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on Risk Management |
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Issue of 2011‒08‒15
six papers chosen by |
| By: | Ojo, Marianne |
| Abstract: | Whilst the predecessor (Part I) to this paper addresses criticisms and challenges which have arisen in response to recent Basel Committee's initiatives aimed at addressing capital and liquidity standards, the present paper highlights further measures which are being introduced by the Basel Committee to address such criticisms and challenges. As well as presenting and drawing attention to proposals which could serve as means of addressing challenges presented by liquidity risks, Part I of the paper concludes with the result that market based regulation is an essential and vital tool in the Basel Committee's efforts to address some of the challenges presented by liquidity risks. The present paper highlights the Basel Committee's acknowledgement of this conclusion. Furthermore, it draws attention to other areas which are considered to constitute fertile substrates for purposes of future research. This paper will also illustrate why the potential of banking regulations and disclosure requirements to impact risk taking levels is not only dependent on certain factors such as the dissemination of information to appropriate recipients, appropriate volume of disseminated information, when to disseminate such information, but also on other factors such as ownership structures and effective corporate governance measures aimed fostering monitoring, supervision and accountability. In arguing that additional leverage ratios which have recently been proposed by the Basel Committee will play a key role in facilitating the diversification of banks‘ liquid assets – via the new liquidity standards (Liquidity Coverage Ratio and the Net Stable Funding Ratio), contribution is also made to the current discussion on the resilience of the banking sector – albeit from the perspective of the stabilisation of the entire system. |
| Keywords: | liquidity risks; systemic risks; capital; standards; Basel III; moral hazard; disclosure; information; Liquidity Coverage Ratio (LCR); Net Stable Funding Ratio (NSFR); accountability; corporate governance |
| JEL: | K2 E32 G3 D8 |
| Date: | 2010–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:32630&r=rmg |
| By: | Shingo Kimura; Christine Le Thi |
| Abstract: | This Working Paper serves as a technical background note for the Farm-level analysis of risk, risk management strategies and policies (OECD Food, Agriculture and Fisheries Working Papers No.26). It describes: 1) the data source and analytical methods employed to measure risk exposure at the farm level; 2) the stochastic simulation model to analyze farm behaviour and policy performance under risk; and 3) cluster analysis as a way of selecting representative farms for model calibration. |
| Keywords: | risk management, cluster analysis, holistic approach |
| Date: | 2011–08–02 |
| URL: | http://d.repec.org/n?u=RePEc:oec:agraaa:48-en&r=rmg |
| By: | Takuji Arai; Masaaki Fukasawa |
| Abstract: | We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal valuation is characterized by several equivalent properties and in particular, we see that a convex risk measure is a good deal valuation only if it is given as a risk indifference price. An application to shortfall risk measure is given. In addition, we show that the no-free-lunch (NFL) condition is equivalent to the existence of a relevant convex risk measure which is a good deal valuation. The relevance turns out to be a condition for a good deal valuation to be reasonable. Further we investigate conditions under which any good deal valuation is relevant. |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1108.1273&r=rmg |
| By: | Craig Burnside |
| Abstract: | Carry trades, in which an investor borrows a low interest rate currency and lends a high interest rate currency, have been profitable historically. The risk exposure of carry traders might explain their high returns, but conventional models of risk do not work because traditional risk factors, used to price the stock market, do not price currency returns. Less traditional factors that are more successful in explaining currency returns, are, however, unsuccessful in explaining the returns to the stock market. More exotic models of "crisis risk" are another possibility, but I show that any time-variation in the exposure of the carry trade to market risk has been insufficient, in sample, to explain the average returns earned by carry traders. Instead, peso events remain a candidate explanation of the returns to the carry trade. |
| JEL: | F31 |
| Date: | 2011–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:17278&r=rmg |
| By: | Falavigna Greta (Ceris - Institute for Economic Research on Firms and Growth, Moncalieri (TO), Italy) |
| Abstract: | Based on new regulations of Basel II Accord in 2004, banks and financial nstitutions have now the possibility to develop internal rating systems with the aim of correctly udging financial health status of firms. This study analyses the situation of Italian small firms that are difficult to judge because their economic and financial data are often not available. The intend of this work is to propose a simulation framework to give a rating judgements to firms presenting poor financial information. The model assigns a rating judgement that is a simulated counterpart of that done by Bureau van Dijk-K Finance (BvD). Assigning rating score to small firms with problem of poor availability of financial data is really problematic. Nevertheless, in Italy the majority of firms are small and there is not a law that requires to firms to deposit balance-sheet in a detailed form. For this reason the model proposed in this work is a three-layer framework that allows us to assign ating judgements to small enterprises using simple balance-sheet data. |
| Keywords: | rating judgements, artificial neural networks, feature selection |
| JEL: | C15 C45 G24 |
| Date: | 2011–06 |
| URL: | http://d.repec.org/n?u=RePEc:csc:cerisp:201104&r=rmg |
| By: | Gupta, Abhijit Sen (Asian Development Bank Institute) |
| Abstract: | Despite having a low exposure to the toxic assets involved in the sub-prime crisis and a gradualist approach towards liberalization of the financial sector, certain parts of the Indian financial sector were significantly affected by the global financial crisis. Though Indian policymakers reacted in a proactive manner and introduced a host of measures to counter the adverse effects of the financial crisis, the recovery has not been uniform; several markets and sectors are still reeling from the crisis’ aftershocks. The proposed Basel III norms are going to have a significant impact on the Indian financial sector. |
| Keywords: | india global financial crisis; indian financial sector; basel iii norms |
| JEL: | F41 G15 O11 |
| Date: | 2011–08–04 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0303&r=rmg |