Banking & Insurance eJournal最新文献

{"title":"Strengthening Bank Stability after the Crisis","authors":"Michael Gelman, D. Greenberg, Zaheer Khan, Mosi Rosenboim","doi":"10.2139/ssrn.3870723","DOIUrl":"https://doi.org/10.2139/ssrn.3870723","url":null,"abstract":"During normal times, strengthening the financial stability of banks is associated with contradictory effects on returns. In this paper, we establish that liquidity and capital ratios had a positive impact on bank returns during the first three years following the global financial crisis. Our results are robust to different endogeneity and robustness tests. We identify deposit franchise and risk management as two key channels through which stronger financial stability improved bank returns. Our study contributes to a better understanding of the time- varying effects of financial stability and of the benefits of liquidity and capital ratios during normal times and not only in crisis periods.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128471325","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":"Online Peer-to-Peer Lending: Determinants of Loan Performance","authors":"Md Labib Sharar","doi":"10.2139/ssrn.3785323","DOIUrl":"https://doi.org/10.2139/ssrn.3785323","url":null,"abstract":"This paper analyses the factors that determine loan performance in online peer-to-peer lending. The basis of online peer-to-peer lending is to provide loans to individuals or businesses through online lending platforms that match lenders or investors with the borrowers. Unlike in traditional financial institutions, individual investors are the ones who assume the loan risk in peer-to-peer lending. These individual lenders suffer from a serious problem of information asymmetry. As a result, peer-to-peer lending platforms provide the lenders with various loan quality information along with assigned credit grades with a view to reducing the information asymmetry. By analysing 306,439 matured loans funded on the online peer-to-peer lending platform ‘Lending Club’, this study suggests that the platform-assigned credit grade is the most significant determinant of loan performance. In addition, loan amount, debt-to-income ratio, annual income, open credit lines, total credit lines and inquiries in the last 6 months were also found to be major determinants of loan performance.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116197486","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":"A Brief Review of Growth and Development in Islamic Banking","authors":"S. Rehman, Ikhlas Wani, Mir Khanam, Yasser Saleh Ali Almonifi","doi":"10.2139/ssrn.3867044","DOIUrl":"https://doi.org/10.2139/ssrn.3867044","url":null,"abstract":"The major purpose of this article is to illustrate the rapid expansion of Islamic banking and finance in today's financial world. It tracks the performance of Islamic banking in more than 25 countries using various indicators and indexes from across the world. Muslims have been able to build a system without interest for mobilizing resources to finance economic activity and consumer demands for a very long period in Islamic history. During the height of Islamic culture and for centuries later, the system functioned admirably. As is well known, throughout the twelfth and thirteenth centuries, partnership and profit-sharing, established the foundation of business and industry in the Mediterranean region rather than interest-based borrowing and lending. However, when the world's economic center migrated to the West over the ages, western banks and financial institutions began to dominate, while the Islamic heritage remained dormant. The Muslim world accounts for almost 24.1 percent of the world's population (over 1.8 billion people). Islamic banking could be able to reach the bulk of global customers. Due to Muslims' desire to prevent war, there has been a significant resurgence of interest in creating a new version of the ancient Islamic banking system in recent years. As a result, there is a true surge and expansion in Islamic finance and business across the world. It has grown fast in the Middle East and South East Asia. These Islamic centers have acted as a springboard for the promotion of Islamic banking in Western business and financial markets. The findings of the paper hold the Islamic banking sector has made substantial progress in becoming a truly competitive and profitable global alternative to the traditional banking system.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129092372","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":"Sectoral Comovement, Monetary Policy and the Credit Channel","authors":"F. Di Pace, C. Görtz","doi":"10.2139/ssrn.3869023","DOIUrl":"https://doi.org/10.2139/ssrn.3869023","url":null,"abstract":"Using a structural vector autoregression, we document that a contractionary monetary policy shock triggers a decline in durable and non-durable outputs as well as a contraction in bank equity and a rise in the excess bond premium. The latter points to an important transmission channel of monetary policy via financial markets. It has long been recognized that a standard two-sector New Keynesian model, where durable goods prices are flexible and non-durable and services sticky, does not generate the empirically observed sectoral comovement across expenditure categories in response to a monetary policy shock. We show that introducing financial frictions in a two-sector New Keynesian model can resolve its disconnect with the empirical evidence: a monetary tightening generates not only comovement, but also a rise in credit spreads and a deterioration in bank equity.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127519493","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":"Kredi/Mevduat Oranı (KMO) Gelişiminin Kredi Faiz Oranlarına Etkisi: Nedensellik Analizi ile Türkiye Üzerine Bir İnceleme [The Effects of Loan to Deposit Ratio (LDR) Development on Loan Interest Rates: An Examination upon Turkey by Causality Analysis]","authors":"M. Kartal, Abdurrahman Çeti̇n, Ömer Faruk Tan","doi":"10.2139/ssrn.3862085","DOIUrl":"https://doi.org/10.2139/ssrn.3862085","url":null,"abstract":"<br>Turkish Abstract: <br>2002 sonrasında bankacılık sektörünün büyüme sürecine girmesiyle birlikte finansal göstergelerde gelişme yaşanmaktadır. Önemli göstergelerden bazıları aktif büyüklüğü, kredi hacmi ve özkaynak karlılığıdır. Bir diğer önemli gösterge ise KMO’dur. 2006 yılsonunda %71,18 seviyesinde olan KMO, 2012 Mart ayında ilk kez %100’ü geçerek %100,38 oranına ulaşmış, 2018 Haziran ayında %123,9 oranı ile tarihi zirve yaptıktan sonra düşüş eğilimine girerek 2019 Eylül ayında %112 olmuştur. KMO’daki artış eğiliminin faiz oranları üzerinde baskı oluşturduğu düşünülmektedir. Bu amaçla, 2006/1-2019/9 dönemindeki aylık veriler kullanılarak Türkiye’de KMO ile seçilmiş faiz türleri arasındaki nedensellik ilişkisi incelenmiştir. Çalışma sonucunda, KMO ile mevduat faiz oranı arasında nedensellik ilişkisi bulunduğu belirlenmiştir. Dolayısıyla, Türkiye’de kredi faizlerindeki artışın önlenmesi için, KMO gelişiminin kontrol altında tutulmasına ve böylece temel fonlama kaynağı olan mevduat faizlerinin artışının önlenmesine yönelik tedbirler alınmalıdır.<br><br>English Abstract: <br>There has been a development in financial indicators with the banking sector come up with the growth process after 2002. Some of the important indicators are asset size, loan volume, and return on equity. One of the other important indicators is LDR. LDR was at the level of 71.18% as of 2006 end, exceeding 100% for the first time in March 2012 and reached 100.38%, after peaking at the level of 123.9% in June 2018, it entered into a downward trend and became 112% in September 2019. It is thought that the increasing trend in LDR puts pressure on interest rates. For this aim, causality relationship between LDR and selected interest rate types is examined in Turkey by using monthly data for the period of 2006/1-2019/9. As a result of the study, it is defined that there is a causality relationship between LDR and deposit interest rate. Therefore, necessary precautions should be taken to keep the development of LDR under control and hence prevent the increase of deposit interest rates, which is the main source of funding, in order to prevent the increase in the loan interest rate in Turkey.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128639229","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":"Black-Litterman con técnicas difusas: caso índice Coleqty (Black-Litterman with Fuzzy Techniques: Case Index Coleqty)","authors":"Yuly Andrea Franco","doi":"10.18601/17941113.N19.04","DOIUrl":"https://doi.org/10.18601/17941113.N19.04","url":null,"abstract":"El proceso de optimización de portafolio busca encontrar el mejor de estos a través de las variables de riesgo y retorno, el modelo clásico de Mar-kowitz ha trabajado dicha selección bajo el portafolio de media-varianza, el cual ha sido constantemente criticado por trabajar bajo datos históricos, no contemplar el estado del mercado, su baja diversificación, entre otros. Buscando generar aportes a este modelo, se destaca el trabajo realizado por Fischer Black y Robert Litterman, quienes combinan la asignación de activos financieros basados en el supuesto de equilibrio y la opinión del inversor con respecto al rendimiento futuro de los activos. Sin embargo, debido a los hechos latentes de incertidumbre, ambigüedad, vaguedad y subjetividad que se presentan durante el proceso de optimización de por-tafolio, se propone el uso de técnicas difusas para su modelación, a fin de abrir nuevos caminos frente al tratamiento de la realidad. Este artículo es resultado del trabajo de grado de la maestría en Finan-zas (Aplicación de técnicas difusas al modelo de selección de portafolio Black-Litterman: Caso Colombia índice Coleqty), el cual propone evaluar los aportes del proceso de optimización de portafolio en el modelo Black- Litterman bajo técnicas difusas en las acciones del índice Coleqty de Co-lombia, operando el resultado del rendimiento y riesgo bajo funciones de pertenencia triangular y trapezoidal, para obtener así diferentes portafolios en cuanto su diversificación, los cuales se comparan con los indicadores de desempeño Sharpe, Treynor y Alfa de Jensen, destacando el portafolio con mejor rendimiento y menor riesgo, es decir, se determinará cuál es el mejor proceso de optimización de portafolio, si el Black-Litterman clásico o el Black-Litterman con técnicas difusas.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131208758","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":"Dinámica de precios y valoración de activos contingentes en mercados con riesgo de liquidez (Price Dynamics and Valuation of Contingent Assets in Markets with Liquidity Risk)","authors":"John Freddy Moreno Trujillo","doi":"10.18601/17941113.N19.06","DOIUrl":"https://doi.org/10.18601/17941113.N19.06","url":null,"abstract":"Se consideran modelos de mercado en donde se incorpora un factor de liquidez asociado a la dinámica de los precios y a las estrategias de negociación de los agentes. Se estudia el caso en el cual el factor de liquidez es una función determinística del precio y otro en donde este factor es estocástico descrito por un proceso Cox-Ingersoll-Ross. Se consideran diferentes tipos de estrategias de negociación y se establecen de forma explícita las ecuaciones diferenciales estocásticas para la dinámica de los precios, así como las ecuaciones diferenciales parciales no lineales de valoración de activos contingentes correspondientes.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127056803","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":"Últimas tendencias en la investigación sobre estructura de capital (periodo 2009-2018) (Latest Trends in Research on Capital Structure (Period 2009-2018))","authors":"Carmen Verónica Barón-Tinjacá","doi":"10.18601/17941113.N19.02","DOIUrl":"https://doi.org/10.18601/17941113.N19.02","url":null,"abstract":"<b>Spanish Abstract:</b> El desarrollo de un área de conocimiento a través de la investigación requiere establecer cómo ha sido su evolución, identificar hacia dónde se han orientado los esfuerzos investigativos y cotejar los diferentes enfoques que se han dado a un determinado problema. Dentro del campo de las finanzas corporativas, la estructura de capital ha sido un tema desarrollado con múltiples enfoques, sin que aún tengamos sobre ella una teoría de general aceptación. Teniendo en cuenta estas aseveraciones, se considera importante conocer cuáles son las últimas tendencias en la investigación sobre la estructura de capital. Este artículo presenta los resultados del análisis bibliométrico de las últimas tendencias en la investigación sobre estructura de capital, decenio comprendido entre los años 2009 al 2018, lo que permite hacer un diagnóstico de su avance y sirve de fuente de referencia para futuras investigaciones. Además, incluye una comparación de este periodo con los nueve años anteriores, entre los años 2000 y 2008, destacando las diferencias en el análisis cuantitativo de las poblaciones de cada uno de estos periodos. Para el desarrollo investigativo, cuyo resultado es el presente artículo, se utilizó la bibliometría como metodología de investigación. El proceso investigativo partió de la revisión histórica de las teorías sobre estructura de capital, incluida en el marco teórico, continuó con el proceso bi-bliométrico y terminó con el análisis y la comparación de resultados. Como resultado de este proceso se encontró que las últimas tendencias en la investigación sobre estructura de capital se encuentran compuestas en gran parte por el análisis y la verificación de los determinantes de la estructura de capital, y por la confirmación o refutación de teorías anteriores en diferentes tipos de empresas o sectores económicos. <br><br><b>English Abstract:</b> The development of an area of knowledge through research requires establishing how its evolution has been, identifying where research efforts have been directed and comparing the different approaches that have been given to a certain problem. Within the field of Corporate Finance, capital structure has been a subject developed with multiple approaches, without yet having a generally accepted theory about it. Taking into account these assertions, it is considered important to know what the latest trends in capital structure research are. This article presents the results of the bibliometric analysis of the latest trends in research on capital structure, the decade between 2009 and 2018, allowing a diagnosis of its progress to be made and serving as a reference source for future research. It also includes a comparison of this period with the previous 9 years, between 2000 and 2008, highlighting the differences in the quantitative analysis of the populations of each of these periods. For the research development, the result of which is the present article, bibliometrics was used as a re","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133256126","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":"Indicador de alerta temprana para la detección de vulnerabilidades de los fondos de inversión colectiva (FIC) (Early Warning Indicator for Detection of Vulnerabilities of Collective Investment Funds (FIC))","authors":"Ana María Rendón-González","doi":"10.18601/17941113.N19.03","DOIUrl":"https://doi.org/10.18601/17941113.N19.03","url":null,"abstract":"<b>Spanish Abstract:</b> Dada la alta popularidad que han venido ganando los fondos de inversión colectiva (FIC) y su creciente participación en el mercado financiero, tanto en monto de inversiones como en número de inversionistas, es necesario contar con herramientas que permitan una adecuada y oportuna identificación de los riesgos, con el fin de prevenir una afectación a la estabilidad del sistema financiero. Sin embargo, la literatura en cuanto a alertas tempranas de estos fondos es escasa, ya que la mayoría de trabajos están enfocados en el sector bancario. El objetivo de este documento es desarrollar un indicador de alerta temprana que permita la identificación de vulnerabilidades de los FIC, con una ventana de tiempo suficiente a fin de que los hacedores de política implementen medidas para su contención. Para la consecución del objetivo planteado, se adaptará al escenario de los FIC en Colombia una medida de alerta temprana ampliamente conocida en el sector bancario, como es el caso del Indicador de Riesgo Sistémico Doméstico (d-SRI) del Banco Central Europeo. Los resultados obtenidos muestran que ante un choque de una desviación estándar en el indicador de alertas tempranas de los FIC (IATE FIC), se espera una caída de 1,4 puntos porcentuales en el crecimiento trimestral del valor neto de los FIC (VNF) en los seis meses posteriores a la ocurrencia del choque. Los hallazgos encontrados en el presente trabajo representan un avance importante en la detección de vulnerabilidades de los fondos de inversión y pueden ser de gran ayuda para los hacedores de política en la toma de decisiones ante escenarios de incertidumbre en el comportamiento futuro de la industria de FIC<br><br><b>English Abstract:</b> Given the high popularity that collective investment funds (CIFs) have been gaining and their growing participation in the financial market, both in terms of the amount of investments and the number of investors, it is necessary to have tools that allow for adequate and timely identification of risks, in order to prevent an effect on the stability of the financial system. However, there is a lack of literature on early warnings for these funds, since most of the papers are focused on the banking sector. This document aims to develop an early warning indicator that allows the identification of CIF vulnerabilities, with enough time of anticipation for poli¬cymakers to implement measures for their containment. In order to achieve this objective, a widely known early warning measure in the banking sector, such as the European Central Bank’s Domestic Systemic Risk Indicator (d-SRI), will be adapted to the CIF scenario in Colombia. The results obtained show that in the event of a shock of one standard deviation in the CIF early warning indicator (IATE FIC), a drop of 1.4 percentage points in the quarterly growth of the fund’s net value (FNV) is expected in the six months following the occurrence of the shock. The findings showed in this work represent","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125241211","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":"A Keynesian Approach to Modeling the Long-Term Interest Rate","authors":"Tanweer Akram","doi":"10.2139/ssrn.3860237","DOIUrl":"https://doi.org/10.2139/ssrn.3860237","url":null,"abstract":"There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes’s valuable insights about interest rate dynamics. The Keynesian approach to interest rate dynamics can be readily incorporated in the benchmark models of the long-term interest rate. This paper modifies several benchmark interest rate models. In these modified models the long-term interest rate is related to the short-term interest rate and a Wiener process. The Keynesian approach to interest rate dynamics can be useful in addressing theoretical and policy issues.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131840342","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}