Does regulatory forbearance matter for bank stability? Evidence from creditors’ perspective

Regulatory forbearance in times of corporate distress has been a common practice in many countries to achieve bank stability, particularly so in the absence of a unified bankruptcy code, yet very little is known in the context of emerging market economies. Exploiting variation of membership across banks in a corporate debt restructuring programme (CDR) sponsored by the central bank in India, this paper finds that the banks that made use of regulatory forbearance (RF) on the restructured corporate loans could increase their stability significantly due to the extension of low provisioning on restructured loans. However, the positive effect of RF diminishes at higher levels of market power, highlighting that member banks with higher market power tend to originate riskier assets (as reflected in their risk-weighted assets) under the auspices of this programme. Our results remain robust to different estimators (including propensity score matching), ownership structure, and alternative measures of bank stability.     

Why do banks choose to finance with equity?

A majority of U.S. banks between 1973 and 2012 held equity capital significantly beyond the required minimum. We study the risk-return tradeoff in connection with a bank’s capital structure, and identify several new significant market factors that drive the level of equity capital in banks. During normal growth periods, bank leverage is negatively related to a level of competition and loan portfolio diversification, while high bank leverage is associated with low past liquidity. During recessions and expansions, the roles of those factors change following distortions in risk-return tradeoff. In distress, when banks approach regulatory capital requirements, market determinants of book leverage lose their significance; however, leverage does not decrease until a bank is within 1% of the minimal capital threshold.     

Bank lending incentives and firm investment decisions in China

This study investigates whether and how banks’ lending incentives influence firms’ investment behaviors in China. First, empirical results show that loans granted to politically connected firms are less influenced by those firms’ profitability and tangibility. Second, political connection is a violation factor in debt markets, and our study finds that firms with political ties invest less efficiently than firms without political ties when they can access abnormal debt. Finally, we find that regional development with regard to market development and government quality improvement reduces the negative impact of politically connected lending on firms’ investment efficiency.     

Capital ratios and bank lending: A matched bank approach

This paper examines the impact of bank capital ratios on bank lending by comparing differences in loan growth to differences in capital ratios at sets of banks that are matched based on geographic area as well as size and various business characteristics. We argue that such comparisons are most effective at controlling for local loan demand and other environmental factors. For comparison we also control for local factors using MSA fixed effects. We find, based on data from 2001 to 2011, that the relationship between capital ratios and bank lending was significant during and shortly following the recent financial crisis but not at other times. We find that the relationship between capital ratios and loan growth is stronger for banks where loans are contracting than where loans are expanding. We also show that the elasticity of bank lending with respect to capital ratios is higher when capital ratios are relatively low, suggesting that the effect of capital ratio on bank lending is nonlinear. In addition, we present findings on the relationship between bank capital and lending by bank size and loan type.     

Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers

The spectacular failure of the 150-year-old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer of 2007. Through the use of stock market data and credit default swap (CDS) spreads, this paper examines investors’ reaction to Lehman's collapse in an attempt to identify a spillover effect on the surviving financial institutions. The empirical analysis indicates that (i) the collateral damage was limited to the largest financial firms; (ii) the institutions most affected were the surviving “non-bank” financial services firms; and (iii) the negative effect was correlated with the financial conditions of the surviving institutions. We also detect significant abnormal jumps in CDS spreads that we interpret as evidence of sudden upward revisions in the market assessment of future default probabilities assigned to the surviving financial firms.     

收益率曲线动态与银行经济价值的利率风险

本文在收益率曲线动态的主成分分析基础上,运用MonteCarlo模拟的主成分VaR方法,以我国五家商业银行为样本研究银行账户经济价值利率风险的计量方法,并与巴塞尔委员会标准久期法的结果进行比较。同时,对VaR模型的有效性进行了样本外的返回检验。研究发现,五家银行的经济价值面临的是利率上升的风险;非正态主成分VaR模型估计的经济价值利率风险,都要大于正态主成分VaR模型的结果,这反映了利率波动的厚尾特征,正态假设有可能低估风险。     

加入WTO后中国银行业面临的风险及其对策

本文在对加入WTO后中国银行业面临的三方面的风险进行简要分析基础上,结合实际情况,提出从强化监管管理、实行客户经理制和合理用人机制三方面着手,提高中国银行业竞争力,来积极应对各种风险和挑战.     

经济资本管理:理论分析及我国实践

近年来,经济资本管理作为优化资源配置、提高风险调整收益的核心工具,在国际先进银行中得到广泛应用。通过经济资本可以量化各类业务敞口的风险水平,计算抵御风险所需的资本金额,银行决策层可据此调整风险偏好与发展战略,制定更为科学、合理、清晰的政策组合,确保银行价值最大化目标的实现。本文阐述了经济资本管理的基本理论、国内外实践情况,分析了我国银行业实践中存在的问题,提出了相应的政策建议。     

构建基层央行常态化内控风险监督机制的探讨

本文以人民银行海口中心支行为例,对近几年基层央行开展内控监督的实践进行总结分析,提出基于常态化的内控风险管理监督机制,积极构建内控风险防范的长效机制.     

当前国际上商业银行流动性风险的变化与监管趋势

本文分析了商业银行流动性风险的特殊性,以及当前国际上商业银行流动性风险的变化与监管趋势,通过借鉴国际发展趋势和吸取中外历史教训,探讨了我国商业银行流动性风险管理与监管可获得的启示.