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1 |
Accounting and auditing of credit loss estimates: The hard and the soft
حسابداری و حسابرسی تخمین زیان اعتباری: سخت و نرم-2021 A key goal of financial reporting is to address information asymmetries, which are amplified in the
case of banks given their credit, maturity and liquidity transformation and complex, judgmental
accounting standards dealing with expected credit losses (ECL).
The paper explores the role of bank management in estimating and recognizing ECL, and how
external auditors challenge the resulting figures. Based on analysis of G-SIB disclosures, it concludes that management and auditors tend to prioritize observable and verifiable, hard information
to reduce challenge to their reported estimates and protect against the threat of legal liability.
Emphasis on such information facilitates loss deferral, damaging the reliability of banks’ financial
reporting, obscuring their safety and soundness picture and jeopardizing financial stability.
Based on these conclusions, the paper seeks to open a new path to the research and policy analysis of credit loss recognition, introducing proposals to address the procyclicality of credit loss
accounting by tackling inappropriate incentives that decouple risk taking from its translation onto
banks’ financial statements.
keywords: انتظارات اعتباری انتظار می رود | عدم تقارن اطلاعات | افشای | عوارض جانبی | ثبات اقتصادی | پروسیکیت | Expected Credit Losses | Information asymmetries | Disclosures | Externalities | Financial stability | Procyclicality |
مقاله انگلیسی |
2 |
Loan portfolio diversification, market structure and bank stability
تنوع پورتفوی وام ، ساختار بازار و ثبات بانک-2019 This paper examines whether the choice of bank loan diversification and market concentration are associ- ated with a bank’s financial stability. This study also investigates how the effect of loan diversification on bank stability varies depending on the level of the concentration or the competitiveness of the banking market. We find that increased loan diversification has a positive impact on the bank’s financial strength. We show that market concentration is negatively associated with bank insolvency risk, consistent with the “concentration-stability”view. The results using interaction terms between loan portfolio diversifica- tion and market concentration indicate that diversifying banks operating in highly concentrated markets are more financially stable compared to those in less concentrated markets. Keywords: Loan diversification | Market concentration | Banking | Financial stability |
مقاله انگلیسی |
3 |
Bailouts and systemic insurance
طرح نجات و بیمه سیستمیک-2019 We revisit the link between bailouts and bank risk taking. Bailout expectations create moral hazard –increase bank risk taking. However, when an individual bank’s success depends on both its effort and the overall stability of the banking system, bailouts that shield banks from contagion may increase their incentives to invest prudently and so reduce bank risk taking. This systemic insurance effect is more important when bailout rents are low while contagion risk is high. The optimal policy is then to make bailouts not difficult, but “effective”: associated with lower rents. We further show that, besides better bank resolution, a powerful means to reduce bailout rents is higher ex ante bank capital, since it im- plies a larger bank equity cushion that can be expropriated in a resolution. This highlights an important complementarity between bank capital regulation and bailouts as tools to enhance financial stability. Keywords: Banking | Bailouts | Bank capital | Contagion | Financial stability |
مقاله انگلیسی |
4 |
Factors influencing the European bank’s probability of default: An application of SYMBOL methodology
عوامل مؤثر بر احتمال پیش فرض بانک اروپایی: کاربردی از روش SYMBOL-2019 This paper analyses European banks’ probability of default (PD) by estimating a new measure
that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First, we calculate
the individual PD of a sample of European credit institutions during the period of
2011–2016. Then, dynamic panel data models are estimated to analyse the influence of
several bank-specific and macroeconomic variables on the PD. We conclude that capital
adequacy, liquidity, asset quality and profitability indicators influence the European banks’
PD. The macroeconomic scenario, the industry concentration and the size of banks also
appear to have an impact on their risk Keywords:Probability of default | Basel regulatory framework | CAMEL indicators | SYMBOL | Financial stability |
مقاله انگلیسی |
5 |
Interactions between monetary and macroprudential policies in the transmission of discretionary shocks
تعامل بین سیاست های پولی و کلان در جلوگیری از انتقال شوک های اختیاری-2019 After the 2008 international financial crisis, monetary authorities worldwide have assigned more
importance to financial stability, in addition to price stability. The objective of this paper is to
assemble a Dynamic Stochastic General Equilibrium (DSGE) model with financial frictions to
investigate how discretionary shocks on monetary and macroprudential policies are transmitted
to banks and real sector of the economy and how these policies interact between themselves. We
simulated the effects of shocks on interest rate, reserve requirements, and capital requirements on
the dynamics of the Brazilian economy. We also performed a sensitivity analysis of the transmission
mechanisms to alternative settings of the monetary and macroprudential policies. The
major findings indicated that, despite the recessionary effects on credit and output, contractionist
shocks that are fully repassed to the cost of credit lead to increase in spread and banking profits,
raising capital buffer and favoring financial stability. From a monetary perspective, although the
transmission of interest rate shock is effective on inflation, shocks in either reserve requirements
or capital requirements also affect output and inflation. Thus, monetary and macroprudential
policies might be used as supplement for achieving economic and financial stability Keywords: Monetary policy | Macroprudential policy | Banking sector | Economic stability | Financial stability |
مقاله انگلیسی |
6 |
Liquidity Creation Performance and Financial Stability Consequences of Islamic Banking: Evidence from a Multinational Study
عملکرد ایجاد نقدینگی و پیامدهای ثبات مالی بانکداری اسلامی: شواهدی از یک مطالعه چند ملیتی-2019 Despite the growth of Islamic banks (IBs), little is known about their liquidity creation
performance and financial stability consequences relative to conventional banks (CBs). We
address these issues using data from 24 countries over 2000–2014. We find IBs create more
liquidity per unit of assets than CBs, primarily on the asset side of the balance sheet. Results are
economically significant, econometrically robust, hold in high- and low-income countries, and
during the Global Financial Crisis and other times. In addition, CB liquidity creation results in
reduced national financial stability, particularly in high-income countries, whereas IB liquidity
creation does no Key Words: Islamic Banks | Bank Liquidity Creation | Financial Stability |
مقاله انگلیسی |
7 |
Islamic banking and risk: The impact of Basel II
بانکداری اسلامی و ریسک : تاثیر بازل دوم-2017 The expansion of Islamic banking raises questions about its impact on financial stability. We question whether
the implementation of Basel II standards influences the gap in risk between Islamic and conventional banks. We
use a sample of 558 banks from 24 countries that had an Islamic banking presence between 2007 and 2013. We
exploit the variation in Basel II implementation across countries to use a differences-in-differences approach.
Risk is considered according to insolvency risk and credit risk indicators. We find that Basel II standards enlarge
the gap in risk between Islamic and conventional banks at the expense of Islamic banks. These findings are also
observed when separately considering small banks and large banks. We thus support the view that the
relationship between Islamic banking and risk is conditional to the regulatory framework.
Keywords: Islamic banking | Risk | Financial stability |
مقاله انگلیسی |
8 |
Shadow banking, insurance and financial sector stability
بانک سایه ، بیمه ، ثبات بخش مالی-2017 Motivated by the recent financial crisis and the near collapse of the insurance giant American
International Group (AIG), we empirically study the link between the insurance sector, the size of
the shadow system and financial stability across countries. Using the Z-score as a measure of
financial stability and the ratio of insurance assets to GDP for 26 countries during the period
1998–2011, this paper shows that: (i) the insurance sector is negatively and significantly related
to financial stability, and that (ii) using the shadow banking system as a channel, the insurance
sector is detrimental to financial stability for countries with a high level of shadow banking
assets.
Keywords: Shadow banking | Insurance | Financial stability |
مقاله انگلیسی |
9 |
Economic stability under alternative banking systems: Theory and policy
ثبات اقتصادی تحت سیستم بانکی جایگزین: نظریه و سیاست-2017 In this paper we show in a thought experiment that in an economy where i) investors hold rational expec
tations, ii) output is generated by a linear homogeneous production function, and iii) real investment is
allocated across sectors according to the CAPM, a fractional reserve banking system is not Pareto effi
cient and amplifies the business cycle. In developing these results we show that these three well known
propositions in economics also imply a new view of the business cycle, one where the business cycle
is described in terms of the dispersion of an ex-ante probability distribution. The policy implication of
this analysis is that bank regulation should go further than the Volcker rule or the Vickers commission
proposal by restricting bank investments to currency and deposit accounts on the central bank. Non
bank financial institutions should then carry out the financial intermediation function now carried out
by banks. The paper proposes that post office banking perhaps augmented with blockchain technology
sometime in the future is one way to implement the transition from fractional reserve banking to full
reserve banking. While little academic work has been done on full reserve banking in the aftermath of
the Great Crisis, it is interesting to note that it is part of banking reform proposals now (July 2016) before
the parliament in Iceland and a special national referendum in Switzerland.
Keywords: Economic stability | Full reserve versus fractional reserve | banking | Capm | Business cycles | Pareto optimality |
مقاله انگلیسی |