This study investigates the need for credit supervision as conducted by on-site banking supervisors.It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-supervision app...This study investigates the need for credit supervision as conducted by on-site banking supervisors.It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-supervision approach,in which banks themselves assess their loan portfolios without external intervention,with the on-site banking supervision approach of the Central Bank of Brazil.The experiment develops two machine learning classification models:the first model is based on good and bad ratings informed by banks,and the second model is based on past on-site credit portfolio examinations conducted by banking supervision.The findings show that the overall performance of the on-site supervision approach is consistently higher than the performance of the self-supervision approach,justifying the need for on-site credit portfolio examination as conducted by the Central Bank.展开更多
Foreign banks have achievedremarkable development in China since theintroduction in 1980, and so far there are 135institutions doing business in our country.With the increasing number of foreign-fundedfinancial instit...Foreign banks have achievedremarkable development in China since theintroduction in 1980, and so far there are 135institutions doing business in our country.With the increasing number of foreign-fundedfinancial institutions and the developmentof their businesses, China has made someadjustments to its policies and laws governingforeign banks in recent years, which aredemonstrated in the following aspects.Ⅰ Regions: In August, 1994, 11 cities wereapproved to set up business institutions offoreign banks. So far, the number of suchcities has increased to 24, as follows: Beijing,展开更多
By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper const...By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.展开更多
文摘This study investigates the need for credit supervision as conducted by on-site banking supervisors.It builds on a real bank on-site credit examination to compare the performance of a hypothetical self-supervision approach,in which banks themselves assess their loan portfolios without external intervention,with the on-site banking supervision approach of the Central Bank of Brazil.The experiment develops two machine learning classification models:the first model is based on good and bad ratings informed by banks,and the second model is based on past on-site credit portfolio examinations conducted by banking supervision.The findings show that the overall performance of the on-site supervision approach is consistently higher than the performance of the self-supervision approach,justifying the need for on-site credit portfolio examination as conducted by the Central Bank.
文摘Foreign banks have achievedremarkable development in China since theintroduction in 1980, and so far there are 135institutions doing business in our country.With the increasing number of foreign-fundedfinancial institutions and the developmentof their businesses, China has made someadjustments to its policies and laws governingforeign banks in recent years, which aredemonstrated in the following aspects.Ⅰ Regions: In August, 1994, 11 cities wereapproved to set up business institutions offoreign banks. So far, the number of suchcities has increased to 24, as follows: Beijing,
文摘By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.
