ERN: Regulation & Supervision (Topic)最新文献

{"title":"Online Appendix for: Regulatory Capital and Incentives for Risk Model Choice under Basel 3","authors":"Fred Liu, Lars Stentoft","doi":"10.2139/ssrn.3651459","DOIUrl":"https://doi.org/10.2139/ssrn.3651459","url":null,"abstract":"Motivated by the recent changes made to the regulatory environment that governs how banks calculate minimum capital requirements Liu and Stentoft (2020) seek to answer the question of how regulation affect banks’ choice of risk-management models, whether it incentivizes them to use correctly specified models, and if it results in more stable capital requirements. This Online Appendix contain further details on the regulatory calculations, Appendix A, on how to select optimal thresholds for Extreme Value Theory models, Appendix B, on the back-testing methods used for ES, Appendix C, and some additional results, Appendix D and E.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127353987","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":"Systematic risk of European banks","authors":"D. Venanzi","doi":"10.2139/ssrn.3644863","DOIUrl":"https://doi.org/10.2139/ssrn.3644863","url":null,"abstract":"Which factors determine the systematic risk of European banks? The issue is very important for regulators and decision-makers in financial markets. This study follows the Beaver-Kettler-Scholes (1970)’s pioneering approach, which estimates true betas of not-financial firms by correcting the observed market betas through the fundamental financial/accounting ratios that better explain the systematic risk; by extending this approach to commercial banks, we empirically estimate the fundamental betas of a sample of more than 100 European commercial banks in 2006-2015 period. The emerging findings show that size, diversification, derivatives, and TEXAS ratio increase the systematic risk of banks and that the risk weighting of assets, based on Basel rules, does not correctly catch the bank risks, since it influences negatively their beta. <br><br>This evidence weakens the dominant belief that growing up through M&amp;As is the panacea for European banks.<br>","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128741830","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":"Identifying and Reducing the Money Laundering Risks Posed by Individuals Who Have Been Unknowingly Recruited as Money Mules","authors":"Ehi Eric Esoimeme","doi":"10.2139/ssrn.3752095","DOIUrl":"https://doi.org/10.2139/ssrn.3752095","url":null,"abstract":"<br>Purpose: This paper aims to help build awareness with financial institutions about the money laundering risks posed by individuals who have been unknowingly recruited as money rules and the measures that financial institutions can adopt to detect illicit funds which are being received into the bank accounts of low risk or medium risk customers who are unknowingly recruited as “Money Mules. <br><br>Design/Methodology/Approach: The research took the form of a desk study, which analyzed various documents and reports such as a 2019 report on Money Mules by the European Union Agency for Law Enforcement Cooperation (EUROPOL); a 2019 report on Money Mules by the Federal Bureau of Investigation (FBI) and the Better Business Bureau (BBB); the Financial Action Task Force Guidance on the Risk Based Approach to Combating Money Laundering and Terrorist Financing (High Level Principles and Procedures) 2007; the Financial Action Task Force Recommendations 2012; the United Kingdom’s Money Laundering, Terrorist Financing and Transfer of Funds (Information on the Payer) Regulations 2017; the United States Federal Financial Institutions Examination Council Bank Secrecy Act/Anti-Money Laundering Examination Manual 2014; Transparency International Corruption Perceptions Index 2018; The UK Proceeds of Crime Act 2002 (as amended); the Joint Money Laundering Steering Group JMLSG, Prevention of money laundering/combating terrorist financing: Guidance for the UK financial sector Part I June 2017 (Amended December 2017); the United States Codified Bank Secrecy Act Regulations (31 CFR); the Nigerian Money Laundering Prohibition Act 2011 (as amended); and the Joint Money Laundering Steering Group JMLSG, Prevention of money laundering/combating terrorist financing: Guidance for the UK financial sector Part II: Sectoral Guidance June 2017 (Amended December 2017). <br><br>Findings: This paper determined that financial institutions may be able to prevent proceeds of crime from being laundered by individuals who have been unknowingly recruited as Money Mules if they focus monitoring resources on clients who are more likely to be used as Money Mules by criminal networks and organizations; Pay very close attention to the country of origin where the funds emanate from; Pay very close attention to the country where the funds are being transferred to; Pay close attention to Frequent Large Cash Deposits Followed by Wire Transfers; and Pay close attention to customers who make use of the wealth management services of the bank.<br><br>Originality/Value: While most Articles focus on the money laundering risk(s) associated with Money Mules and the measures that individuals can employ to ensure that their bank accounts are not used by criminals to launder illicit funds, this paper focuses on the different mechanisms that banks can employ to detect illicit funds which are being received into the bank accounts of low risk or medium risk customers who are unknowingly recruited as “Money Mu","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131792732","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":"Monetary Policies and Destabilizing Carry Trades Under Adaptive Learning","authors":"Cyril Dell’Eva, E. Girardin, P. Pintus","doi":"10.2139/ssrn.3629221","DOIUrl":"https://doi.org/10.2139/ssrn.3629221","url":null,"abstract":"This paper investigates how different monetary policy designs alter the effect of carry trades on a host small open economy. Capital inflows are expansionary, leading the central bank to raise the interest rate, increasing carry trades' returns, and generating further capital inflows (carry trades' vicious circle). This paper shows how monetary authorities can mitigate or suppress this vicious circle, when agents do not have full information about the central bank's objectives. The best way to deal with the destabilizing effect of carry trades is to target both inflation and capital inflows.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"CE-21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126540743","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":"Can UK Banks Pass the COVID-19 Stress Test?","authors":"D. Buckner, K. Dowd","doi":"10.2139/ssrn.3614865","DOIUrl":"https://doi.org/10.2139/ssrn.3614865","url":null,"abstract":"As the UK economy enters the COVID-19 downturn, the Bank of England (BoE) continues to maintain that the UK banks are strongly capitalised. Yet there is considerable evidence that they are anything but. \u0000 \u0000The core metrics of the Big Five UK banks have deteriorated sharply since the New Year, and even more since the end of 2006, i.e., the eve of the Global Financial Crisis. Their market capitalisation is now £140.6 billion, down 61% since December 2006; their average price-to-book ratio is 39.2%, down from 255% at end 2006; their average capital ratio, defined as market capitalisation divided by total assets, is 2.3%, down from 11.2% at the end of 2006; their corresponding leverage levels are 43.3, up from 8.9 (end 2006). By these metrics, UK banks have much lower capital ratios and their leverage is nearly 5 times what it was going into the previous crisis. \u0000 \u0000These metrics indicate a sickly banking system. If the banks were in good financial shape, their PtB ratios would be well above 100% and their capital ratios well above current levels. Traditional rules of thumb also suggest that leverage levels should be no greater than 10 or 15 to be considered safe. \u0000 \u0000In addition, UK banks have hidden problems relating to their off-balance-sheet positions, their gameable ‘Fair Value’ Level 3 (or ‘mark to model’) and loan book valuations, and their problematic implementation of IFRS 9, all of which have further adverse consequences for their capital adequacy. \u0000 \u0000The BoE’s ‘Great Capital Rebuild’ narrative about a strongly recapitalised UK banking system is little more than an elaborate, and occasionally shambolic, window dressing exercise. The BoE focused most of its efforts on making the banking system appear strong by boosting banks’ regulatory capital ratios instead of ensuring that the banking system became strong through a sufficiently large increase in actual capital meaningfully measured. The result is that the UK banking system enters the downturn in a worryingly fragile state and avoidably so. \u0000 \u0000Another massive bank bailout now appears inevitable.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116744407","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":"How Design Features Affect the Balance Sheet Presentation of CoCo-bonds","authors":"Matthias Petras, Kai Coufal","doi":"10.2139/ssrn.3683131","DOIUrl":"https://doi.org/10.2139/ssrn.3683131","url":null,"abstract":"CoCo-bonds are hybrid capital instruments. Therefore, they can be classified as debt or as equity on the balance sheet. International Financial Reporting Standards do not yield clear guidance on how to account for CoCo-bonds. We investigate empirically how CoCo-bonds are accounted for in bank practice. We identify relevant design features which decide whether the bond is classified as debt or equity. Thereby, we shed light on the factors which determine the balance sheet representation and provide useful information for the process of designing the bonds, considering its consequent accounting treatment.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128928722","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":"On the Credit-to-GDP Gap and Spurious Medium-Term Cycles","authors":"Y. S. Schüler","doi":"10.2139/ssrn.3560257","DOIUrl":"https://doi.org/10.2139/ssrn.3560257","url":null,"abstract":"The Basel III framework advises considering a reference indicator at the country level to guide the setting of the countercyclical capital buffer: the credit-to-GDP gap. In this paper, I provide empirical evidence suggesting that the credit-to-GDP gap is subject to spurious medium-term cycles, i.e. artificial boom-bust cycles with a maximum duration of around 40 years.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127503395","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":"Shadow Digital Money","authors":"James McAndrews, Lev Menand","doi":"10.2139/ssrn.3554006","DOIUrl":"https://doi.org/10.2139/ssrn.3554006","url":null,"abstract":"Promises by media platforms to provide digital transaction services will likely lead to a flood of new money. While these developments are potentially valuable, under current law the money created is unsound. It is not insured by the government, nor is it backed by safe assets. We should not yoke good technology to unsound money. Federal regulation is needed to guarantee safety and soundness, to restore monetary control to the Federal Reserve, and to prevent a race to the bottom between competing state regulatory regimes. With modest changes to the U.S. Code, innovation in payments will be just that—innovation in payments—and not also unsupervised and unsound money issuance.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129191092","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 Case Study of the Capital One Data Breach","authors":"Nelson Novaes Neto, S. Madnick, Anchises Moraes G. de Paula, Natasha Malara Borges","doi":"10.2139/ssrn.3542567","DOIUrl":"https://doi.org/10.2139/ssrn.3542567","url":null,"abstract":"In an increasingly regulated world, with companies prioritizing a big part of their budget for expenses with cyber security protections, why have all of these protection initiatives and compliance standards not been enough to prevent the leak of billions of data points in recent years? New data protection and privacy laws and recent cyber security regulations, such as the General Data Protection Regulation (GDPR) that went into effect in Europe in 2018, demonstrate a strong trend and growing concern on how to protect businesses and customers from the significant increase in cyberattacks. Does the flaw lie in the existing compliance requirements or in how companies manage their protections and enforce compliance controls? The purpose of this research was to answer these questions by means of a technical assessment of the Capital One data breach incident, one of the largest financial institutions in the U.S. This case study aims to understand the technical modus operandi of the attack, map out exploited vulnerabilities, and identify the related compliance requirements, that existed, based on the National Institute of Standards and Technology (NIST) Cybersecurity Framework, version 1.1, an agnostic framework widely used in the global industry to provide cyber threat mitigation guidelines. The results of this research and the case study will help government entities, regulatory agencies, and companies to improve their cyber security controls for the protection of organizations and individuals.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128269932","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":"Banking Without Deposits: Evidence from Shadow Bank Call Reports","authors":"E. Jiang, Gregor Matvos, T. Piskorski, Amit Seru","doi":"10.2139/ssrn.3584191","DOIUrl":"https://doi.org/10.2139/ssrn.3584191","url":null,"abstract":"Is bank capital structure designed to extract deposit subsidies? We address this question by studying capital structure decisions of shadow banks: intermediaries that provide banking services but are not funded by deposits. We assemble, for the first time, call report data for shadow banks which originate one quarter of all US household debt. We document five facts. (1) Shadow banks use twice as much equity capital as equivalent banks, but are substantially more leveraged than non-financial firms. (2) Leverage across shadow banks is substantially more dispersed than leverage across banks. (3) Like banks, shadow banks finance themselves primarily with short-term debt and originate long-term loans. However, shadow bank debt is provided primarily by informed and concentrated lenders. (4) Shadow bank leverage increases substantially with size, and the capitalization of the largest shadow banks is similar to banks of comparable size. (5) Uninsured leverage, defined as uninsured debt funding to assets, increases with size and average interest rates on uninsured debt decline with size for both banks and shadow banks. Modern shadow bank capital structure choices resemble those of pre-deposit-insurance banks both in the U.S. and Germany, suggesting that the differences in capital structure with modern banks are likely due to banks’ ability to access insured deposits. Our results suggest that banks’ level of capitalization is pinned down by deposit subsidies and capital regulation at the margin, with small banks likely to be largest recipients of deposit subsidies. Models of financial intermediary capital structure then have to simultaneously explain high (uninsured) leverage, which increases with the size of the intermediary, and allow for substantial heterogeneity across capital structures of firms engaged in similar activities. Such models also need to explain high reliance on short-term debt of financial intermediaries.","PeriodicalId":376194,"journal":{"name":"ERN: Regulation & Supervision (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124337269","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}