Capital requirements (‘pillar one’ of the new Capital Accord) rising with the increase in borrowers’ PDs were thought as being likely: (i) to have a serious impact on the financing of small and medium-sized enterprises (usually riskier than large corporates) and (ii) to increase the procyclicality of the supply of credit.
The aim of this paper is to provide an empirical evaluation of the possible impact of the new Accord proposals on the lending policies of Italian banks. We compare the interest rate charged to a large set of Italian firms with the cost brought about by the change in the calculation of capital requirements. Since the two variables move together in response to an increase in borrowers’ PDs, we conclude that the new regulatory approach to measuring capital adequacy appears consistent with banks’ own risk evaluations. This result is supported by a ‘stress testing’ exercise: the relationship also holds in a distressed economic scenario, which replicates the financial conditions of the Italian corporate sector in the 1993–1994 recession. 相似文献
We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for all banks. We apply our model to the assessment of systemic risk and in particular for the case of stress testing. Further, we provide a fixed‐point algorithm to carry out the network valuation and the conditions for its convergence. 相似文献
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage‐free, frictionless, semimartingale model. As a consequence, optimal portfolios are robust to the perturbations in preferences induced by common option compensation schemes, and such incentives are weaker when their horizon is longer. Robust option incentives are possible, but require several, arbitrarily large exercise prices, and are not always convex. 相似文献
The widely shared view of service sector growth in Centrally Planned Economices (CPEs) is that it was hampered by the tremendous industrialisation effort which ‘crowded out ‘service sector employment and investment. After a brief discussion of western and eastern service sector theories, the authors try to show that while the crowding-out thesis is valid for the period of accelerated industrialisation, it cannot be so easily applied to the behaviour of all CPE countries during the post-war period as a whole. They show differentiated time-pattern of employment and investment growth. 相似文献
Societal change, which takes a variety of directions and forms and in no way can be assimilated or reduced to a single dimension, is often accompanied by a perception of insufficient understanding and lack of control. There is a frustrated need for mastering complexity and instability, separating the voluntary from the involuntary, the intended from the unintended, opportunities from risks, getting to the real causes and dominating the uncertain implications of social change. Social change catches us unprepared and confused. In this context statistics are generally considered a fundamental instrument of knowledge, but also part of the problem! In the public debate and in the specialized literature, the ability to measure social phenomena through current statistics and indicators is increasingly questioned. Data-it is claimed-are lacking, particularly longitudinal data; their quality (accuracy, relevance, timeliness, comparability, etc.) should be improved; indicators do not provide early warning signals, policy performance evaluation, and a precise indication of outcomes. Statistics cannot be used as a reliable and timely basis for decision making by individuals, organizations, governments, and for understanding these decisions. In some cases, statistics have been accused of giving a misleading and false picture of reality: do we measure the real extent of social exclusion and unemployment? Do we fully capture the quality of life and the degradation of the environment? Mismeasurement has been deemed by some commentators as being responsible for the wrong focus in inflation and stabilization policies, science and technology, unemployment and poverty. The productivity paradox, the informal economy, failure to measure welfare and the quality of urban life are instances where statistics do not seem to provide complete and satisfactory answers to the demand for information and knowledge. Our paper illustrates how, quite independently of measurement techniques and data production processes, the inadequacy of the conceptual framework may explain mismeasurement in relation to complex (multidimensional) and dynamic social phenomena. It is then to social theories, explanations and interpretations that statisticians need to turn, in order to come to grips with the new challenges in social measurement. We will develop this thesis looking at a few cases where measurement issues can be connected to both theoretical and empirical difficulties. The statistical gap which reveals itself in the mismeasurement or difficult measurement of social phenomena is closely interconnected with the social science gap. Only close collaboration between statisticians and social scientists can bring about continuous advancement in social science and quality improvement in social statistics. 相似文献
This research explores the feelings of guilt and pride experienced by consumers after a purchase decision that involves issues of environmental and social sustainability. Through a multi‐method design, the authors examine key dimensions that influence the process of emotional appraisal, illustrate the characteristics of appraisals of guilt/pride and investigate the consequences that emotions have on future choices. In this exploratory research, when a purchase decision includes an ethical dilemma, consumers were found to express guilt or pride even when the purchase is not intentional, i.e. forced by circumstances. Moreover, the study explores how emotions experienced after decisions may have a positive influence on the future purchase of sustainable alternatives. Finally, the paper proposes a new model that describes the process of emotional appraisal and reports on a number of dimensions that were found to lead to guilt and pride. The insights presented extend knowledge of two key consumer emotions and present important implications for practitioners promoting ethical products. 相似文献
We study the anatomy of recent financial crises in Mexico, East Asia, Russia, Brazil, Turkey, and Argentina by investigating the efficiency and pricing of the emerging American depositary receipt (ADR) market. We use a non-parametric technique to test for persistent regime shifts in two basic structural relationships for ADR returns in 20 emerging countries — identified via arbitrage and capital mobility considerations — that should always hold in efficient and integrated capital markets. We find that those “normal” market conditions were instead often violated in proximity of financial crises: The law of one price often weakened (by 54% on average) and domestic sources of risk became more important (often by more than 100%) for many emerging ADRs. We also find the likelihood of these regime shifts to be related to proxies for uncertainty among investors, exchange rate volatility, trade linkages, and liquidity (but not stock market trends, currency devaluations, capital flight, or capital controls). 相似文献
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare, liquidity premium, and trading volume. We identify these quantities as the limits of their isoelastic counterparts for high levels of risk aversion. The results are robust with respect to finite horizons, and extend to multiple uncorrelated risky assets. In this setting, we study a Stackelberg equilibrium, led by a risk‐neutral, monopolistic market maker who sets the spread as to maximize profits. The resulting endogenous spread depends on investment opportunities only, and is of the order of a few percentage points for realistic parameter values. 相似文献
The aim of this study was to evaluate the combined influence of several lifestyle, health and housing factors in the occurrence of home injuries (HIs) among the elderly. The subjects were recruited from 10 hospitals in Rome, Italy. This study is a paired case-control study. Cases included subjects, aged 65-85 years, who visited the Emergency Department for an HI and were subsequently hospitalised (15 September 2004-30 June 2005). Controls were the subjects of the same gender, age (±3 years) and area of residence of cases. A conditional logistic regression model was used for analysing the variables obtained. In this study, we enrolled 107 hospitalised cases. It was found that the living room was the place where 33% of the accidents occurred. Eighty-seven per cent of the accidents were falls, and 33% of the accidents were the immediate consequence of sudden malaise. One-half of the cases reported one or more leg fractures. The variables that were independently associated with HI were poor household illumination, poor emotional status, regular physical activities and housekeeping activities. We conclude that this study shows the areas of intervention to target HI prevention activities. 相似文献