scholarly journals Calculating credit risk capital charges with the one-factor model

2005 ◽  
Vol 7 (2) ◽  
pp. 85-101 ◽  
Author(s):  
Susanne Emmer ◽  
Dirk Tasche
Keyword(s):  
Credit Risk ◽  
Factor Model ◽  
Risk Capital ◽  
The One

scholarly journals Basiléia II e Exigência de Capital para Risco de Crédito dos Bancos no Brasil

2010 ◽  
Vol 8 (2) ◽  
pp. 167
Author(s):  
Marcio Holland ◽  
Guilherme Yanaka
Keyword(s):  
Credit Risk ◽  
Bank Credit ◽  
Capital Requirement ◽  
Transition Matrices ◽  
Risk Capital ◽  
Minimum Capital ◽  
Minimum Capital Requirement ◽  
The Difference ◽  
The One ◽  
Irb Approach

With the implementation of Basel II Accord in Brazil, the largest banks will be allowed to use the so-called IRB (Internal Ratings Based) model to compute the credit risk capital requirement. The aim of this work is to measure the difference between the minimum capital requirement (and, thus, in the capital ratio) calculated through the IRB approach and the one defined by the current regulation. Estimates of probabilities of default (PD) were made using transition matrices constructed from the Brazilian Central Bank Credit Register (SCR) data. The results show an increase in the capital requirement, contrary to what have happened in the G-10 countries.

Exploring the Multidimensional Facets of Authoritarianism: Authoritarian Aggression and Social Dominance Orientation

2008 ◽  
Vol 67 (1) ◽  
pp. 51-60 ◽  
Author(s):  
Stefano Passini
Keyword(s):  
Social Dominance ◽  
Factor Model ◽  
Three Dimensional ◽  
Social Dominance Orientation ◽  
Model Fit ◽  
Regression Analyses ◽  
One Dimensional ◽  
Confirmatory Factor ◽  
The One ◽  
Better Than

The relation between authoritarianism and social dominance orientation was analyzed, with authoritarianism measured using a three-dimensional scale. The implicit multidimensional structure (authoritarian submission, conventionalism, authoritarian aggression) of Altemeyer’s (1981, 1988) conceptualization of authoritarianism is inconsistent with its one-dimensional methodological operationalization. The dimensionality of authoritarianism was investigated using confirmatory factor analysis in a sample of 713 university students. As hypothesized, the three-factor model fit the data significantly better than the one-factor model. Regression analyses revealed that only authoritarian aggression was related to social dominance orientation. That is, only intolerance of deviance was related to high social dominance, whereas submissiveness was not.

Hidden “holes” in the capital of banks and the supply of credit to the real sector of economy

2018 ◽  
pp. 49-68 ◽  
Author(s):  
M. E. Mamonov
Keyword(s):  
Credit Risk ◽  
The Other ◽  
Real Sector ◽  
Capital Management ◽  
Loan Loss ◽  
Short Term ◽  
The Real ◽  
Ex Post ◽  
The One

Our analysis documents that the existence of hidden “holes” in the capital of not yet failed banks - while creating intertemporal pressure on the actual level of capital - leads to changing of maturity of loans supplied rather than to contracting of their volume. Long-term loans decrease, whereas short-term loans rise - and, what is most remarkably, by approximately the same amounts. Standardly, the higher the maturity of loans the higher the credit risk and, thus, the more loan loss reserves (LLP) banks are forced to create, increasing the pressure on capital. Banks that already hide “holes” in the capital, but have not yet faced with license withdrawal, must possess strong incentives to shorten the maturity of supplied loans. On the one hand, it raises the turnovers of LLP and facilitates the flexibility of capital management; on the other hand, it allows increasing the speed of shifting of attracted deposits to loans to related parties in domestic or foreign jurisdictions. This enlarges the potential size of ex post revealed “hole” in the capital and, therefore, allows us to assume that not every loan might be viewed as a good for the economy: excessive short-term and insufficient long-term loans can produce the source for future losses.

The relationship between risk, capital and efficiency in Indian banking: Does ownership matter?

2019 ◽  
Vol 11 (2) ◽  
pp. 218-231
Author(s):  
Sanjukta Sarkar ◽  
Rudra Sensarma ◽  
Dipasha Sharma
Keyword(s):  
Public Sector ◽  
Credit Risk ◽  
Large Data ◽  
Foreign Banks ◽  
Risk Capital ◽  
Lower Efficiency ◽  
Data Set ◽  
Content Type ◽  
Balance Sheets ◽  
Indian Banks

Purpose This paper aims to examine the interplay between risk, capital and efficiency of Indian banks and study how their relationship differs across different ownership types. Design/methodology/approach Panel regression techniques are used to analyze a large data set of all Indian scheduled commercial banks operating during the period 2008-2016. Findings The results show that lower efficiency is associated with higher credit risk in the case of public sector and old private sector banks (”bad management hypothesis”). However, higher efficiency leads to higher credit risk in the case of foreign banks (“cost skimping hypothesis”). The authors further find that the more efficient institutions among public sector hold more capital. Finally, they find that the better-capitalized banks among those in the public sector have lower risks on their balance sheets (“moral hazard hypothesis”). Originality/value There is a paucity of papers on the interplay between risk, capital and efficiency of banks in emerging economies. This paper is the first to study the inter-relationship between risk, capital and efficiency of Indian banks across ownership groups using a number of different measures of risk.

scholarly journals Using models of energy consumption from influencing factors to assess the current state and energy efficiency forecasting

2020 ◽  
Vol 220 ◽  
pp. 01024
Author(s):  
Deniz Moroz ◽  
Nadzeya Hruntovich ◽  
Aliaksei Kapanski ◽  
Yauhen Shenets ◽  
Mikhail Malashanka ◽  
...  
Keyword(s):  
Energy Efficiency ◽  
Influencing Factors ◽  
Factor Model ◽  
Energy Resource ◽  
Energy Resources ◽  
Simple Relationship ◽  
Production Program ◽  
Current State ◽  
The One ◽  
The Mathematical Model

A complex of tasks that can be solved using mathematical models of the dependence of consumed energy resources on influencing factors are considered in the article. The main type of model for industrial consumers with a simple relationship between energy and technology, is the one-factor model “consumed energy resource-volume of output”. For industrial consumers with a complex relationship between energy and technology, the mathematical model of the dependence of energy resources on technology is determined by several factors. Methods for assessing the current state of energy efficiency, as well as predicting it for the future in the context of the introduction of energy saving measures and changes in the production program were proposed.

The Benefits of Commitment to a Currency Peg: Aggregate Lessons from the Regional Effects of the 1896 U.S. Presidential Election

2020 ◽  
Vol 102 (3) ◽  
pp. 600-616 ◽  
Author(s):  
Scott L. Fulford ◽  
Felipe Schwartzman
Keyword(s):  
United States ◽  
Presidential Election ◽  
Gold Standard ◽  
Factor Model ◽  
The United States ◽  
Cross Sectional ◽  
Real Activity ◽  
Regional Effects ◽  
The One ◽  
Positive Shock

We develop a method to use the one-time cross-sectional impact of a cleanly identified shock to identify its aggregate impact through the use of a factor model. We apply this methodology to evaluate the importance of fluctuations to the commitment to a currency peg for macroeconomic outcomes during the gold standard period in the United States. The presidential election in 1896 provides a cleanly identified positive shock to commitment to the gold standard. After the election, bank leverage increased substantially, particularly in states where gold was in greater use. Using the latent factor identified by the election, we find that full commitment to gold had the potential to reduce the volatility of real activity overall by a significant amount in the last two decades of the nineteenth century, as well as substantially mitigate the economic depression starting in 1893.

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