1,720,972 research outputs found
Analysis of banks' systemic risk contribution and contagion determinants through the leave-one-out approach
No full textIn this paper we develop an in-depth analysis of the systemic risk and contagion determinants through the differential effects of excluding one bank on the banking system.The measure allows for splitting the contribution of individual banks into systemic risk as the sum of two components-the stand-alone bank risk and the contagion risk-and measuring the role of assets, riskiness, capitalization, and interconnectedness as determinants of each of the two components. Results show that the variables determining the stand-alone risk component are different from those determining the contagion risk component, so that a bank which is relatively safe with respect to stand-alone risk, can be an important contagion vehicle, or vice versa.Results also show that crisis severity significantly affects results, so that the severity of different crises results in different weights for the input variables and different contributions for the banks considered. These results add highly significant information for macroprudential regulation, not only from the cross-sectional point of view, but also with reference to the time dimension
Quantifying reputational effects for publicly traded financial institutions
No full textThis paper aims to measure reputational effects for financial institutions by examining a firm’s stock price reaction to the announcement of particular operational loss events such as internal frauds. For this purpose we conduct an event study analysis of the impact of operational loss events on the market values of banks and insurance companies, using the OpVar database (OpData® dataset supplied by OpVantage®). This analysis concerns a number of publicly reported banking and insurance operational risk events affecting publicly traded U.S. or European institutions from 2000 to 2006 that caused operational losses of at least U.S.$20 million – a total of 20 bank and insurance company events. We estimate for these institutions the cumulative abnormal returns and find that stock prices react immediately and negatively to announcements of operational losses due to internal frauds. We conclude our analysis by estimating the ‘reputational value-at-risk’ at a given confidence level, which represents the economic capital needed to cover reputational losses over a specified holding period with a specific confidence level
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Estimation of potential benefits of the implementation of the fundamental review of the trading book and leverage ratio
Full text linkThe Fundamental Review of the Trading Book (FRTB) introduces changes in capital requirements as a consequence of changes in the calculation of risk weighted assets (RWAs), as agreed in the Basel Committee on Banking Supervision. This report performs an ex-ante assessment of the benefits of this new legislative proposal and is included as an annex to the Impact Assessment of the Capital Requirement Regulation II (CRR II).
The analysis is conducted by estimating the required variation in banks’ capital following the implementation of the legislative changes by using econometric and statistical techniques. The estimated capital requirements are then used to feed a simulation model of losses originating from the banking sector in the event of a banking crisis.
Results of the crisis simulation before and after the introduction of the legislative changes are compared to arrive at an estimation of the impacts. Benefits are measured as reduction in banks’ losses that need to be absorbed by different stakeholders, starting from shareholders and including the whole loss absorption cascade and financial safety net (i.e. bail-in and resolution funds).
The main conclusions are:
1. If one ignores the leverage ratio (LR) requirement and only focusses on the impact of the FRTB, results are the following:
a. When assuming banks’ capital equal to the minimum capital requirement (MCR), the implementation of the FRTB implies higher capitalization levels/needs due to higher RWAs. The estimated reduction in potential public finance contingent liabilities from the banking sector in case of a crisis similar to the last one is of 15%.
b. However, when considering the excess capital buffers which the vast majority of banks have set aside over the last few years, the implementation of the FRTB does not imply additional capital needs to meet the increased requirements and does not reduce potential contingent liabilities from the banking sector compared to the status quo. In fact, if buffers are not increased, contingent financial liabilities would increase, owing to increased recapitalization needs following the increase in RWAs.
2. Irrespective of whether RWAs are computed following the current regulation or under the FRTB, capitalization levels/needs tend to be higher under an LR requirement. Moreover, for all banks for which the LR requirement would be binding, recapitalization needs would increase in case of crisis in case no additional buffers on top of the minimum LR requirement would be held. However, if we assume that banks will hold additional “conservation” buffer on top of the LR, the amount of potential contingent liabilities can be reduced up 48% with the implementation of the FRTB.JRC.B.1 - Finance and Econom
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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