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Calibrating the Level of Capital: The Way We See It
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作者 Ryo Kato Shun Kobayashi Yumi Saita 《Journal of Mathematics and System Science》 2011年第1期23-42,共20页
This paper aims to propose a framework for estimating the optimal levels of capital at banks, elaborating factors such as liquidity and macroeconomic conditions. Firstly, as a preamble, the authors attempt to reorgani... This paper aims to propose a framework for estimating the optimal levels of capital at banks, elaborating factors such as liquidity and macroeconomic conditions. Firstly, as a preamble, the authors attempt to reorganize the variety of policy proposals for enhancing financial sector regulation. In light of the broad perspective of the prudential policy framework, the authors discuss the role of bank capital in enhancing banking-sector resilience. Secondly, the authors lay out an early warning system (EWS) to predict a financial crisis where the role of capital and liquidity are explicitly captured. Then, the authors apply the EWS as a component of a cost-benefit analysis (CBA) to gauge the benefit from raising capital and liquidity requirements, as more stringent regulations are expected to reduce the probability of financial ,crisis. On the other hand, financial-sector regulations should come along with certain costs. To quantify the cost, the authors employ some existing macroeconomic models to estimate the cost of raising capital and liquidity requirements. Combining the EWS (for benefit calculation) with the macroeconomic models (for cost calculation), the authors provide a full-fledged CBA framework that can detemaine the optimal levels of capital that strike the right balance between the costs and benefits of the financial-sector regulation. The main results indicate that the optimal level of bank capital would considerably vary depending on the level of liquidity indicators both on the asset and liability sides of banks' balance sheets as well as macroeconomic conditions, typically represented by housing market inflation. Finally, the CBA framework suggests that banks could stand in a better shape with a counter-cyclical capital buffer to be well-prepared for a prospective distress. 展开更多
关键词 capital ratio LIQUIDITY financial crisis probit model bank regulation.
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Effect of Turkish Bank Capital Structure of Basel Ⅱ Criteria 被引量:1
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作者 Huseyin Serdar YAL CINKAYA Mehmet Ali AKTAS 《Chinese Business Review》 2013年第3期186-194,共9页
Performing the functions of the bank's own funds lack of funds, those living in them to pass on more of those who use and quite a large amount of capital to determine the risks and managing them are facing. Chain of ... Performing the functions of the bank's own funds lack of funds, those living in them to pass on more of those who use and quite a large amount of capital to determine the risks and managing them are facing. Chain of crises in financial markets spread to other sectors see that starting. This phenomenon depending on the potential risks of financial market actors, and especially banks, system identification, measurement, and control needs to be increased. This is referred to as the Basel Accords, depending on the needs the agreement of risk management has emerged. At first glance, the Basel Ⅱ Accord in terms of risk management in financial institutions risk management recommendations to the perception of the principles of the Basel Ⅱ Accord, but with a specific timetable, gradually emerges as a set of rules that must be passed as risk management. Finally, the financial crisis spread across the world from the United States, how much it reveals that risk management in the financial markets. In this study, capital adequacy ratio (CAR) banks operating in Turkey's correlation analysis investigated the effect of the banks. 展开更多
关键词 Basel capital adequacy ratio (CAR) CRISIS RISK
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Piketty’s Capital-Income Theory Reconsidered for a Small Open Economy with Increasing Savings Rate
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作者 Yasunori Fujita 《Open Journal of Statistics》 2016年第1期25-30,共6页
Since Piketty offered a new view of capital/income ratio, numerous attempts have been made to examine the relationship between return on capital, economic growth and the capital/income ratio. This paper attempts to sh... Since Piketty offered a new view of capital/income ratio, numerous attempts have been made to examine the relationship between return on capital, economic growth and the capital/income ratio. This paper attempts to shed new light on this field. More precisely, following recent literatures that pay attention to dynamics of external balance sheets of countries, we examine if Piketty’s results for large countries are robust for a country that takes the world rate of return on capital as given and whose savings rate increases gradually from negative value. It is revealed that for such a country, (1) Kuznets curve is drawn and (2) capital/income ratio decreases in accordance with a rise in savings rate and return on capital. 展开更多
关键词 Small Open Economy capital/Income ratio Kuznets Curve Negative Savings Rate
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China's Achilles Heel: The Banking System
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作者 Randall O. Chang 《Chinese Business Review》 2005年第10期13-15,共3页
China's robust economy is bringing unprecedented growth and prosperity to the country. However, there is ample evidence to suggest that weaknesses in the banking system and the slow progress in reforming those weakne... China's robust economy is bringing unprecedented growth and prosperity to the country. However, there is ample evidence to suggest that weaknesses in the banking system and the slow progress in reforming those weaknesses may cause disruption to continued economic growth. Bad loan portfolios as well as inadequate capital ratios point to the lack of proper governance and credit cultures at many banks. Unless these issues are quickly and properly addressed, the economic engine that drives the country will be at risk. 展开更多
关键词 financial intermediation non-performing loan ratios capital ratios credit culture loan grading systems transparency added value
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Evaluation of Deposit Insurance Fund Adequacy Using Credit Risk Model--An Indian Experience 被引量:1
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作者 Steward Doss 《Chinese Business Review》 2017年第5期211-233,共23页
There are two methods widely used for evaluating the adequacy of Deposit Insurance Fund: (i) Target Reserve Ratio and (ii) Credit Risk Model. Target Reserve Ratio is one of the macro level indicators more often s... There are two methods widely used for evaluating the adequacy of Deposit Insurance Fund: (i) Target Reserve Ratio and (ii) Credit Risk Model. Target Reserve Ratio is one of the macro level indicators more often set by Regulatory act on the basis of minimum Deposit Insurance Fund margin safety, Target Reserve Ratio is calculated as the ratio of Deposit Insurance Fund to the value of insured deposits. However, TRR does not take into consideration the level of Deposit Insurance potential liability, the Loss at Given Default (LGD) and the historical trend of default rate prevailing among the insured banks. It does not also consider the present condition of the economy and current scenario of the banking sector. This paper discusses primarily about development of Credit Risk Model for evaluating the Deposit Insurance Fund Adequacy. For this purpose, Econometric Credit Risk Model was developed based on the historical data of bank failures and the associated losses of the last 25 years from 1990-91 to 2014-15. The model assesses various possible factors impacting the Deposit Insurance Fund: Default rate, Deposit growth, Exposures, impact of macro-economic factors like GDP, GDS, Inflation and Interest rate changes, etc. on the Deposit Insurance Fund through econometric modeling. The model evaluates the adequacy of Deposit Insurance Fund under both (i) Normal scenarios where there is no (economic) systemic risk assumed and (ii) Worst case scenario at 1% level of significance using Monte Carlo Simulation. Since the model empirically validates all the critical factors impacting the assets and liabilities associated with Loss at Given Default, the model output can also be used to determine a suitable Target Reserve Ratio and such models are being used in countries like USA, Canada, Hong Kong, and Singapore, etc. (IADI, 2009). More importantly, the model outputs are quite useful in determining the adequacy of deposit insurance fund which is an effective risk control measure that organization like Deposit Insurance Credit Guarantee Corporation (DICGC) can adopt both under normal economic scenario as well as worst case scenario, ensuring a strong financial safety net for the banking sector in India. The model also assesses the default probability and the Loss at Given Default of different types of banks: commercial banks, rural banks, cooperative banks, foreign banks, etc. A risk based on premium can possibly be determined for each type of banks in India. 展开更多
关键词 default probability Loss at Given Default Target Reserve ratio assessable deposits cash reserve ratio capital to risk weighted asset ratio
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Impact of risk management strategies on the credit risk faced by commercial banks of Balochistan
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作者 Zia Ur Rehman Noor Muhammad +1 位作者 Bilal Sarwar Muhammad Asif Raz 《Financial Innovation》 2019年第1期761-773,共13页
This study aims to identify risk management strategies undertaken by the commercial banks of Balochistan,Pakistan,to mitigate or eliminate credit risk.The findings of the study are significant as commercial banks will... This study aims to identify risk management strategies undertaken by the commercial banks of Balochistan,Pakistan,to mitigate or eliminate credit risk.The findings of the study are significant as commercial banks will understand the effectiveness of various risk management strategies and may apply them for minimizing credit risk.This explanatory study analyses the opinions of the employees of selected commercial banks about which strategies are useful for mitigating credit risk.Quantitative data was collected from 250 employees of commercial banks to perform multiple regression analyses,which were used for the analysis.The results identified four areas of impact on credit risk management(CRM):corporate governance exerts the greatest impact,followed by diversification,which plays a significant role,hedging and,finally,the bank’s Capital Adequacy Ratio.This study highlights these four risk management strategies,which are critical for commercial banks to resolve their credit risk. 展开更多
关键词 Credit risk Risk management strategies Financial risk capital adequacy ratio HEDGING Corporate governance DIVERSIFICATION
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