The Experts below are selected from a list of 294 Experts worldwide ranked by ideXlab platform
Roger Lagunoff - One of the best experts on this subject based on the ideXlab platform.
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International versus domestic auditing of Bank Solvency
Journal of International Economics, 2005Co-Authors: Andrew Feltenstein, Roger LagunoffAbstract:Abstract This paper examines alternative ways to prevent losses from Bank insolvencies. We develop a model that compares two alternative institutions for Bank auditing. The first is a system of central Bank auditing of national Banks. The second is carried out by an international agency that collects and disseminates risk information on Banks in all countries. The international auditor is shown to perform at least as well, and sometimes better than, auditing by either central Banks or voluntary disclosure by the Banks themselves in preventing losses. The international auditor's credibility comes from the fact that its incentives are not distorted by a sovereignty bias.
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International Versus Domestic Auditing of Bank Solvency
Social Science Research Network, 2003Co-Authors: Andrew Feltenstein, Roger LagunoffAbstract:This paper examines alternative ways to prevent losses from Bank insolvencies. It is widely viewed that transparency in reporting Bank balance sheets is a key element in reducing such losses. It is, however, unclear just how such transparency would be achieved. Current approaches to avoiding insolvencies generally involve international enforcement mechanisms. Among these are the sovereign debt restructuring mechanism (SDRM), and, more generally, an international Bankruptcy court. We develop a model that compares two alternative institutions for Bank auditing. Neither of these institutions would require as much enforcement capability as an international Bankruptcy court, hence they would be easier to introduce. The first of these is a system of central Bank auditing of national Banks. The second type of auditing is carried out by an international agency that collects risk information on Banks in all countries and then provides it to depositors. Using a game- theoretic approach, we compare the informativeness of the disclosure rule in the symmetric Perfect Bayesian equilibrium in each of the two different auditing institutions. We show that the international auditor generally performs at least as well, and sometimes better than, auditing by either central Banks, which, in turn, perform better than voluntary disclosure by the Banks themselves. The results do not assume any informational advantages of the international auditor, nor is the international auditor somehow less "corrupt" than the central Banks. Rather, the international auditor's credibility comes from the simple fact that its incentives are not distorted by a sovereignty bias that plagues the central Banks.
Andrew Feltenstein - One of the best experts on this subject based on the ideXlab platform.
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International versus domestic auditing of Bank Solvency
Journal of International Economics, 2005Co-Authors: Andrew Feltenstein, Roger LagunoffAbstract:Abstract This paper examines alternative ways to prevent losses from Bank insolvencies. We develop a model that compares two alternative institutions for Bank auditing. The first is a system of central Bank auditing of national Banks. The second is carried out by an international agency that collects and disseminates risk information on Banks in all countries. The international auditor is shown to perform at least as well, and sometimes better than, auditing by either central Banks or voluntary disclosure by the Banks themselves in preventing losses. The international auditor's credibility comes from the fact that its incentives are not distorted by a sovereignty bias.
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International Versus Domestic Auditing of Bank Solvency
Social Science Research Network, 2003Co-Authors: Andrew Feltenstein, Roger LagunoffAbstract:This paper examines alternative ways to prevent losses from Bank insolvencies. It is widely viewed that transparency in reporting Bank balance sheets is a key element in reducing such losses. It is, however, unclear just how such transparency would be achieved. Current approaches to avoiding insolvencies generally involve international enforcement mechanisms. Among these are the sovereign debt restructuring mechanism (SDRM), and, more generally, an international Bankruptcy court. We develop a model that compares two alternative institutions for Bank auditing. Neither of these institutions would require as much enforcement capability as an international Bankruptcy court, hence they would be easier to introduce. The first of these is a system of central Bank auditing of national Banks. The second type of auditing is carried out by an international agency that collects risk information on Banks in all countries and then provides it to depositors. Using a game- theoretic approach, we compare the informativeness of the disclosure rule in the symmetric Perfect Bayesian equilibrium in each of the two different auditing institutions. We show that the international auditor generally performs at least as well, and sometimes better than, auditing by either central Banks, which, in turn, perform better than voluntary disclosure by the Banks themselves. The results do not assume any informational advantages of the international auditor, nor is the international auditor somehow less "corrupt" than the central Banks. Rather, the international auditor's credibility comes from the simple fact that its incentives are not distorted by a sovereignty bias that plagues the central Banks.
M. N. Nguyen - One of the best experts on this subject based on the ideXlab platform.
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A nature inspired Ying-Yang approach for intelligent decision support in Bank Solvency analysis
Expert Systems with Applications, 2008Co-Authors: M. N. Nguyen, Daming Shi, Chai QuekAbstract:Since the collapse or failure of a Bank could trigger an adverse financial repercussion and generate negative impacts, it is desirable to have an early warning system (EWS) that identifies potential Bank failures or high-risk Banks through the traits of financial distress. This research is aimed to construct a novel fuzzy neural CMAC as an alternative to analyze Bank Solvency, in which a nature inspiration motivated from the famous Chinese ancient Ying-Yang philosophy is introduced to find the optimal fuzzy sets, and truth value restriction (TVR) inference scheme is employed to derive the truth-values of the rule weights. The proposed model functions as an early warning system and is able to identify the inherent traits of financial distress based on financial covariates (features) derived from publicly available financial statements. Our experiments are conducted on a benchmark dataset of a population of 3635 US Banks observed over a 21 years period. Three sets of experiments are performed - Bank failure classification based on the last available financial record and prediction using financial records one and two years prior to the last available financial statements. The performance of the proposed Ying-Yang FCMAC network as a Bank failure classification and early warning system is very encouraging.
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GA based FCMAC-BYY model for Bank Solvency analysis
2007 IEEE Congress on Evolutionary Computation, 2007Co-Authors: M. N. NguyenAbstract:Since the collapse or failure of a Bank could trigger an adverse financial repercussion and generate negative impacts, it is desirable to have an early warning system (EWS) that identifies potential Bank failures or high-risk Banks through the traits of financial distress. This research is aimed to construct a novel GA-FCMAC-BYY model as an alternative to analyze Bank Solvency. The proposed model attempts to advance our previous work which uses fuzzy cerebellar model arithmetic controller-Bayesian Ying-Yang (FCMAC-BYY) network. Inspired by the ancient Chinese Ying Yang philosophy, FCMAC-BYY obtains optimal solution by achieving harmony between inputs and fuzzy clusters sets. However, it optimizes the fuzzy sets in the individual dimensions, resulting in the lost of relative binding data and global optimization may not be achieved. Genetic algorithm (GA) is introduced here to look into the issue. GA operates on a population of potential solutions based on the principle of survival of the fittest to produce better approximations to a solution. Populations of candidate solutions are evaluated using fitness functions to determine the best solution. Thereafter, chromosomes would be evolved to produces new genes in the search of the optimal solution. The performance of the proposed GA-FCMAC-BYY model as a Bank failure classification and early warning system is very encouraging.
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IEEE Congress on Evolutionary Computation - GA based FCMAC-BYY model for Bank Solvency analysis
2007 IEEE Congress on Evolutionary Computation, 2007Co-Authors: K.s. Lum, M. N. Nguyen, Daming ShiAbstract:Since the collapse or failure of a Bank could trigger an adverse financial repercussion and generate negative impacts, it is desirable to have an early warning system (EWS) that identifies potential Bank failures or high-risk Banks through the traits of financial distress. This research is aimed to construct a novel GA-FCMAC-BYY model as an alternative to analyze Bank Solvency. The proposed model attempts to advance our previous work which uses fuzzy cerebellar model arithmetic controller-Bayesian Ying-Yang (FCMAC-BYY) network. Inspired by the ancient Chinese Ying Yang philosophy, FCMAC-BYY obtains optimal solution by achieving harmony between inputs and fuzzy clusters sets. However, it optimizes the fuzzy sets in the individual dimensions, resulting in the lost of relative binding data and global optimization may not be achieved. Genetic algorithm (GA) is introduced here to look into the issue. GA operates on a population of potential solutions based on the principle of survival of the fittest to produce better approximations to a solution. Populations of candidate solutions are evaluated using fitness functions to determine the best solution. Thereafter, chromosomes would be evolved to produces new genes in the search of the optimal solution. The performance of the proposed GA-FCMAC-BYY model as a Bank failure classification and early warning system is very encouraging.
Nicholas Ryan - One of the best experts on this subject based on the ideXlab platform.
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A Tale of Two Runs: Depositor Responses to Bank Solvency Risk
The Journal of Finance, 2016Co-Authors: Rajkamal Iyer, Manju Puri, Nicholas RyanAbstract:We examine heterogeneity in depositor responses to Solvency risk using depositor-level data for a Bank that faced two different runs. We find that depositors with loans and Bank staff are less likely to run than others during a low-Solvency-risk shock, but are more likely to run during a high-Solvency-risk shock. Uninsured depositors are also sensitive to Bank Solvency. In contrast, depositors with older accounts run less, and those with frequent past transactions run more, irrespective of the underlying risk. Our results show that the fragility of a Bank depends on the composition of its deposit base. [ABSTRACT FROM AUTHOR]
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a tale of two runs depositor responses to Bank Solvency risk
Journal of Finance, 2014Co-Authors: Rajkamal Iyer, Manju Puri, Nicholas RyanAbstract:Using depositor-level data, we examine whether depositor actions reflect Solvency risk for a Bank that faced runs. We find that depositors with loans and Bank staff are less likely than others to run in a low Solvency-risk shock, but relatively more likely to in a high Solvency-risk shock. Uninsured depositors always run more and this difference grows markedly in a high Solvency-risk shock. In contrast, depositors with older accounts run less, and those with more frequent past transactions run more, irrespective of the underlying Solvency risk. Our results show how depositor composition affects Bank fragility and help characterize stable deposits.
Christian Schmieder - One of the best experts on this subject based on the ideXlab platform.
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rules of thumb for Bank Solvency stress testing
IMF Working Papers, 2013Co-Authors: Daniel C Hardy, Christian SchmiederAbstract:Rules of thumb can be useful in undertaking quick, robust, and readily interpretable Bank stress tests. Such rules of thumb are proposed for the behavior of Banks’ capital ratios and key drivers thereof—primarily credit losses, income, credit growth, and risk weights—in advanced and emerging economies, under more or less severe stress conditions. The proposed rules imply disproportionate responses to large shocks, and can be used to quantify the cyclical behaviour of capital ratios under various regulatory approaches.
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a framework for macroprudential Bank Solvency stress testing application to s 25 and other g 20 country fsaps
IMF Working Papers, 2013Co-Authors: Andreas Jobst, Christian SchmiederAbstract:The global financial crisis has placed the spotlight squarely on Bank stress tests. Stress tests conducted in the lead-up to the crisis, including those by IMF staff, were not always able to identify the right risks and vulnerabilities. Since then, IMF staff has developed more robust stress testing methods and models and adopted a more coherent and consistent approach. This paper articulates the Solvency stress testing framework that is being applied in the IMF’s surveillance of member countries’ Banking systems, and discusses examples of its actual implementation in FSAPs to 18 countries which are in the group comprising the 25 most systemically important financial systems (“S-25”) plus other G-20 countries. In doing so, the paper also offers useful guidance for readers seeking to develop their own stress testing frameworks and country authorities preparing for FSAPs. A detailed Stress Test Matrix (STeM) comparing the stress test parameters applied in each of these major country FSAPs is provided, together with our stress test output templates.
