Всего статей в данном разделе : 135
Опубликовано на портале: 29-10-2007Nicolae Dardac, Bogdan Moinescu Theoretical and Applied Economics. 2005. Vol. 5 (500). P. 41-46.
The element of absolute novelty brought about by the « Basel II » agreement consists in the multiple approaches that can be used by banks when calculating the capital requirements for loan and operational risk. By implementing the solutions offered by “Basel II”, the Romanian loan-supplying institutions which will choose either the standard approach or the advanced one will be able to use the ratings provided by an external loan evaluation agency that will be set up for this particular purpose. In order to develop such an entity, it is essential to create a rating system based on quantitative analysis that will enable a correct assessment of the probability of non-payment according to the “Basel II” requirements. The tests performed on the models used in the present research study have pointed out the fact that the loan risk quantitative assessment and the setting up of an organization specialized in its external assessment in Romania are both necessary and possible. Taking these opportunities is however conditioned by the creation of an information system that may secure the periodical influx of valid and sufficient data for the adequate methodological calibers, under conditions of autonomy and transparency.
Опубликовано на портале: 22-12-2007Stefan W. Schmitz Financial Stability Report. 2007. No. 13. P. 98-114.
The purpose of this article is to disseminate the main results of the program “Ageing and Its Implications for Banks and Bank Strategy” of the Oesterreichische Nationalbank’s (OeNB’s) Financial Markets Analysis and Surveillance Division and to draw conclusions about the implications of aging for financial stability. The first question that arises is whether demographic change is relevant for banks and financial stability at all. The paper answers this question in the affirmative and goes on to analyze the impact of demographic change on the environment in which banks operate, i.e. on economic growth, interest rates, and residential real estate markets, and on the level and composition of household demand for bank services and products. The article summarizes how banks might adapt their strategies in response to demographic change. Finally, it draws conclusions about the potential implications for financial stability.
Опубликовано на портале: 23-11-2007Walter Engert, Jason Allen Bank of Canada Review. 2007. P. 33-45.
Allen and Engert report on recent research at the Bank of Canada on various aspects of efficiency in the Canadian banking industry. This research suggests that, overall, Canadian banks appear to be relatively efficient producers of financial services and they do not exercise monopoly or collusive-oligopoly power. The authors note the value of continuing to investigate opportunities to improve efficiency and competition in financial services in Canada.
Опубликовано на портале: 29-10-2007Cho-Hoi Hui, Chi Fai Lo, Ming Xi Huang Computational Intelligence for Financial Engineering. 2002. P. 1-7.
С принятием Базелевского соглашения новой редакции (Базель-2) для многих банков встал вопрос о создании определенного способа оценки так называемого "Риска Дефолта Заемщика". Авторы данной статьи представляют свои разработки в данной области под названием "Оценка риска дефолта заемщика при помощи трех-факторной модели". Данная модель строится на трех факторах, а именно: оценка активов компании, их обязательства и безрисковая ставка процента. Используя средние показатели компаний с различными рейтинговыми позициями, данная модель способна оценить вероятность дефолта потенциального заемщика. В целом, данная модель может быть применена для компаний, прошедших процедуру проверки крупнейших рейтинговых агентств.
Опубликовано на портале: 28-10-2007Iuliana Cetina, Mihail Nora Theoretical and Applied Economics. 2007. P. 47-52.
The creation of new products and services is acknowledged as being a necessity for the development of a company. Furthermore, due to the changes occurred in the banking field, the introduction of new services became for institutions a condition to remain competitive. The banking institutions which intend to be leaders in a domain should take the initiative and introduce new services. In the same measure, there are companies for which the cost of a potential failure is too high and they cannot allow it. They limit to introduce in their offer the products that have been tested on the market and have success among the consumers. This option in the marketing policy of the firm depends on several factors, such as the mission of the organisation, the intended objectives, the dimension and the resources of which it disposes and last but not least the nature of the new proposed service.
Опубликовано на портале: 18-04-2007Jun-Koo Kang, Anil Shivdasani Journal of Financial Economics. 1995. Vol. 38. No. 1. P. 29-58.
We examine the role of corporate governance mechanisms during top executive turnover in Japanese corporations. Consistent with evidence from U.S. data, the likelihood of nonroutine turnover is significantly related to industry-adjusted return on assets,excess stock returns, and negative operating income, but is not related to industry performance. The sensitivity of nonroutine turnover to earnings performance is higher for firms with ties to a main bank than for firms without such ties. Outside succession in Japan is more likely for firms with large shareholders and a main bank relationship. We document performance improvements subsequent to nonroutine turnover and outside succession.
Опубликовано на портале: 17-12-2007Мария Семенова EERC Working Paper Series. 2007. No. 07-02e.
This paper investigates if there is market discipline in the Russian deposit market, i.e. do depositors react to changes in fundamentals, characterizing banks’ riskiness. Another aim is to test whether depositor discipline disappeared with banks’ admission to deposit insurance system. I use panel bank-specific data over the period June 2004 – September 2005
Internal Capital Markets in Financial Conglomerates: Evidence from Small Bank Responses to Monetary Policy [статья]
Опубликовано на портале: 05-06-2006Murillo Campello Journal of Finance. 2002. Vol. 57. No. 6. P. 2773-2805.
This paper looks at internal capital markets in financial conglomerates by comparing the responses of small subsidiary and independent banks to monetary policy. I find that internal capital markets in financial conglomerates relax the credit constraints faced by smaller bank affiliates. Further analysis indicates that those markets lessen the impact of Fed policies on bank lending activity. The paper also examines the role of internal capital markets in influencing the investment allocation process of those conglomerates. My findings suggest that frictions between conglomerate headquarters and external capital markets are at the root of investment inefficiencies generated by internal capital markets.
Опубликовано на портале: 03-12-2007Aaron Tornell, Frank Westermann, Lorenza Martinez Brookings Papers on Economic Activity. 2007. Vol. 2. No. 2003-2. P. 1-112.
Although the case for trade liberalization is now well established, the case for financial liberalization is not, because the latter is associated with lending booms and crises. Some critics invoke as evidence the recent weak growth of Mexico, a prominent liberalizer. We argue that liberalization is beneficial despite the occurrence of crises. First, we show that financial liberalization has typically followed trade liberalization, and that both have led to faster growth, despite more frequent booms and busts. Second, we present a model that shows why, in countries with severe credit market imperfections, liberalization leads to faster growth and, as a by-product, to financial fragility. Third, comparing Mexico with this international norm, we show that liberalization and NAFTA have induced faster growth and investment but have not been enough: lack of structural reform and a protracted credit crunch generated bottlenecks that blocked further growth and led to a slowdown in exports.
Опубликовано на портале: 29-10-2007Iuliana Cetina, Mihail Nora Theoretical and Applied Economics. 2007. No. 1(506). P. 25-32.
All organizations must settle a price for the services they offer. The price for services is an important element of the marketing mix, being an important income source for the organization. The settlement of a correct price, both for the market and the competition, is a significant element for the sector of financial - banking services. Another important factor to take into consideration is the fact that the banks do not settle only the prices for individual services, but also coordinate their prices for service packages. As the competition in the financial - banking services has intensified, the settlement of correct prices has become an essential element for the marketing strategy. Nevertheless it is important to remind that the price is not a central element. There are other significant grounds, the price being only one of the elements of the marketing mix. Although in Romania many customers may be sensitive in present to the price, as the competition will increase, the quality of the services will become more important to the customers, and the demand will be complex.
Опубликовано на портале: 31-12-2010Anne Perrot Экономический журнал ВШЭ. 1999. Т. 3. № 2. С. 211-225.
One of the major issues concerning the dysfunction of the credit market is that of the information available to consumers on the quality of the good offered by the supplier. In the case of the saving market, when a consumer wants to make a deposit at a bank, the main risk he faces is that of bankruptcy of this bank. When bankruptcy occurs, the consumer may loose the whole amount of his deposit, and in turn this may prevent him from going to any bank. This type of situation is quite similar to that described by Akerlof (1970), where, due to the uncertainty on the product quality faced by buyers, the market can disappear.
Опубликовано на портале: 22-12-2007Lavinia Vasile Theoretical and Applied Economics. 2006. Vol. 6. No. 6. P. 73-76.
The financial and banking market is presently right in the middle of a developing and consolidating process. The banks are those institutions which can guarantee the financing for economic projects, generally speaking and particularly for the investment projects. The credit market got developed and secures financial sources for the entrepreneurs. But each and every credit is implying a less known aspect, as it is the subject of running a number of risks. The credit risk does exist; therefore, what really matters for both contracting parties is to properly evaluate it and learn about it in advance. The text below is emphasizing a number of aspects concerning the management of the credit risk (i.e. the non-payment risk, the exposure risk, the recovery risk).
Опубликовано на портале: 23-11-2007Michael Boss, Gerald Krenn, Claus Puhr, Markus S. Schwaiger Financial Stability Report. 2007. No. 13. P. 115-134.
Austrian banks are heavily engaged in Central and Eastern European (CEE) markets primarily by running local subsidiaries but also by extending cross-border loans. We give an account of the historical development and the status quo of these exposures and conduct a stress test for the Austrian banking system with respect to its credit exposure vis-à-vis the CEE region. Our test is based on an analysis of the current state of the local banking systems from a risk perspective, inter alia drawing on stress testing experiences gained by the national central banks and the International Monetary Fund. We use a stress scenario that (i) takes account of the differences in host country risks and (ii) represents a worst case that deliberately exceeds historical shocks. It turns out that, despite the dramatic worsening of the economic environment implied by the scenario, the Austrian banking system is not put at risk by the hypothesized crisis. The possible repercussions of a crisis in a single country via solvency problems of the Austrian parent institution turn out to be well limited.
Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems [статья]
Опубликовано на портале: 17-12-2007Michael Boss, Gerald Krenn, Claus Puhr, Martin Summer Financial Stability Report. 2006. No. 11. P. 83-95.
In 2002 the Oesterreichische Nationalbank (OeNB) launched in parallel several projects to develop modern tools for systemic financial stability analysis, off-site banking supervision and supervisory data analysis. In these projects the OeNB’s expertise in financial analysis and research was combined with expertise from the Austrian Financial Market Authority (FMA) and from academia. Systemic Risk Monitor (SRM) is part of this effort. SRM is a model to analyze banking supervision data and data from the Major Loans Register collected at the OeNB in an integrated quantitative risk management framework to assess systemic risk in the Austrian banking system at a quarterly frequency. SRM is also used to perform regular stress testing exercises. This paper gives an overview of the general ideas used by SRM and shows some of its applications to a recent Austrian dataset.
Опубликовано на портале: 22-12-2007Nicolae Danila Theoretical and Applied Economics. 2007. Vol. 6. No. 6. P. 73-92.
This material is presenting the banking system in Romania, as it developed after 1990 year. First of all, the text is pointing out the legislative framework set up for regulating the banking system, both during the transition period and just before the moment of the adhesion of Romania to the European Union. Afterwards, there are several points of view being expressed as to the banking regulations, the penetration of the foreign capital in our country, the main privatizations of the former state-owned banks – BCR, BRD, BANCA AGRICOLA, BANCPOST etc., or the establishment of new commercial banks, of individual personality. The credit institutions are analyzed from the point of view of their ownership form. A significant place is allocated to the evolution of the assets and liabilities within the banking system and the credit institutions system. There are evaluations as regards the procedures of supervising the banking system, the banks distribution network and the efficiency of the commercial banking system, which are emphasized by the analysis. The final part of the material is focusing on the evaluation of the Romanian banking system in comparison with the banking system of the countries members of the European Union.