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The Volatility Costs of Procyclical Lending Standards; An Assessment Using a Dsge Model

Sgherri, Silvia; Gruss, Bertrand - International Monetary Fund (IMF) - 2009

The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the...

Persistent link: https://www.econbiz.de/10005826640

Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting

Jobst, Andreas - International Monetary Fund (IMF) - 2007

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Persistent link: https://www.econbiz.de/10005826656

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10005826670

Probabilistic Foundations of a causal Analysis in a Stationary Vectorial Autoregressive Model.

Bruneau, C.; Nicolai, J.P. - 1992

Persistent link: https://www.econbiz.de/10005780796

Quantifying Structural Subsidy Values for Systemically Important Financial Institutions

International Monetary Fund (IMF); International … - 2012

Claimants to SIFIs receive transfers when governments are forced into bailouts. Ex ante, the bailout expectation lowers daily funding costs. This funding cost differential reflects both the structural level of the government support and the time-varying market valuation for such a support. With...

Persistent link: https://www.econbiz.de/10010790251

Too Much Finance?

Berkes, Enrico; Panizza, Ugo; Arcand, Jean-Louis - International Monetary Fund (IMF) - 2012

not driven by output volatility, banking crises, low institutional quality, or by differences in bank regulation and …

Persistent link: https://www.econbiz.de/10010790393

The Inference Fallacy From Bernoulli to Kolmogorov

Szafarz, Ariane; De Scheemaekere, Xavier - Centre Emile Bernheim, Solvay Brussels School of … - 2011

probability to observed frequency. However, Bernoulli went one step further and abusively introduced the inverse proposition …” hampered the emergence of rigorous mathematical foundations for the theory of probability. In particular, the confusion … inference within probability theory. This paper argues that a key factor in Kolmogorov’s success has been his ability to …

Persistent link: https://www.econbiz.de/10008853824

Manipulation Robustness of Collaborative Filtering

Roy, Benjamin Van; Yan, Xiang - In: Management Science 56 (2010) 11, pp. 1911-1929

A collaborative filtering system recommends to users products that similar users like. Collaborative filtering systems influence purchase decisions and hence have become targets of manipulation by unscrupulous vendors. We demonstrate that nearest neighbors algorithms, which are widely used in...

Persistent link: https://www.econbiz.de/10009214872

Search Frictions and the Labor Wedge

Tasci, Murat; Pescatori, Andrea - International Monetary Fund (IMF) - 2011

This paper shows that labor market search frictions do not explain fluctuations in the labor wedge per se. However, the introduction of extensive and intensive margin clarifies that measuring the MRS in terms of total hours artificially introduces procyclicality in the MRS. When the MRS is...

Persistent link: https://www.econbiz.de/10009147322

Global and Regional Spillovers to GCC Equity Markets

Sedik, Tahsin Saadi; Williams, Oral - International Monetary Fund (IMF) - 2011

This paper analyzes the impact of global and regional spillovers to GCC equity markets. GCC equity markets were impacted by spillovers from U.S. equity markets despite varying degrees of foreign participation. Spillovers from regional equity markets were also important but the magnitude of the...

Persistent link: https://www.econbiz.de/10009151201