1,720,998 research outputs found
Measuring liquidity risk in a banking management framework
No full textStresses that recent changes in financial markets have involved the payment system and the banking processes directly devoted to short term forecasting. Proposes that financial flows control systems must be adopted that can measure performance and liquidity risks consistent with the models often used for credit and market risks. © Emerald Group Publishing Limited 2004
Buone notizie, cattive notizie:come misurare la reputazione delle banche utilizzando Twitter
No full textEnergy and environmental flows: Do most financialised countries within the Mediterranean area export unsustainability?
No full textThe literature dedicated to the problems of transboundary pollution often aims to verify what the environmental and energy interactions between countries are. Little attention is paid to the financial relations of the phenomenon. We analyze how financial, environmental and energy flows have been redistributed within the main Mediterranean countries, with particular reference to pollution. Applying advanced methods of correlation, we verify the dynamics of transfer processes with the aim of assessing whether the link between economic and financial and environmental flows might support the hypothesis that rich countries export environmental emissions to poor ones. Our results show that richer countries have a significant propensity to export energy, financial flows and polluting emissions. The imbalance is even greater for emissions with local impact. This process is accompanied by a substantial increase in the financial activities of the North Mediterranean countries to the detriment of those of the South, which progressively increase their indebtedness. We find out that the economic and financial development of the North Med is accompanied by an increasing environmental impact measured by the various types of emissions covered by our study. The research shows how the most industrialized countries of the Mediterranean area are increasing the economic and financial gap with respect to the Southern Mediterranean countries
US Financial Institutions: Reputational Risk and Senior Management Sell Decisions
No full textThe firm’s stock price is affected when an insider such as a high ranking manager or board member, sells the firm’s equity. This action can be construed as a signal of changes in expectations of firm’s future cash flows. Does this action affect reputation as well? Using insider sell decisions as proxy, particularly in periods of declining returns, we investigate the existence and the possible consequences of a risk to firm reputation as a result of the sell decisions of top managers. Data from 55 US financial institutions, for the period 2003-2005, was used to undertake two kinds of analysis to test the hypothesis that sell actions have a negative effect on share price. We conducted a daily event study adopting a multi-factor model. An estimated of the pooled data using the Heteroskedasticity Consistent Covariances shows unsatisfactory results. However, we found a significant market reaction around the event dates when managers decide to sell their stocks during periods when they anticipated a negative trend of returns with an absolute magnitude higher than the market on
Rischi operativi e piccole banche: the black swan
No full textLe nuove disposizioni di vigilanza prudenziale per le banche italiane, diversamente dalla regolamentazione statunitense e dei principali paesi europei, non permettono l’utilizzo delle metodologie avanzate per il calcolo del requisito patrimoniale a fronte del rischio operativo alle banche che non soddisfano una soglia dimensionale o una soglia specialistica. Queste banche possono utilizzare unicamente il metodo base, non potendo beneficiare degli sconti patrimoniali associati alle metodologie avanzate. Attraverso l’analisi delle perdite operative di una banca che non soddisfa le soglie indicate, si dimostra l’esistenza di una penalizzazione patrimoniale ingiustificata generata dalla normativa per tale categoria di intermediari. Le conclusioni scaturiscono dal confronto tra l’esposizione al rischio operativo della banca calcolata attraverso il VaR in un holding period annuale ad un livello di confidenza del 99,9% e il requisito patrimoniale calcolato con il metodo base
New Measures for a New Normal in Finance and Risk Management
Full text linkSince 1996, the Workshops on Economics with Heterogeneous Interactive Agents (WEHIA) has provided a venue for scholars of different disciplines- economics, psychology, sociology, computer science, engineering, physics- to examine how aggregate properties of economic and financial systems arise from the actions and interactions of heterogeneous agents within the framework of complexity theory (Gallegati and Kirman, 2019). In June 2019, the 24th Workshop on Economic Science with Heterogeneous Interacting Agents (WEHIA) was held at City, University of London, UK. This special issue, focused on “Novel approaches to understand, forecast and mitigate financial risks" includes the main contributions presented at the workshop which were focused specifically on novel approaches to understand the dynamics and governance of financial crises, the refinement of pricing models and the construction of financial portfolios
Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis
No full textWe present a study of the European electronic interbank market of overnight lending (e-MID) before and after the beginning of the financial crisis. The main goal of the paper is to explain the structural changes of lending/borrowing features due to the liquidity turmoil. Unlike previous contributions that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads. We show that all banks experienced significant variations in their liquidity costs due to the sensitivity of interbank rates to the timing and side of trades. We argue that, while larger banks did experience better funding conditions after the crisis, this was not just a consequence of the “too big to fail” perception of the market. Larger banks have been able to play more strategically when managing their liquidity by taking advantage of the changing market microstructure
A Survey on Risk Management and Derivative Usage in Italian Non-Financial Firms
No full textThis paper presents a survey on the risk management function and the usage of hedging instruments by Italian non-financial firms. The objective is to measure how firms manage the following risks: Exchange-foreign, Interest rate, Energetic, Commodity, Equity, Counter-party, Operational, Country. The study aims at providing descriptive evidence with respect to several questions that are raised in the literature and that are finalized to find out if the firms hedge their exposure or potential exposure, which particular financial risks are managed, how widespread is the derivatives usage, the choice of which derivatives are used for which purposes, the risk management policy implementation, the performance measurement and reporting structure.
In Italy accurate disclosure of derivatives usage in financial statements does virtually not exist. As a result, relatively little is known about the patterns of use and of firm’s attitudes and policies with respect to derivative use. To fill the information gap, this survey documents the usage of derivatives by non-financial large companies.
The outcomes of the survey, conducted both for listed and non-listed firms, suggest that Italian firms are less likely to use derivatives than US firms. The percentage of firms using derivatives or insurance instruments has not changed noticeably since 1999 (the beginning of the euro period). The use of derivatives is more significant among large firms in every risk typology and, in the area of commodity and equity risk management, large firms are the unique size group that uses these instruments in its management activity. The fact that large firms are more likely to use derivatives is suggestive of an economies-to-scale argument for derivatives use.
According to Italian risk managers the low intensity in derivative use cannot be explained by (i) concerns about external perception of derivative/insurance use; (ii) costs of risk management greater than benefits; (iii) expected price to move in firm’s favour; (iv) shareholders expectations to manage risk; (v) uncertainty of timing and/or size.
The reasons to explain the limited practice in derivative markets are as follows:
Insufficient exposure to risk area to warrant management;
Exposure more effectively managed by other means:
Difficulties in monitoring/measuring contract effectiveness
A Proposal to Measure Banks' Reputation Using Twitter
No full textReputation is a special issue for financial institutions, particularly nowadays due to the great pressure they are facing as a consequence of the recent financial crisis. However, in banking literature, while the concept of reputation is rather obvious, more efforts must be made to develop a measurable notion of Corporate Reputation (CR) and of its changes over time (Reputational Risk, RR). This paper proposes a new perspective to the analysis and measurement of reputation in banking industry, directly focused on stakeholders’ opinions. In detail, after some theoretical and practical reflections, we present a pilot study, using data from Twitter, to test a methodology and to offer some future research perspectives
Asset correlations and bank capital adequacy
No full textThis paper addresses the estimation of confidence sets for asset correlations used in credit risk portfolio models. Research on the estimation of asset correlations using endogenous probabilities of default estimations has focused on the impact of concentration risk factors, such as firm size and industry. The empirical evidence from Italian small- and medium-size companies shows that the assumptions underlying the Basel Committee regulatory capital risk weight function are not substantiated. The regulatory impact is that the capital adequacy is significantly compromised, driving an adverse selection, which favors the worst companies, and transferring the procyclical effects from firms to banks
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