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When Leverage Ratio Meets Derivatives: Running Out Of Options? 当杠杆率与衍生品相遇:期权已用尽?
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2018-04-30 DOI: 10.2139/ssrn.3378619
Richard Haynes, Lihong McPhail, Haoxiang Zhu
{"title":"When Leverage Ratio Meets Derivatives: Running Out Of Options?","authors":"Richard Haynes, Lihong McPhail, Haoxiang Zhu","doi":"10.2139/ssrn.3378619","DOIUrl":"https://doi.org/10.2139/ssrn.3378619","url":null,"abstract":"This paper examines the impact of Basel III leverage ratio on the competitive landscape of US derivatives markets. Because the leverage ratio focuses on notional amounts and does not fully recognize offsetting positions and risk-mitigating collateral, it is more likely the binding constraint for derivatives. The leverage ratio also put heterogeneous constraints on different types of institutions and activities. Using daily positions of clearing members and their customers on SP (2) US banks lose market share to European banks; (3) banks' clearing activities shift away from customer accounts to house accounts; (4) low-delta options are affected most by the leverage ratio. All hypotheses are confirmed in the data. Short-dated US Treasury futures options, which receive zero exposure in the leverage ratio calculation, do not exhibit such behavior. Our evidence suggests that the leverage ratio requirement pushes derivatives activities toward less constrained institutions and market segments.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129587818","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: 8
Reputations and Credit Ratings: Evidence from Commercial Mortgage-Backed Securities 声誉和信用评级:来自商业抵押贷款支持证券的证据
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2018-01-01 DOI: 10.2139/ssrn.2858904
Ramin P. Baghai, Ramin P. Baghai, V. Goyal, Arpita Gupta
{"title":"Reputations and Credit Ratings: Evidence from Commercial Mortgage-Backed Securities","authors":"Ramin P. Baghai, Ramin P. Baghai, V. Goyal, Arpita Gupta","doi":"10.2139/ssrn.2858904","DOIUrl":"https://doi.org/10.2139/ssrn.2858904","url":null,"abstract":"How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS securities have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired to rate. Our findings are consistent with the view that an agency can regain market share after suffering reputational damage by issuing more optimistic ratings.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"311 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113997175","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: 38
Twin Peaks and Central Banks: Economics, Political Economy and Comparative Analysis 双峰与中央银行:经济学、政治经济学与比较分析
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-12-01 DOI: 10.2139/ssrn.3098098
D. Masciandaro, Davide Romelli
{"title":"Twin Peaks and Central Banks: Economics, Political Economy and Comparative Analysis","authors":"D. Masciandaro, Davide Romelli","doi":"10.2139/ssrn.3098098","DOIUrl":"https://doi.org/10.2139/ssrn.3098098","url":null,"abstract":"One of the fundamental issue in implementing the twin peaks regime is deciding where the prudential supervisor should be housed, given that so far three options has been explored, i.e. the prudential supervisor could be outside the central bank, or be a subsidiary of the central bank, or be completely inside the central bank. In other words the key question is to define the central bank involvement in the twin peaks model. The aim of the chapter is twofold: first of all we offer a systematic review of the economics and politics of the central bank involvement in a twin peak regime. Therefore and secondly we analyse the central bank position in the countries that already adopted the twin peak model, in order to better understand how the general theoretical and empirical results already obtained in exploring the central bank involvement in supervision can be applied in analysing the actual twin peaks regimes. Analysing the establishment of the twin peaks regime in Australia, Belgium, the Netherlands, New Zealand and United Kingdom it has been confirmed the heterogeneity of the central bank involvement as prudential supervisor, and on average that two drivers seems to be relevant in motivating the incumbent policymakers in reforming their supervisory settings: the necessity to address and fix the consequences of a systemic crisis (crisis driver); the opportunity to implement a supervisory change when the share of peer countries undertaking reforms is higher (bandwagon driver). On this respect, the true outlier seems to the Australian case, where the relevance of the two drivers is completely absent. The inertia effect – i.e. lagged reform due to the risks in implementing it - seems to evident only in the UK case.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127322503","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
How Do Ideas Shape National Preferences? The Financial Transaction Tax in Ireland 思想如何影响国家偏好?爱尔兰的金融交易税
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-10-12 DOI: 10.2139/SSRN.3060351
N. Hardiman, Saliha Metinsoy
{"title":"How Do Ideas Shape National Preferences? The Financial Transaction Tax in Ireland","authors":"N. Hardiman, Saliha Metinsoy","doi":"10.2139/SSRN.3060351","DOIUrl":"https://doi.org/10.2139/SSRN.3060351","url":null,"abstract":"European countries have been required to formulate a national preference in relation to the EU Financial Transaction Tax. The two leading approaches to explaining how the financial sector makes its views felt in the political process – the structural power of the financial services sector based on potential disinvestment, and its instrumental power arising from direct political lobbying – fall short of providing a comprehensive account. The missing link is how and why policy-makers might be willing to adopt the priorities of key sectors of the financial services industry. We outline how two levels of ideational power might be at work in shaping outcomes, using Ireland as a case study. We argue firstly that background systems of shared knowledge that are institutionalized in policy networks generated broad ideational convergence between the financial sector and policymakers over the priorities of industrial policy in general. Secondly, and against that backdrop, debate over specific policy choices can leave room for a wider range of disagreement and indeed political and ideational contestation. Irish policymakers proved responsive to industry interests in the case of the FTT, but not for the reasons normally given. This work seeks to link literatures in two fields of inquiry. It poses questions for liberal intergovernmentalism in suggesting that the translation of structurally grounded material interests into national policy preferences is far from automatic, and argues that this is mediated by ideational considerations that are often under-estimated. It also contributes to our understanding of how constructivist explanations of policy outcomes work in practice, through a detailed case study of how material and ideational interests interact.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127119990","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
The Role of Big Data, Machine Learning, and AI in Assessing Risks: A Regulatory Perspective 大数据、机器学习和人工智能在风险评估中的作用:监管视角
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-06-21 DOI: 10.2139/ssrn.3226514
S. Bauguess
{"title":"The Role of Big Data, Machine Learning, and AI in Assessing Risks: A Regulatory Perspective","authors":"S. Bauguess","doi":"10.2139/ssrn.3226514","DOIUrl":"https://doi.org/10.2139/ssrn.3226514","url":null,"abstract":"Artificial Intelligence, perhaps better known by its two-letter acronym “AI,” has been the fodder of science fiction writing for decades. But the technology underlying AI research has recently found applications in the financial sector – in a movement that falls under the banner of “Fintech.” And the same underlying technology (machine learning and AI) is fueling the spinoff field of “RegTech,” to make compliance and regulatory-related activities easier, faster, and more efficient. Like many financial institutions and other market participants, the Commission has made recent and rapid advancements with analytic programs that harness the power of big data (a.k.a \"SupTech\"). They are driving SEC surveillance programs and allowing innovations in many market risk assessment initiatives. My remarks are intended to highlight many of the promises – but also the limitations – of machine learning, big data, and AI in market regulation.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129389969","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: 27
Would Hedge Fund Regulation Mitigate Systemic Risk? Direct vs. Indirect Regulation Approach 对冲基金监管能减轻系统性风险吗?直接调控与间接调控方法
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-05-13 DOI: 10.2139/ssrn.2998048
Mehnaz Roushan Laura, Nafiz Fahad
{"title":"Would Hedge Fund Regulation Mitigate Systemic Risk? Direct vs. Indirect Regulation Approach","authors":"Mehnaz Roushan Laura, Nafiz Fahad","doi":"10.2139/ssrn.2998048","DOIUrl":"https://doi.org/10.2139/ssrn.2998048","url":null,"abstract":"This paper presents the direct vs. indirect debate of hedge fund regulation and attempts to find which approach is better able to mitigate systemic risk that the industry poses to the economy. The waves of regulatory reforms and enhanced concern regarding investors protection have recently brought attention of the regulators to hedge fund regulation issue. But, many academics fear that direct intervention may limit industry growth and benefit. Addressing these concerns, this paper observes the systemic importance of hedge fund industry based on four criteria’s [size, leverage, interconnectedness to large complex financial institutions (LCFIs) and herding] and concludes that although this industry is still small in terms of size and leverage, their interconnectivity with LCFIs and potential herding make them systemically significant. Hence, regulation of hedge fund is necessary to restrict the transmission of systemic events. Analysing direct and indirect approaches, this paper suggests that the counterparties are best positioned to implement this regulatory change.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"438 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114001981","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
Podmiotowy I Przedmiotowy Zakres Obowiązku Rozliczania Instrumentów Pochodnych OTC Przez Centralnego Kontrahenta (Subject and the Scope of OTC Derivatives Central Counterparty Clearing Obligation)
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-04-03 DOI: 10.2139/ssrn.2946852
I. Książek
{"title":"Podmiotowy I Przedmiotowy Zakres Obowiązku Rozliczania Instrumentów Pochodnych OTC Przez Centralnego Kontrahenta (Subject and the Scope of OTC Derivatives Central Counterparty Clearing Obligation)","authors":"I. Książek","doi":"10.2139/ssrn.2946852","DOIUrl":"https://doi.org/10.2139/ssrn.2946852","url":null,"abstract":"Polish Abstract: Tematem artykulu jest treśc przeslanek podmiotowych oraz przedmiotowych dotyczących obowiązku rozliczania określonych klas instrumentow pochodnych przez centralnego kontrahenta. Omawiana instytucja ma na celu ograniczenie ryzyka systemowego związanego z funkcjonowaniem rynkow finansowych. Analizie dogmatyczno-prawnej poddane zostaną regulacje pierwszego stopnia – rozporządzenie Parlamentu Europejskiego i Rady (UE) nr 648/2012, jak i drugiego stopnia – rozporządzenia delegowane Komisji dotyczące obowiązku rozliczania poszczegolnych klas derywatow oraz opisujące mechanizm dzialania wymogu threshold. Wspomniane przepisy zostaną poddane krytycznej ocenie uwzgledniającej istnienie potencjalnych luk prawnych, funkcjonowanie regulacji w praktyce oraz wplyw na krajowy CCP jakim jest KDPW_CCP. \u0000 \u0000English Abstract: The subject of the article are the conditions concerning the obligation to clear certain classes of derivatives by the central counterparty. This obligation aims to reduce the systemic risk associated with the functioning of the financial markets. First level regulations - Regulation (EU) No 648/2012 of the European Parliament and of the Council (EU) No 648/2012, as well as second level - Regulations delegated to the Commission on the obligation to clear individual classes of derivatives are analyzed to describe clearing obligation and threshold criterion. These provisions will be critically assessed taking into account the existence of potential loopholes, the functioning of the regulation in practice and the impact on the national CCP such as KDPW_CCP.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127974295","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
Insights into Accounting Choice from the Adoption Timing of International Financial Reporting Standards 从国际财务报告准则的采用时间透视会计选择
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-04-01 DOI: 10.1111/acfi.12145
Warwick Stent, M. Bradbury, J. Hooks
{"title":"Insights into Accounting Choice from the Adoption Timing of International Financial Reporting Standards","authors":"Warwick Stent, M. Bradbury, J. Hooks","doi":"10.1111/acfi.12145","DOIUrl":"https://doi.org/10.1111/acfi.12145","url":null,"abstract":"This paper collects survey evidence on the costs and benefits of adopting International Financial Reporting Standards (IFRS). It also examines the motivations for the timing of IFRS adoption. Significant differences exist between early and late adopters for three of nine benefits and for one of six cost measures. No significant differences exist in terms of firm size or the impact of IFRS on contracts. Early adopters perceive themselves as market leaders. They are more certain about the manageability of implementing IFRS and are more specific with regard to the impact of IFRS adoption. Late adoption decisions are motivated by adverse consequences and uncertainty.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"2 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123737867","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: 21
Profitability and Capital Requirements for Banks Issuing Deposits 发行存款银行的盈利能力和资本要求
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-03-22 DOI: 10.2139/ssrn.2939160
G. Mazzoni
{"title":"Profitability and Capital Requirements for Banks Issuing Deposits","authors":"G. Mazzoni","doi":"10.2139/ssrn.2939160","DOIUrl":"https://doi.org/10.2139/ssrn.2939160","url":null,"abstract":"A simple analytical framework of bank’s behaviour is presented to explore the key drivers of banks’ profitability/valuation. \u0000A stochastic version of a simple Discount Cash Flow (DCF) model will be used to study/understand how low interest rates and prudential measures (here focus will be devoted on capital requirements) interact affecting bank’s profitability (focus here is on profits deriving from the “spread business” of traditional banking related to the rent implicit in their deposit/money creation). \u0000At this stage this is a partial equilibrium framework but many of the conclusions obtained can be easily generalized in a system-wide perspective (developed in a companion paper). \u0000Key research question: understand through a simple analytical framework how low interest rates and capital requirement endogenously affect valuation and consequently behaviour of a bank issuing deposits (and exploiting its implicit rent).","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125349580","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
The SEC's Enforcement Record against Auditors 美国证券交易委员会对审计师的执法记录
Econometric Modeling: Financial Markets Regulation eJournal Pub Date : 2017-02-16 DOI: 10.2139/ssrn.2947469
Simi Kedia, U. Khan, Shivaram Rajgopal
{"title":"The SEC's Enforcement Record against Auditors","authors":"Simi Kedia, U. Khan, Shivaram Rajgopal","doi":"10.2139/ssrn.2947469","DOIUrl":"https://doi.org/10.2139/ssrn.2947469","url":null,"abstract":"We investigate the effectiveness of regulatory oversight exercised by the SEC against auditors over the years 1996-2009. The evidence suggests that the SEC is significantly less likely to name a Big N auditor as a defendant, after controlling for both the severity of the violation and for the characteristics of companies more likely to be audited by Big N auditors. Further, when the SEC does charge Big N auditors, the SEC (i) is less likely to impose harsher penalties on the Big N; and (ii) is less likely to name a Big N audit firm relative to individual Big N partners. Moreover, the SEC relies overwhelmingly on administrative proceedings, instead of the tougher civil proceedings, against auditors. One interpretation of these patterns is that the SEC’s enforcement against auditors is relatively mild. Other interpretations of these results are also discussed. Though private litigation against auditors is associated with a loss of market share for the auditor, there is no evidence of such product market penalty subsequent to SEC action.","PeriodicalId":414741,"journal":{"name":"Econometric Modeling: Financial Markets Regulation eJournal","volume":"176 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120960591","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
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