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry","authors":"Yuxuan Chen, J. Chiu, Hui-Young Chung","doi":"10.2139/ssrn.3919636","DOIUrl":"https://doi.org/10.2139/ssrn.3919636","url":null,"abstract":"We investigate the return and volatility spillovers between a Fintech ETF and the ETFs of the traditional financial industry with an empirical network model. We find that the traditional financial ETFs are still the main givers, and the Fintech ETF is the net receiver. The Fintech ETF does not lead to greater volatility and financial instability in most of the traditional financial sectors. The information transmission between these ETFs is high, especially during the period of US-China trade friction. Our results provide a full understanding of the effect of changes in information transmission between Fintech and the traditional financial industry.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121542612","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: 16
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