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We provide an empirical analysis of the network structure of the Austrian interbank market based on Austrian Central Bank (OeNB) data. The interbank market is interpreted as a network where banks are nodes and the claims and liabilities between banks define the links. This allows us to apply methods from general network theory. We find that the degree distributions of the interbank network follow power laws. Given this result we discuss how the network structure affects the stability of the banking system with respect to the elimination of a node in the network, i.e. the default of a single bank. Further, the interbank liability network shows a community structure that exactly mirrors the regional and sectoral organization of the current Austrian banking system. The banking network has the typical structural features found in numerous other complex real-world networks: a low clustering coefficient and a short average path length. These empirical findings are in marked contrast to the network structures that have been assumed thus far in the theoretical economic and econo-physics literature. 相似文献
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There is a tradition in the banking industry of dividing risk into market risk and credit risk. Both categories are treated independently in the calculation of risk capital. But many financial positions depend simultaneously on both market risk and credit risk factors. In this case, an approximation of the portfolio value function separating value changes into a pure market risk plus pure credit risk component can result not only in an overestimation, but also in an underestimation of risk. We discuss this compounding effect in the context of foreign currency loans and argue that a separate calculation of economic capital for market risk and for credit risk may significantly underestimate true risk. 相似文献
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Helmut Elsinger Alfred Lehar Martin Summer 《International Economics and Economic Policy》2006,3(1):73-89
In this paper we perform an empirical analysis to identify systemically important banks by a few individual bank characteristics
that are easy to observe in practice. This analysis builds on a new method to construct measures of systemic relevance of
individual institutions that are consistent with a risk analysis at the level of the banking system, taking correlations in
bank asset returns into account. We derive asset return correlations for a sample of European publicly traded banks from market
data and construct two risk measures: incremental value at risk and conditional expected shortfall. Incremental value at risk
quantifies the individual contributions of banks to the system’s Value-at-Risk. Conditional expected shortfall measures the
increase in the expected system wide deposit insurance liability that would follow from the default of an institution. The
analysis of hypothetical defaults of institutions is performed consistently with the observed distribution of asset returns
by using the conditional distribution. Both measures are then analyzed in a panel regression where individual characteristics
are used to explain incremental value at risk and conditional expected shortfall. 相似文献
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Banking Regulation and Systemic Risk 总被引:1,自引:0,他引:1
The term Systemic Risk belongs to the standard rhetoric of economic policy discussions related to the banking industry. Besides the goal of protecting small depositors, control of systemic risk is given as one of the main arguments for banking regulation. Various recent financial crises have increasingly focused the regulatory debate on issues of systemic risk and financial stability. There is, however, no generally accepted definition of systemic risk and the effectiveness and the economic consequences of various instruments of banking regulation that are intended to attenuate it are still only partially understood both theoretically and empirically. In this paper, we make an attempt to discuss some of the issues raised in this debate by reviewing recent contributions to the academic literature. 相似文献
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M'Randa R. Sandlin Summer F. Odom James R. Lindner Kim E. Dooley 《Journal of Leadership Studies》2012,6(1):79-84
Study abroad programs have been identified as one of the most effective methods of globalizing curricula and students. The purpose of this study was to examine the current framework of the Leading Change in Costa Rica Study Abroad Program and its ability to diffuse leadership theory to the participating students and to students who are not able to take part in a study abroad opportunity. This study abroad program used reusable learning objects (RLOs) as an assignment to develop global leadership competencies by applying the learned leadership theory in an international context. Students were impacted by the experience. They gained knowledge of the course content, developed and expanded their cultural competencies, and expanded their views of developing countries. The Leading Change in Costa Rica Study Abroad Program also made an effort to develop the intercultural competencies and global leadership abilities of students who are unable to study abroad. The student‐created RLOs have been used in class presentations and made available to interested faculty to use in classrooms across disciplines. 相似文献
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Summer Allen Ousmane Badiane Ligane Sene John Ulimwengu 《Journal of Agricultural Economics》2014,65(3):637-662
This paper examines the impact of health expenditures on agricultural labour productivity in order to inform the necessary policy decisions about targeting scarce public resources towards their most effective uses. We link health sector expenditures in rural Tanzania to health outcomes and agricultural labour productivity using data from the 2008 Household Budget Survey (10,975 households) and the 2007/08 Agricultural Census (52,594 households) across 113 districts in Tanzania. The results indicate that the marginal productivity of labour as well as land and fertilisers respond significantly to health expenditures. However, the magnitude of the response varies across types of disease, categories of expenditures and agricultural inputs. These findings suggest both the need and scope for targeting public expenditures in the health sector to achieve better agricultural growth outcomes. 相似文献
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This paper contributes to the literature on default in general equilibrium. Borrowing and lending takes place via a clearing house (bank) that monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that is a direct generalization of the standard general equilibrium model with financial markets. Borrowers may default in equilibrium and returns on loans are determined endogenously. Restricted to a special form of mean variance preferences, we derive a version of the capital asset pricing model with bankruptcy. In this case, we can characterize equilibrium prices and allocations and discuss implications for credit risk modeling. 相似文献
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