Adjustment of Basle Capital Agreement will influence the risk management and capital arrangement demand of the banks with different scales, operation level and environment. It will have widespread and profound effect ...Adjustment of Basle Capital Agreement will influence the risk management and capital arrangement demand of the banks with different scales, operation level and environment. It will have widespread and profound effect on the competition strength of every country＇s banks in the global market. Starting with illustration of the present cond（tion of risk management in China＇s banks, the paper analyzes the major problems existing in the risk management system of China＇s banking industry, then puts forward some clues and suggestions to improve and better the risk management system of China＇s banking industry.展开更多
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
The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of deb...The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of debt and equity.The capital structure and present a model to determine the equity level from the aspects of financing scale,construction time and return on investment are analyzed.The resulting model can help the sponsor to avoid the capital risk,and offer the government a criterion to evaluate management ability of the sponsor.To show the application and availability of this model,a case study is conducted.Thus,this paper is concern with the determination of financing scale,construction time,and return on investment which would assist the sponsor to ensure that the equity level for optimal capital structure is available prior to the implementation stage in BOT project operation.展开更多
Based on an analysis of China ＇s current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts...Based on an analysis of China ＇s current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts have been made, there are still serious institutional and capital market risks that are difficult to overcome but are key in the success of China＇s pension reform. To ensure a smooth transition in pension reform, China not only needs to build a better institutional framework and facilitate capital market development, but also raise the risk awareness of individual pensioners.展开更多
文摘Adjustment of Basle Capital Agreement will influence the risk management and capital arrangement demand of the banks with different scales, operation level and environment. It will have widespread and profound effect on the competition strength of every country＇s banks in the global market. Starting with illustration of the present cond（tion of risk management in China＇s banks, the paper analyzes the major problems existing in the risk management system of China＇s banking industry, then puts forward some clues and suggestions to improve and better the risk management system of China＇s banking industry.
文摘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.
文摘The key aspect to the successful implementation of BOT concept is the raising of finance by project sponsor,so financial engineering techniques and capital structuring skills are required to find the proper mix of debt and equity.The capital structure and present a model to determine the equity level from the aspects of financing scale,construction time and return on investment are analyzed.The resulting model can help the sponsor to avoid the capital risk,and offer the government a criterion to evaluate management ability of the sponsor.To show the application and availability of this model,a case study is conducted.Thus,this paper is concern with the determination of financing scale,construction time,and return on investment which would assist the sponsor to ensure that the equity level for optimal capital structure is available prior to the implementation stage in BOT project operation.
文摘Based on an analysis of China ＇s current pension system, the present paper indicates that risk control of pension fund management is a serious policy challenge for the Chinese Government. Although some reform efforts have been made, there are still serious institutional and capital market risks that are difficult to overcome but are key in the success of China＇s pension reform. To ensure a smooth transition in pension reform, China not only needs to build a better institutional framework and facilitate capital market development, but also raise the risk awareness of individual pensioners.
