Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The ...Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the in- ternal as well as the heavy tail high profile low frequency losses. The output of the Monte Carlo simulation defines the capital requirement that has to be allocated to cover potential operational risk losses for the next year.展开更多
This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing globa...This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing global regulatory framework,the Basel Accords.Recent experience suggests that regulatory harmonization can increase,rather than decrease,systemic risk,an effect that is the precise opposite of the objective of harmonization.By incentivizing financial institutions worldwide to follow broadly similar business strategies,regulatory error contributed to a global financial crisis.Furthermore,the dynamic nature of financial markets renders it improbable that regulators will be able to predict with confidence what are the optimal capital requirements or what other regulatory policies would reduce systemic risk.Nor,as past experience suggests,is it likely that regulators will be able to predict which future financial innovations,activities or institutions might generate systemic risk.The Article contends,accordingly,that there would be value added from increasing the flexibility of the international financial regulatory architecture as a means of reducing systemic risk.It proposes making the Basel architecture more adaptable by creating aprocedural mechanism to allow for departures along multiple dimensions from Basel while providing safe guards,given the limited knowledge that we do possess,against the ratcheting up of systemic risk from such departures.The core of the mechanism to introduce diversity into Basel is a peer review of proposed departures from Basel,and,upon approval of such departures,ongoing monitoring for their impact on global systemic risk.If a departure were found to increase systemic risk,it would be disallowed.Such a diversity mechanism would improve the quality of regulatory decision-making by generating information on which regulations work best under which circumstances.It would also reduce the threat to financial stability posed by regulatory errors that increase systemic risk by reducin展开更多
The latest regulatory framework,which has been introduced globally in the form of Basel III,and its implementation in the legislation of the member states of the Euro-pean Union has generated much interest in the impa...The latest regulatory framework,which has been introduced globally in the form of Basel III,and its implementation in the legislation of the member states of the Euro-pean Union has generated much interest in the impact of regulation on the efficiency and profitability of banks.This study aims to examine the impact of the introduction of two major regulatory changes(Basel II and Basel III)on bank performance,in terms of bank size and bank-specific and macroeconomic variables.A two-stage empirical anal-ysis was conducted on a sample of 433 European commercial banks over the 2006–2015 period.In the first stage,relative efficiency was calculated using non-parametric data envelopment analysis.In the second stage,the generalized method of moments was used to examine the impact of bank-specific and macroeconomic variables as well as regulation on bank performance,that is,profitability and efficiency.Consider-ing bank size,the results show a diverse impact of regulation on bank performance.Regarding large-and medium-sized banks,regulation positively affects both efficiency and profitability,whereas,for small banks,it negatively affects performance.The results suggest that larger banks have skillfully adapted to the new regulatory environment.In contrast,small banks have problems with profitability and efficiency because the new regulatory framework has imposed additional administrative and regulatory burdens.This could result in future failure or mergers with larger banks,resulting in a higher concentration in the banking sector and increased systemic risk.Our results strongly suggest that regulation should not be implemented equally for all banks;that is,on a one size fits all terms.A distinction between small and large banks when introducing new regulatory frameworks should be made if a reasonable level of competition is to be preserved.展开更多
We examine the effects of the revised Basel II rules on bank managers' discretionary behavior, specifically income smoothing and loan loss provisioning. As the revised rules exert greater regulatory pressure on co...We examine the effects of the revised Basel II rules on bank managers' discretionary behavior, specifically income smoothing and loan loss provisioning. As the revised rules exert greater regulatory pressure on corporate than retail banking, we predict corporate bank managers to reduce risk-taking activities or increase income smoothing. Analysis of segmental reports reveals greater(less) income smoothing in the corporate banking segments of low-capital(high-capital) banks during the Basel II period, with their managers recognizing loan loss provisions in a less timely fashion. We find no such effects for retail banking. Although we document an initially negative market reaction to the regulatory announcements, that reaction weakens over time. Overall,the study highlights the unintended consequences of the banking rule changes.展开更多
This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing globa...This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing global regulatory framework,the Basel Accords.Recent experience suggests that regulatory harmonization can increase,rather than decrease,systemic risk,an effect that is the precise opposite of the objective of harmonization.By incentivizing financial institutions worldwide to follow broadly similar business strategies,regulatory error contributed to a global financial crisis.Furthermore,the dynamic nature of financial markets renders it improbable that regulators will be able to predict with confidence what are the optimal capital requirements or what other regulatory policies would reduce systemic risk.Nor,as past experience suggests,is it likely that regulators will be able to predict which future financial innovations,activities or institutions might generate systemic risk.The Article contends,accordingly,that there would be value added from increasing the flexibility of the international financial regulatory architecture as a means of reducing systemic risk.It proposes making the Basel architecture more adaptable by creating aprocedural mechanism to allow for departures along multiple dimensions from Basel while providing safeguards,given the limited knowledge that we do possess,against the ratcheting up of systemic risk from such departures.The core of the mechanism to introduce diversity into Basel is a peer review of proposed departures from Basel,and,upon approval of such departures,ongoing monitoring for their impact on global systemic risk.If a departure were found to increase systemic risk,it would be disallowed.Such a diversity mechanism would improve the quality of regulatory decision-making by generating information on which regulations work best under which circumstances.It would also reduce the threat to financial stability posed by regulatory errors that increase systemic risk by reducing展开更多
2010年9月,国际清算银行(Bank for International Settlements;BIS)开始正式启用最新的国际银行监管框架--巴塞尔Ⅲ协议(Basel Ⅲ)。之前的巴塞尔Ⅱ本身没有对宏观环境进行规范,同时又有许多缺陷,在本次07金融危机中巴塞尔协议并没有发...2010年9月,国际清算银行(Bank for International Settlements;BIS)开始正式启用最新的国际银行监管框架--巴塞尔Ⅲ协议(Basel Ⅲ)。之前的巴塞尔Ⅱ本身没有对宏观环境进行规范,同时又有许多缺陷,在本次07金融危机中巴塞尔协议并没有发挥出预期作用。巴塞尔Ⅲ克服了原有框架的缺陷,同时做出了许多改进与修正。本文试图阐述巴塞尔Ⅲ的改进之处,同时结合金融危机以及中国金融市场的逐步开放与创新的大环境,浅论此次改革对我国商业银行带来的启发。展开更多
By using Fubini theorem or Tonelli theorem, we find that the zeta function value at 2 is equal to a special integral. Furthermore, we find that this special integral is two times of another special integral. By using ...By using Fubini theorem or Tonelli theorem, we find that the zeta function value at 2 is equal to a special integral. Furthermore, we find that this special integral is two times of another special integral. By using this fact we give an easy way to calculate the value of the alternating sum of without using the Fourier expansion. Also, we discuss the relationship between Genocchi numbers and Bernoulli numbers and get some results about Bernoulli polynomials.展开更多
Ever since it first appeared in 1935, the famous paper by Einstein, Podolsky and Rosen, questioning the completeness of quantum mechanics as a theory, has courted controversy. The initial arguments with Bohr have neve...Ever since it first appeared in 1935, the famous paper by Einstein, Podolsky and Rosen, questioning the completeness of quantum mechanics as a theory, has courted controversy. The initial arguments with Bohr have never been forgotten or gone away;the ideas of Bell have remained;many experiments have been performed purporting to support the stance of Bohr. More recently, however, an experiment performed by a group in Basel has questioned this accepted position and, theoretically, this new perspective has received support from at least two sources. It is the work behind these two sources, especially the second, together with the experimental work at Basel, which form the basis for this examination of the present position as far as this extremely important position for physical science is concerned. Needless to say, considering the views expressed in these two approaches, it is also necessary and appropriate to consider some possible consequences if this new view becomes accepted. Due to the fact that the recent support for the Einstein, Podolsky, Rosen argument makes use of results in iso-mathematics, iso-mechanics and iso-chemistry, these possible consequences include the exact representation of nuclear data, the achievement of an attractive force between identical valence electrons with the ensuing exact representation of molecular data, the prediction of new clean energies and the prediction of the possible recycling of nuclear waste via stimulated decay—none of which is allowable utilising traditional quantum mechanics. Hence here, as well as discussing the resolution of the long standing issue provoked by the well-known Einstein, Podolsky, Rosen article, some of these consequences will be discussed with a view to provoking more general, open-minded discussion within the scientific community.展开更多
文摘Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the in- ternal as well as the heavy tail high profile low frequency losses. The output of the Monte Carlo simulation defines the capital requirement that has to be allocated to cover potential operational risk losses for the next year.
文摘This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing global regulatory framework,the Basel Accords.Recent experience suggests that regulatory harmonization can increase,rather than decrease,systemic risk,an effect that is the precise opposite of the objective of harmonization.By incentivizing financial institutions worldwide to follow broadly similar business strategies,regulatory error contributed to a global financial crisis.Furthermore,the dynamic nature of financial markets renders it improbable that regulators will be able to predict with confidence what are the optimal capital requirements or what other regulatory policies would reduce systemic risk.Nor,as past experience suggests,is it likely that regulators will be able to predict which future financial innovations,activities or institutions might generate systemic risk.The Article contends,accordingly,that there would be value added from increasing the flexibility of the international financial regulatory architecture as a means of reducing systemic risk.It proposes making the Basel architecture more adaptable by creating aprocedural mechanism to allow for departures along multiple dimensions from Basel while providing safe guards,given the limited knowledge that we do possess,against the ratcheting up of systemic risk from such departures.The core of the mechanism to introduce diversity into Basel is a peer review of proposed departures from Basel,and,upon approval of such departures,ongoing monitoring for their impact on global systemic risk.If a departure were found to increase systemic risk,it would be disallowed.Such a diversity mechanism would improve the quality of regulatory decision-making by generating information on which regulations work best under which circumstances.It would also reduce the threat to financial stability posed by regulatory errors that increase systemic risk by reducin
基金supported by the University of Rijeka projects uniri-mladi-drustv-20-5.and uniri-drustv-18-228.
文摘The latest regulatory framework,which has been introduced globally in the form of Basel III,and its implementation in the legislation of the member states of the Euro-pean Union has generated much interest in the impact of regulation on the efficiency and profitability of banks.This study aims to examine the impact of the introduction of two major regulatory changes(Basel II and Basel III)on bank performance,in terms of bank size and bank-specific and macroeconomic variables.A two-stage empirical anal-ysis was conducted on a sample of 433 European commercial banks over the 2006–2015 period.In the first stage,relative efficiency was calculated using non-parametric data envelopment analysis.In the second stage,the generalized method of moments was used to examine the impact of bank-specific and macroeconomic variables as well as regulation on bank performance,that is,profitability and efficiency.Consider-ing bank size,the results show a diverse impact of regulation on bank performance.Regarding large-and medium-sized banks,regulation positively affects both efficiency and profitability,whereas,for small banks,it negatively affects performance.The results suggest that larger banks have skillfully adapted to the new regulatory environment.In contrast,small banks have problems with profitability and efficiency because the new regulatory framework has imposed additional administrative and regulatory burdens.This could result in future failure or mergers with larger banks,resulting in a higher concentration in the banking sector and increased systemic risk.Our results strongly suggest that regulation should not be implemented equally for all banks;that is,on a one size fits all terms.A distinction between small and large banks when introducing new regulatory frameworks should be made if a reasonable level of competition is to be preserved.
基金the School of Accountancy Research Center at Singapore Management University for financial support
文摘We examine the effects of the revised Basel II rules on bank managers' discretionary behavior, specifically income smoothing and loan loss provisioning. As the revised rules exert greater regulatory pressure on corporate than retail banking, we predict corporate bank managers to reduce risk-taking activities or increase income smoothing. Analysis of segmental reports reveals greater(less) income smoothing in the corporate banking segments of low-capital(high-capital) banks during the Basel II period, with their managers recognizing loan loss provisions in a less timely fashion. We find no such effects for retail banking. Although we document an initially negative market reaction to the regulatory announcements, that reaction weakens over time. Overall,the study highlights the unintended consequences of the banking rule changes.
文摘This Article challenges the prevailing view of the efficacy of harmonized international financial regulation and provides a mechanism for facilitating regulatory diversity and experimentation within the existing global regulatory framework,the Basel Accords.Recent experience suggests that regulatory harmonization can increase,rather than decrease,systemic risk,an effect that is the precise opposite of the objective of harmonization.By incentivizing financial institutions worldwide to follow broadly similar business strategies,regulatory error contributed to a global financial crisis.Furthermore,the dynamic nature of financial markets renders it improbable that regulators will be able to predict with confidence what are the optimal capital requirements or what other regulatory policies would reduce systemic risk.Nor,as past experience suggests,is it likely that regulators will be able to predict which future financial innovations,activities or institutions might generate systemic risk.The Article contends,accordingly,that there would be value added from increasing the flexibility of the international financial regulatory architecture as a means of reducing systemic risk.It proposes making the Basel architecture more adaptable by creating aprocedural mechanism to allow for departures along multiple dimensions from Basel while providing safeguards,given the limited knowledge that we do possess,against the ratcheting up of systemic risk from such departures.The core of the mechanism to introduce diversity into Basel is a peer review of proposed departures from Basel,and,upon approval of such departures,ongoing monitoring for their impact on global systemic risk.If a departure were found to increase systemic risk,it would be disallowed.Such a diversity mechanism would improve the quality of regulatory decision-making by generating information on which regulations work best under which circumstances.It would also reduce the threat to financial stability posed by regulatory errors that increase systemic risk by reducing
文摘2010年9月,国际清算银行(Bank for International Settlements;BIS)开始正式启用最新的国际银行监管框架--巴塞尔Ⅲ协议(Basel Ⅲ)。之前的巴塞尔Ⅱ本身没有对宏观环境进行规范,同时又有许多缺陷,在本次07金融危机中巴塞尔协议并没有发挥出预期作用。巴塞尔Ⅲ克服了原有框架的缺陷,同时做出了许多改进与修正。本文试图阐述巴塞尔Ⅲ的改进之处,同时结合金融危机以及中国金融市场的逐步开放与创新的大环境,浅论此次改革对我国商业银行带来的启发。
文摘By using Fubini theorem or Tonelli theorem, we find that the zeta function value at 2 is equal to a special integral. Furthermore, we find that this special integral is two times of another special integral. By using this fact we give an easy way to calculate the value of the alternating sum of without using the Fourier expansion. Also, we discuss the relationship between Genocchi numbers and Bernoulli numbers and get some results about Bernoulli polynomials.
文摘Ever since it first appeared in 1935, the famous paper by Einstein, Podolsky and Rosen, questioning the completeness of quantum mechanics as a theory, has courted controversy. The initial arguments with Bohr have never been forgotten or gone away;the ideas of Bell have remained;many experiments have been performed purporting to support the stance of Bohr. More recently, however, an experiment performed by a group in Basel has questioned this accepted position and, theoretically, this new perspective has received support from at least two sources. It is the work behind these two sources, especially the second, together with the experimental work at Basel, which form the basis for this examination of the present position as far as this extremely important position for physical science is concerned. Needless to say, considering the views expressed in these two approaches, it is also necessary and appropriate to consider some possible consequences if this new view becomes accepted. Due to the fact that the recent support for the Einstein, Podolsky, Rosen argument makes use of results in iso-mathematics, iso-mechanics and iso-chemistry, these possible consequences include the exact representation of nuclear data, the achievement of an attractive force between identical valence electrons with the ensuing exact representation of molecular data, the prediction of new clean energies and the prediction of the possible recycling of nuclear waste via stimulated decay—none of which is allowable utilising traditional quantum mechanics. Hence here, as well as discussing the resolution of the long standing issue provoked by the well-known Einstein, Podolsky, Rosen article, some of these consequences will be discussed with a view to provoking more general, open-minded discussion within the scientific community.
