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As developing countries search for ways to promote capital formation through the establishment of organized exchanges, they will need to pay more attention to the role of risk management in the securities settlement process. The delivery-versus-payment (DVP) agents that facilitate the process of exchanging securities for funds in most world markets have both the incentive and comparative informational advantage to monitor, measure, and manage risks inherent in the securities settlement system.
Unfortunately, most DVP agents have accomplished this task to date through the cumbersome use of position and net debit limits, capital requirements, and collateral requirements. Such limits and requirements are almost everywhere based on relatively arbitrary criteria that may have no relation to the actual replacement cost, principal, or liquidity risk of the transaction, portfolio, or participant on which they are imposed.
To remedy this shortcoming in the current state of risk management at DVP agents, this article holds out the possibility of integrated, comprehensive risk management processes that emphasize and rely on forward-looking measures of risk for individual brokers and across brokers. Many risk measures could serve the settlement agent's purposes, including "value at risk" (or "VaR"), "below target risk,""below-target probability," and "downside semi-variance." The actual summary risk measure used for risk monitoring and control is not as important as the methodology used to generate that risk measure. "The goal of such a process," as the authors put it, "is to ensure that the risks to which a settlement agent and its residual claimants are exposed are those risks to which the agent's shareholders think they are and want to be exposed." 相似文献
Unfortunately, most DVP agents have accomplished this task to date through the cumbersome use of position and net debit limits, capital requirements, and collateral requirements. Such limits and requirements are almost everywhere based on relatively arbitrary criteria that may have no relation to the actual replacement cost, principal, or liquidity risk of the transaction, portfolio, or participant on which they are imposed.
To remedy this shortcoming in the current state of risk management at DVP agents, this article holds out the possibility of integrated, comprehensive risk management processes that emphasize and rely on forward-looking measures of risk for individual brokers and across brokers. Many risk measures could serve the settlement agent's purposes, including "value at risk" (or "VaR"), "below target risk,""below-target probability," and "downside semi-variance." The actual summary risk measure used for risk monitoring and control is not as important as the methodology used to generate that risk measure. "The goal of such a process," as the authors put it, "is to ensure that the risks to which a settlement agent and its residual claimants are exposed are those risks to which the agent's shareholders think they are and want to be exposed." 相似文献
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Tiago Neves Sequeira 《Empirical Economics》2007,32(1):41-65
The effect of human capital composition on growth and development has been somewhat neglected in economic literature. However,
evidence has suggested the importance of engineering and technical (high-tech) skills to economic growth, and international
organizations have suggested their shortage in developed countries. Using a standard increasing variety growth model, we propose
various measures of human capital composition that are related with economic growth and development. When compared to data,
the model does well in explaining the rate of growth and the level of development as a function of these measures.
“the British colonies had a better educated population (...). Education was secular with emphasis on pragmatic skills and
yankee ingenuity (...). The 13 British colonies had nine universities in 1776 for 2.5 million people. New Spain, with 5 million,
had only two universities (...) which concentrated on theology and law.” –(Maddison, 2001) 相似文献
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Gemma Wright David Neves Phakama Ntshongwana Michael Noble 《Development Southern Africa》2015,32(4):443-457
Many women interact with the South African social security system in relation to the Child Support Grant (CSG), which is social assistance payable for children living with low-income caregivers. This paper explores women's accounts of how the CSG serves to protect and respect dignity, a foundational value in the South African Constitution. Drawing from focus groups and in-depth interviews with female CSG recipients of working age, it is argued that whilst the experience of using the CSG does protect dignity in certain important respects, other aspects including the application process, the small amount of the grant and negative discourses associated with the status of being a CSG recipient were experienced by many as erosive of dignity. 相似文献
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Tiago Neves Sequeira Ricardo Viegas Alexandra Ferreira-Lopes 《Review of social economy》2017,75(2):139-158
A recent empirical literature has addressed the relationship between income and religion, but most of the studies are based on microdata. Macroeconomic analysis of the issue has largely ignored the potential heterogeneity between countries. Using retrospective data on church attendance rates for a panel of countries between 1925 and 1990, we apply heterogeneous panel data estimators and reveal that the effect of participation in religious activities on income per capita is mostly non-significant. This is consistent with some of the recent research that casts doubt onto the influence of religion on income, once causality is taken into account. 相似文献
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In the last decade, three innovations in commercial loan-based securities and derivative have enabled institutional investors to access commercial loan markets on leveraged terms : collateralized loan obligations (CLOs); loan-based total return swaps; and leveraged loan-based structured notes (LLSNs). These innovations have been driven by a combination of structural changes in the banking industry, enhanced technology for securitizations, reformed banking regulations, and the advent of credit derivatives.
Besides providing new investment opportunities for institutional investors, these recent innovations in loan markets also promise to reinforce the existing trend in banking away from financial intermediation and toward information intermediation. Such a trend, the authors argue, is helping to ensure the long-run viability of commercial banks. By transforming loan assets in the ways described in this article, banks can generate fee income instead of interest income (thus limiting their capital requirements and interest rate and credit exposures) while still exploiting their comparative advantage in credit analysis and monitoring. 相似文献
Besides providing new investment opportunities for institutional investors, these recent innovations in loan markets also promise to reinforce the existing trend in banking away from financial intermediation and toward information intermediation. Such a trend, the authors argue, is helping to ensure the long-run viability of commercial banks. By transforming loan assets in the ways described in this article, banks can generate fee income instead of interest income (thus limiting their capital requirements and interest rate and credit exposures) while still exploiting their comparative advantage in credit analysis and monitoring. 相似文献
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The phenomenon of unemployment persistence led to the development of alternative theories of unemployment. Among these the ‘hysteresis’ concept by Blanchard and Summers (1987) received a wide interest. Based on this notion we developed a generalized model that nests Blanchards and Summers' theory. Using this framework we conducted an empirical investigation for the Portuguese labour market (1977–88). The results obtained point towards the existence of labour demand sluggishness, wage inertia and unemployment hysteresis. The model also suggests the existence of a rather inelastic labour demand curve. 相似文献
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Gabriel Rodrigo Gomes Pessanha Nádia Campos Pereira Bruhn Cristina Lelis Leal Calegario Thelma Sáfadi Leiziane Neves de Ázara 《Latin American Business Review》2013,14(4):333-357
The main objective of this research was to investigate the impacts caused by announcements of mergers and acquisitions (M&As) on the volatility of the returns of Brazilian bank stocks from 1994 to 2015. In order to achieve the proposed objective, this study applied Generalized Autoregressive Conditional Heteroscedastic (GARCH) class models to the series to model their volatility. Our results confirmed the impact of the announcement of M&As on volatility. They suggest that M&A announcements are expected to cause a negative reaction if related to an expansion or a deal involving a less-well known bank, and a positive reaction if it involves well-known bank with good reputation—a higher level of confidence and a lower level of information asymmetry for investors. 相似文献
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Cultural diversity is an inescapable reality and a concern in many businesses where it can often raise ethical questions and dilemmas. This paper aims to offer suggestions to certain problems facing managers in dealing with cultural diversity through the inspiration of Thomas Aquinas. Although he may be perceived as a voice from the distant past, we can still find in his writings helpful and original ideas and criteria. He welcomes cultural differences as a part of the perfection of the universe. His systemic approach leads one to place the problem in its proper context, and to reflect on it from the perspective of virtue ethics, with a central role for practical wisdom and giving primacy to neighborly love and natural moral law. Rather than a set of rigid standards with no consideration of diversity Aquinas focuses on the common human ground, which allows for the indispensable dialogue between different positions. When dealing with practical questions, the problem is one of finding the right balance between general principle and cultural specifics, tolerance, and dialogue, always guided by practical wisdom. In this way, Aquinas’ approach is neither rigid ethical universalism with no consideration for diversity nor moral relativism with no place for any transcultural and absolute morals. 相似文献
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This paper identifies the empirical stylized features of consumer price setting behavior in Portugal using two micro-datasets
underlying the consumer price index. The main conclusions are: one in every four prices change each month; there is a considerable
degree of heterogeneity in price setting practices; prices of goods change more often than prices of services; price reductions
are common, as they account to around 40% of total price changes; price changes are, in general, sizeable; finally, the price
setting patterns seem to depend on the level of inflation as well as on the type of outlet.
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Daniel A. DiasEmail: |