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ردیف | عنوان | نوع |
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1 |
Accounting for financial stability: Bank disclosure and loss recognition in the financial crisis
حسابداری برای ثبات مالی: افشای بانکی و تشخیص از دست دادن در بحران مالی-2021 This paper examines banks’ disclosures and loss recognition in the 2007–2009 financial
crisis and identifies several core issues for the link between accounting and financial stability. We show that, going into the financial crisis, banks’ disclosures about relevant risk
exposures were relatively sparse. Such disclosures came later after major concerns about
banks’ exposures had arisen in markets. The recognition of loan losses also was slow and
delayed relative to prevailing market expectations. Among the possible explanations for
this evidence, our analysis indicates that banks’ reporting incentives played a key role,
which has important implications for bank supervision and the new expected loss model for loan accounting. We also provide evidence that shielding regulatory capital from accounting losses through prudential filters can dampen banks’ incentives for corrective actions. Overall, our analysis reveals several significant challenges if accounting and financial
reporting are to contribute to financial stability.
keywords: Banks | Financial crisis | Financial stability | Disclosure | Loan loss accounting | Expected credit losses | Incurred loss model | Prudential filter | Fair value accounting |
مقاله انگلیسی |
2 |
An agent-based system with temporal data mining for monitoring financial stability on insurance markets
سیستم مبتنی بر نمایندگی با داده کاوی زمانی برای نظارت بر ثبات مالی در بازارهای بیمه-2019 We describe an expert system to monitor the stability of insurance markets. It consists of two compo- nents: an agent-based simulation component and a temporal data mining component. Like other financial markets, insurance markets experience destabilizing cycles and suffer episodic crises. The expert system assists market regulators by monitoring the financial position of individual insurers and of the overall market, and by forecasting cycles and impending insolvencies. The agent-based simulation component runs a forward simulation allowing for interaction among insurers in a competitive market, and between insurers and customers. The temporal data mining component extracts useful information for market reg- ulators from the simulations. A prototype of the system is applied to the automobile insurance market. We show how the system may be used to forecast cycles, investigate stability, and analyze insurers’ herd- ing behavior on the market. A practical policy conclusion is that regulators should monitor individual in- surers’ pricing pattern because aggressive price undercutting creates a “winner’s curse”, with subsequent losses and market instability. Keywords: Agents | Motif | Anomaly | Cycle | Crisis | Automobile insurance |
مقاله انگلیسی |
3 |
Monitoring banking system connectedness with big data
نظارت بر اتصال سیستم بانکی با داده های بزرگ-2019 In this paper, we propose a procedure that generates measures of connectedness
between individual firms and for the system as a whole based on information observed
only at the firm level; i.e., no explicit linkages are observed. We apply our procedure
to large U.S. bank holding companies. We show how bank outcome variables of interest
can be decomposed, including with mixed-frequency models, for network analysis to
measure connectedness across firms. Network analysis of these decompositions produces
measures that could be of use in financial stability monitoring as well as the analysis of
individual firms’ linkages Keywords: Financial stability | Bank supervision | Network centrality | Systemic connectedness |
مقاله انگلیسی |
4 |
A new macro stress testing approach for financial realignment in the Eurozone
یک روش جدید تست استرس کلان برای تجدید مالی در منطقه یورو-2019 Contrary to the common approach of stress-testing under which banks are evaluated
whether they are distressed, this empirical study chooses to move from the micro stress
test approach to a wider new macro stress test category. By being able to stress testing
the entire economy of the Eurozone, it will permit big banks to fail and, at the same time,
will open room for new banking players to enter the sector, promoting the essence of a
healthy destruction. The analysis performs a battery of stress tests, by implementing
VaR, Cornish-Fisher VaR, Monte Carlo VaR, Expected Shortfall, Cornish-Fisher Expected
Shortfall, and Monte Carlo Expected Shortfall. At the same time, it explicitly considers
the new regulatory approach of IFRS9 to incorporate extreme values from forecasted series
in the distributions. The analysis also performs two versions of stress tests, one including
TARGET2 and one without it. The results document that future stress tests should include
TARGET2 values in order to capture a better picture of the stressed economy. The findings
from these stress tests clearly illustrate that although there has been a trough after the distress
call of 2008, this trough ended. These are results derived without including the
TARGET2 transfers. By including the TARGET2 transfers we receive a different picture that
possibly acts as a protective mechanism against any future crisis. Ca
Keywords: Macroprudential policy | Financial stability | Macro stress test | Systemic risk | European Banking Union |
مقاله انگلیسی |
5 |
Foreign booms, domestic busts: The global dimension of banking crises
رونق خارجی ، شکاف داخلی: بعد جهانی بحران های بانکی-2019 This paper provides novel empirical evidence showing that foreign financial developments are a powerful
predictor of domestic banking crises. Using a new data set for 38 advanced and emerging economies over
1970–2011, we show that credit growth in the rest of the world has a large positive effect on the probability of
banking crises taking place at home, even when controlling for domestic credit growth. Our results suggest that
this effect is larger for financially open economies, and is consistent with transmission via cross-border capital
flows and market sentiment. Direct contagion from foreign crises plays an important role, but does not account
for the whole effect Keywords: Financial crises | Global credit cycle | Banking | Financial stability | Sentiment |
مقاله انگلیسی |
6 |
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 |
7 |
Tougher than the rest? The resilience of specialized financial intermediation to macroeconomic shocks
سخت تر از بقیه؟ تاب آوری واسطه گری مالی ویژه در برابر شوک های کلان اقتصادی-2019 This paper uses a unique and comprehensive dataset comprised of 41 years of detailed banking datafrom the German building society industry to provide empirical evidence of the resilience of specializedfinancial intermediation (SFI) to macroeconomic shocks. Compared to studies on the German bankingindustry, we show that SFI is extremely stable despite generally less diversified revenue streams. We arealso able to illustrate the impact of various economic conditions and cycles on the interactions betweenthe building society sector and macroeconomic development. We use a VAR approach to demonstratethat 1) macroeconomic and mortgage-specific market shocks have limited or no impact on the bankingperformance (return on equity) or distress (write-off) indicators, and 2) the results of previous studiesshowing that financial rewards lead to higher bank funding stability on a contractual level also hold whenanalyzing data on an institutional level. As much research has found, and as the recent worldwide finan-cial crisis highlighted spectacularly, banking stability is fundamental to the overall stability of financialsystems and economies as a whole. Therefore, our results contribute to the ongoing discussion of whetherspecialized financial intermediation can indeed lead to more stable banking systems. Keywords:Stress testing | Macroeconomic shock | Financial intermediation | Financial stability | Building societies | Savings and loan contracts | VARa |
مقاله انگلیسی |
8 |
An agent-based system with temporal data mining for monitoring financial stability on insurance markets
سیستم مبتنی بر نمایندگی با داده کاوی زمانی برای نظارت بر ثبات مالی در بازارهای بیمه-2019 We describe an expert system to monitor the stability of insurance markets. It consists of two compo- nents: an agent-based simulation component and a temporal data mining component. Like other financial markets, insurance markets experience destabilizing cycles and suffer episodic crises. The expert system assists market regulators by monitoring the financial position of individual insurers and of the overall market, and by forecasting cycles and impending insolvencies. The agent-based simulation component runs a forward simulation allowing for interaction among insurers in a competitive market, and between insurers and customers. The temporal data mining component extracts useful information for market reg- ulators from the simulations. A prototype of the system is applied to the automobile insurance market. We show how the system may be used to forecast cycles, investigate stability, and analyze insurers’ herd- ing behavior on the market. A practical policy conclusion is that regulators should monitor individual in- surers’ pricing pattern because aggressive price undercutting creates a “winner’s curse”, with subsequent losses and market instability. Keywords: Agents | Motif | Anomaly | Cycle | Crisis | Automobile insurance |
مقاله انگلیسی |
9 |
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 |
10 |
Macroprudential policy and tools in a dual banking system: Insights from the literature
سیاست و ابزارهای کلان در یک سیستم بانکی دوگانه: بینشی از ادبیات-2019 The recent global financial meltdown highlights the need to promote financial stability through better regulation of financial institutions. The
contentious debate strongly emphasizes, in particular, macroprudential tools, their implementation, and their effectiveness. This paper provides a
critical review of theoretical and empirical research on the literature on Islamic finance that investigates macroprudential policy and its
impactdspecifically, the theoretical and empirical literature on the impact of macroprudential policy as it relates to financial stability and risktaking
in the Islamic and conventional financial systems. The findings suggest that only limited empirical research and analytical tools are
available on macroprudential policy in the Islamic financial system because it is still in its infancy and far from able to create an analytical
framework. Theoretical studies of macroprudential policy in Islamic finance have mixed results, and empirical research on it is not conclusive. Keywords: Dual banking system | Financial stability | Islamic finance | Macroprudential policy |
مقاله انگلیسی |