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Flight-to-Quality phenomenon as a source of financial instability

Gubareva, Mariya
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Tese de Doutorado
Publicado em /01/2013 Português
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36.24%
Doutoramento em Economia; A general theoretical framework is proposed to analyse Flight-to-Quality events, defined as a mass investment migration from risky to safe assets. The model consists of only two asset classes, risky and safe. The framework is applied to Flights-to-Quality from emerging market public debt to U.S. treasuries, in the period 1998-2010. An alarm signal system is designed to warn of upcoming Flights-to-Quality and their terminations, and is applied: (i) to delimiting hypothetical Flights-to-Quality on an ex-ante basis, which are compared with historically observed episodes, to test the quality of the alarm signals; (ii) to elaborate dynamic interest rate risk hedge strategies, characterized by higher returns and lower volatility in comparison with statically hedged investments. The proposed framework potentially allows for improving the timeliness of financial policies, which can be triggered by the alarm signals. It can also be a useful tool for defining adequate policies to be implemented acting either on an insufficient supply of the safe assets or on a decreasing demand for the risky investments, thus contributing to a more stable economic environment.; Propõe-se uma abordagem teórica para análise de eventos Flight-to-Quality...

Bank Ownership and Performance in the Middle East and North Africa Region

Farazi, Subika; Feyen, Erik; Rocha, Roberto
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
46.07%
Although both domestic and foreign private banks have gained ground in MENA in recent years, state banks continue to play an important role in many countries. Using a MENA bank-level panel dataset for the period 2001-08, the paper contributes to the empirical literature by documenting recent ownership trends and assessing the role of ownership and bank performance in MENA while accounting for key bank characteristics such as size and balance sheet composition. The paper analyzes headline performance indicators as well as their key drivers and finds that state banks exhibit significantly weaker performance, despite their larger size. This result is mainly driven by a larger holding of government securities, higher costs due to larger staffing numbers, and larger loan loss provisions reflecting weaker asset quality. The results reflect both operational inefficiencies and policy mandates. The paper also provides a detailed performance analysis of foreign and listed banks. Foreign banks are fairly new in MENA...

Islamic vs. Conventional Banking : Business Model, Efficiency and Stability

Beck, Thorsten; Demirgüç-Kunt, Asli; Merrouche, Ouarda
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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46.27%
This paper discusses Islamic banking products and interprets them in the context of financial intermediation theory. Anecdotal evidence shows that many of the conventional products can be redrafted as Sharia-compliant products, so that the differences are smaller than expected. Comparing conventional and Islamic banks and controlling for other bank and country characteristics, the authors find few significant differences in business orientation, efficiency, asset quality, or stability. While Islamic banks seem more cost-effective than conventional banks in a broad cross-country sample, this finding reverses in a sample of countries with both Islamic and conventional banks. However, conventional banks that operate in countries with a higher market share of Islamic banks are more cost-effective but less stable. There is also consistent evidence of higher capitalization of Islamic banks and this capital cushion plus higher liquidity reserves explains the relatively better performance of Islamic banks during the recent crisis.

Bank Capital : Lessons from the Financial Crisis

Demirguc-Kunt, Asli; Detragiache, Enrica; Merrouche, Ouarda
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
36.34%
Using a multi-country panel of banks, the authors study whether better capitalized banks fared better in terms of stock returns during the financial crisis. They differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the common equity ratio. They find several results: (i) before the crisis, differences in capital did not affect subsequent stock returns; (ii) during the crisis, higher capital resulted in better stock performance, most markedly for larger banks and less well-capitalized banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) there is evidence that higher quality forms of capital, such as Tier 1 capital, were more relevant. They also examine the relationship between bank capitalization and credit default swap (CDS) spreads.

Assessing Asset Indices

Filmer, Deon; Scott, Kinnon
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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36.24%
This paper compares how results using various methods to construct asset indices match results using per capita expenditures. The analysis shows that inferences about inequalities in education, health care use, fertility, child mortality, as well as labor market outcomes are quite robust to the specific economic status measure used. The measures-most significantly per capita expenditures versus the class of asset indices-do not, however, yield identical household rankings. Two factors stand out in predicting the degree of congruence in rankings between per capita expenditures and an asset index. First is the extent to which per capita expenditures can be explained by observed household and community characteristics. In settings with small transitory shocks to expenditure, or with little measurement error in expenditure, the rankings yielded by the alternative approaches are most similar. Second is the extent to which expenditures are dominated by individually consumed goods such as food. Asset indices are typically derived from indicators of goods which are effectively public at the household level...

Financial Sector Assessment : Malaysia

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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46.23%
Malaysia, as many of its Asian neighbors, experienced significant macro/financial distress in the late 1990s. The transformed and strengthened financial sector has been able to weather the recent global financial crisis well. Financial market intermediaries reliance on cross-border and interbank funding remains limited. Banking institutions are well capitalized and are expected to be able to meet Basel three capital requirements comfortably by the 2019 implementation deadline. Asset quality has improved significantly over the last 5 years and banks are profitable, with low cost-to-income ratios compared to regional peers. The authorities have taken steps to monitor and mitigate the potential significant risks of recent rapid loan growth. The regulatory and supervisory regimes for banking, insurance and securities are well developed and exhibit a high degree of compliance with international standards. Government equity holdings in the financial sector, both direct and indirect, are extensive. Further development of the domestic Islamic financial system presents both opportunities and challenges.

Local Governance and Education Performance : A Survey of the Quality of Local Education Governance in 50 Indonesian Districts

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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36.22%
In the last 15 years, Indonesia has introduced a comprehensive package of education reforms designed to expand access and improve quality. A key component of the reform process has been the devolution of responsibility for basic education services to local governments and schools. The ability of local governments to deliver good quality basic education services varies considerably across Indonesia. Identifying the key dimensions of governance that underpin effective education service delivery can provide a starting point for addressing existing weaknesses and raising education performance. The main purpose of this report is to assess the state of local education governance in a sample of Indonesian districts and how it affects education performance. The study uses a unique survey of 50 local governments conducted in 2009 and 2012, coupled with district level information from household surveys, to identify patterns and explore trends in the relationship between governance and education outcomes. The report also explores the effects of a large donor supported program that aimed to strengthen the capacity of local governments. The findings of the Indonesian Local Education Governance (ILEG) survey demonstrate the importance of the quality of local governance in improving district education performance. Recent governments have demonstrated a commitment to education that has been backed up by substantial increases in public investment. The challenge for the education sector is to translate this commitment and increased investment into better education outcomes. The report has shown that strengthening the capacity of local governments to deliver good quality basic education services needs to be at the heart of efforts to address this challenge.

Local Governance and Education Performance : A Survey of the Quality of Local Education governance in 50 Indonesian Districts

Al-Samarrai, Samer
Fonte: World Bank, Jakarta Publicador: World Bank, Jakarta
Português
Relevância na Pesquisa
36.22%
In the last 15 years, Indonesia has introduced a comprehensive package of education reforms designed to expand access and improve quality. A key component of the reform process has been the devolution of responsibility for basic education services to local governments and schools. The ability of local governments to deliver good quality basic education services varies considerably across Indonesia. Identifying the key dimensions of governance that underpin effective education service delivery can provide a starting point for addressing existing weaknesses and raising education performance. The main purpose of this report is to assess the state of local education governance in a sample of Indonesian districts and how it affects education performance. The study uses a unique survey of 50 local governments conducted in 2009 and 2012, coupled with district level information from household surveys, to identify patterns and explore trends in the relationship between governance and education outcomes. The report also explores the effects of a large donor supported program that aimed to strengthen the capacity of local governments. The findings of the Indonesian Local Education Governance (ILEG) survey demonstrate the importance of the quality of local governance in improving district education performance. Recent governments have demonstrated a commitment to education that has been backed up by substantial increases in public investment. The challenge for the education sector is to translate this commitment and increased investment into better education outcomes. The report has shown that strengthening the capacity of local governments to deliver good quality basic education services needs to be at the heart of efforts to address this challenge.

Macroprudential Policy Framework : A Practice Guide

Krishnamurti, Damodaran; Lee, Yejin Carol
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Português
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36.27%
This practice guide is primarily intended as a reference and guidance for emerging market economies in their migration to a formal macroprudential policy framework. It relies largely on the existing wisdom, knowledge, and experience and was written with the intention of assisting policy makers (and the World Bank staff working with these authorities) in the implementation of macroprudential policy frameworks in jurisdictions with the following characteristics representative of a typical emerging market and developing economy: 1) a simple and bank-dominated financial system where other financial sector segments are much smaller, but growing; 2) banking supervision function is within the central bank; 3) financial sector regulation/supervision is not integrated; 4) uncertain availability of quality data. A macroprudential policy framework is not a silver bullet for safeguarding financial stability. It is also useful to highlight that a macroprudential policy framework cannot take the place of other public policy frameworks. While pursuing macroprudential policy to build a more resilient financial system...

Bank Capital and Systemic Stability

Anginer, Deniz; Demirguc-Kunt, Asli
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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36.4%
This paper distinguishes among various types of capital and examines their effect on system-wide fragility. The analysis finds that higher quality forms of capital reduce the systemic risk contribution of banks, whereas lower quality forms can have a destabilizing impact, particularly during crisis periods. The impact of capital on systemic risk is less pronounced for smaller banks, for banks located in countries with more generous safety nets, and in countries with institutions that allow for better public and private monitoring of financial institutions. The results show that regulatory capital is effective in reducing systemic risk and that regulatory risk weights are correlated with higher future asset volatility, but this relationship is significantly weaker for larger banks. The paper also finds that increased regulatory risk-weights not correlated with future asset volatility increase systemic fragility. Overall, the results are consistent with the theoretical literature that emphasizes capital as a potential buffer in absorbing liquidity...

Loan Classification and Provisioning : Current Practices in 26 ECA Countries

Hulster, Katia; Salomao-Garcia, Valeria; Letelier, Raquel
Fonte: World Bank Group, Vienna Publicador: World Bank Group, Vienna
Português
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36.43%
This report concerns the Financial Sector Advisory Centreapos;s (FinSAC) attempt to shed light on the regulations and practices in the areas of identifying and provisioning for loans losses in 26 countries in the Emerging Europe and Central Asia (ECA) region. FinSAC aims to deliver policy and technical advice and analytical services to client ECA countries. This reportapos;s analysis is based on a World Bank Survey conducted from 2011 to 2012 on banking supervision. Even though it is often stated that Non Performing Loans (NPL) ratios and provisions are not easily comparable across jurisdictions, NPLs and their provisions in the European and Central Asian (ECA) region are frequently charted and analyzed across multiple jurisdictions. As a result of the lack of harmonized regulations in this area, concerns regarding the consistency of loan quality assessments are frequently raised, particularly with respect to the distinction between performing and non performing exposures, provisions for non performing exposures...

Improving the Quality of Financial Intermediation in the Gulf Cooperation Council Countries

World Bank Group
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Relatório
Português
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45.93%
This engagement note provides a snapshot of financial development in the countries of the GulfCooperation Council (GCC), Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates (UAE), and identifies key areas of the financial sector reform agenda where the World Bank Group (WBG) through the Finance Markets Global Practice (FMGP) can provide its support, in particular through the provision of analytical services and advisory (ASA). A key challenge for GCC countries is to diversify their economic structures, increase the role of the private sector, improve the efficiency of the government and reform the educational system and the labor market. This is essential to create employment opportunities for a young and growing domestic population. In this context, the development of an efficient, stable and inclusive financial sector is a policy objective in itself and a necessary conduit to a more diversified and productive economic system. Against this backdrop, this engagement note suggests that improving the quality of financial intermediation in GCC economies is a balancing act between enhancing access and preserving stability. Accordingly...

Banking Sector Stability, Efficiency, and Outreach in Kenya

Beck, Thorsten; Cull, Robert; Fuchs, Michael; Getenga, Jared; Gatere, Peter; Randa, John; Trandafir, Mircea
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
46.07%
Although Kenya's financial system is by far the largest and most developed in East Africa and its stability has improved significantly over the past years, many challenges remain. This paper assesses the stability, efficiency, and outreach of Kenya's banking system, using aggregate, bank-level, and survey data. Banks' asset quality and liquidity positions have improved, making the system more resistant to shocks, and interest rate spreads have declined, in part due to reduction in the overhead costs of foreign banks. Outreach remains limited, but has improved in recent years, driven by mobile payments services in the domestic remittance market. Fostering a level regulatory playing field for all deposit-taking institutions is a key remaining challenge. Specifically, an effective but not overly burdensome framework for regulation and supervision of microfinance institutions and cooperatives is a priority. Maintaining an openness to new, and non-bank, providers of financial services, which has enabled the success of mobile payments...

Using an Asset-Based Approach to Identify Drivers of Sustainable Rural Growth and Poverty Reduction in Central America: A Conceptual Framework

Siegel, Paul B.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.27%
The asset-based approach considers links between households' productive, social, and locational assets; the policy, institutional, and risk context; household behavior as expressed in livelihood strategies; and well-being outcomes. For sustainable poverty reducing growth, it is critical to examine household asset portfolios and understand how assets interact with the context to influence the selection of livelihood strategies, which in turn determine well-being. Policy reforms can change the context and income-generating potential of assets. Investments can add new assets or increase the efficiency of existing household assets, and also improve households' risk management capacity to protect assets. After all is said and done, a household's asset portfolio will determine whether growth and poverty reduction can be achieved and sustained over time. The asset-based framework is amendable to different analytical techniques. Siegel suggests combining quantitative and qualitative spatial and household level analyses (and linked spatial and household level analyses) to deepen understanding of the complex relationships between assets, context, livelihood strategies, and well-being outcomes.

The Heavenly Liquidity Twin : The Increasing Importance of Liquidity Risk

Montes-Negret, Fernando
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
36.36%
Liquidity and solvency have been called the "heavenly twins" of banking (Goodhart, Charles, 'Liquidity Risk Management', Financial Stability Review -- Special Issue on Liquidity, Banque de France, No. 11, February, 2008). Since these "twins" interact in complex ways, it is difficult -- particularly at times of crisis--to distinguish between them, especially in the presence of information asymmetries (Information asymmetry occurs when one party has more or better information than the other, creating an imbalance of power, giving rise to adverse selection and moral hazard ). An insolvent bank can be liquid or illiquid, and a solvent bank may be at times illiquid. In the latter case, insolvency is not far away, since banking is grounded in information and confidence, and it is confidence which in the end determines liquidity. In other words, liquidity is very much endogenous, determined by the general condition of a bank, as well as the perception of it by the public and market participants. Dealing with liquidity risk is more challenging than dealing with other risks...

Financial Sector Assessment : Republic of Kazakhstan

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP)
Português
Relevância na Pesquisa
36.38%
The Kazakhstan financial sector remains dominated by domestic commercial banks. The banking sector is largely domestically owned, private, and relatively concentrated, with the largest five banks accounting for 78 percent of total banking assets. The share of foreign banks has increased to about 15 percent of total banking assets after some recent acquisitions. The stress testing included single factor sensibility and scenario analysis and focused on the potential impacts of the two main risks being faced by the banking system, liquidity and credit risks. The exercise looked into the potential impact of: (i) the ongoing liquidity crunch and worsening external funding conditions; and (ii) asset and collateral quality deterioration, particularly for construction, real estate, and consumer lending. Some progress has been achieved in strengthening the prudential framework and improving bank governance. However, there is a need to move towards risk-based supervision with more attention to banks' use of risk management systems and internal controls...

El Salvador - Financial sector assessment

World Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP)
Português
Relevância na Pesquisa
36.33%
Despite the global and domestic shocks of 2008-2009, the banking sector remains sound. Salvadoran banks were not directly exposed to the global financial crisis. However, the parent banks of several major Salvadoran banks were and directed subsidiaries to conserve risk capital. The higher risk aversion and recession in the United States, combined with uncertainty about the 2009 elections, led to a sharp economic downturn, and a decline in both credit demand and supply. Banks' nonperforming loans increased and profitability declined. Even so, capitalization remained high. Stress tests indicate that most banks would be able to withstand large deposit withdraws and severe deterioration in credit quality arising from large macroeconomic or sectoral shocks. However, credit concentration risks appear significant. Regulated non-bank financial institutions do not pose significant risks, but pension funds' poor profitability is a concern for the long-term. Regulated cooperative banks and insurance companies report healthy financial indicators. Brokerage houses have reduced drastically their fund management activities...

Revealing Asset Quality: Liquidity Signaling and Optimal Stress Tests

Williams, Basil
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2015 Português
Relevância na Pesquisa
46.45%

In my first chapter, I present a model in which sellers can signal the quality of an asset both by retaining a fraction of the asset and by choosing the liquidity of the market in which they search for buyers. Although these signals may seem interchangeable, I present two settings which show they are not. In the first setting, sellers have private information regarding only asset quality, and I show that liquidity dominates retention as a signal in equilibrium. In the second setting, both asset quality and seller impatience are privately known, and I show that both retention and liquidity operate simultaneously to fully separate the two dimensions of private information. Contrary to received theory, the fully separating equilibrium of the second setting may contain regions where market liquidity is increasing in asset quality. Finally, I show that if sellers design an asset-backed security before receiving private information regarding its quality, then the optimality of standard debt is robust to the paper's various settings.

In my second chapter, I explore the question of how informative bank stress tests should be. I use Bayesian persuasion to formalize stress tests and show that regulators can reduce the likelihood of a bank run by performing tests which are only partially informative. Optimal stress tests give just enough failing grades to keep passing grades credible enough to avoid runs. The worse the state of the banking system...

Asset protection in a limited swarm environment utilizing artificial potential fields

Laskowski, Dieter
Fonte: Rochester Instituto de Tecnologia Publicador: Rochester Instituto de Tecnologia
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
36.24%
Asset protection is a behavior in which a team of robots establishes a formation around a resource marked as an asset in a hostile environment in order to protect the asset from threats. The robots are assumed to be homogeneous and run a decentralized control algo- rithm and possess a repulsive quality to the threats. Previous works in this area have used centralized control or considered the use of many robots. This work aims at developing an algorithm that is both decentralized, and able to protect assets using only a few robots. In order to provide this behavior an algorithm coined the Asset Guarding Intelligent System (AeGIS), was developed and analyzed. Using AeGIS, each robot will detect an asset move towards it and form a protective formation around it. AeGIS utilizes Quadratic Artificial Potential Fields (QAPFs) as the robot's path planning module. As such the fields are designed to move the robots into formation, avoid collisions, and in turn protect assets. AeGIS is tested using Leviathan -- an event-driven simulator designed to test groups of autonomous swarm robots employing distributed control algorithms. The success rate of different variations of AeGIS were tested. Additionally, the number of threats, robots employing AeGIS...

The Deficiencies of current data quality tools in the realm of engineering asset management

Neely, M. Pamela; Lin, Shien; Gao, Jing; Koronios, Andy
Fonte: Proceedings of the Twelfth Americas Conference in Information Systems Publicador: Proceedings of the Twelfth Americas Conference in Information Systems
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.34%
Data and information quality is a well-established research topic and gradually appears on the decision-makers' top concern lists. Many studies have been conducted on how to investigate the generic data/information quality issues and factors by providing a high-level abstract framework or model. Based on the previous studies, the researchers of this paper tried to discuss the actual data quality problems with the operation-level and middle-level managers in engineering asset management and reviewing the existing data cleansing software tools against real engineering asset databases, the deficiencies of the existing data cleansing approach are highlighted.