A fedezetlen bankközi forintpiac hálózati dinamikájának vizsgálata a likviditási válság előtt és után (Examination of the network dynamics of the uncovered interbank forint markel before the liquidity crisis and after)

A cikkben a magyar fedezetlen bankközi forintpiac hálózatának időbeli alakulását vizsgáljuk 2002 decemberétől 2009 márciusáig. Bemutatjuk a piac általános jellemzőit (forgalom, kamatláb, koncentráció stb.) és az alapvető hálózati mutatókat. Azt tapasztaljuk, hogy az időszak első felében ezek a jellemzők lényegében stabilak voltak. 2006-2007-től kezdve azonban a mutatók egy része kezdett jelentősen megváltozni: a hitelfelvevők koncentrációja nőtt, az átlagos közelség és az átlagos fokszám csökkent, továbbá a hálózat magjának mérete is csökkent. Ezek a jelek arra utalhatnak, hogy a bankok már a válság kitörése előtt érzékelték a növekvő hitelkockázatot, és egyre inkább megválogatták, hogy kinek adnak hitelt. Figyelemre méltó, hogy mindeközben az általános piaci mutatók (forgalom, kamatláb, illetve ezek volatilitása) semmiféle változásra utaló jelet nem tükröztek egészen 2008 októberéig, de ekkor hirtelen minden mutatóban egyértelművé vált a rezsimváltás. Végül részletesen elemezzük az egyes szereplők viselkedését, és megmutatjuk, hogy válságban az egyes szerepek drasztikusan megváltoztak (például forrásokból nyelők lettek, és fordítva). / === / The article examines the changes in the network of Hungary's uncovered interbank forint market over the period Decembcr 2000 to March 2009. It presents the general features of the market (volume, interest rates, concentration etc.) and its basic network. It is found that the features were largely stable in the first half of the period, but some of the indicators began to change significantly in 2006-7: the concentration of borrowers incrcased, average distance and average degree declined, as did the size of the core of the network. These signs pointed to the fact that the banks had sensed an increase in credit risk even before the crisis broke and were becoming increasingly choosy selective in their lending. Meanwhile, however. there aerc no indications of change in the general market indicators (volume, interest rates, or volatility of these) right up to October 2008, when the change of regime was clear in all indicators. Finally, the authors analyse in detail the behaviour of each participant and show that thc roles of some altered drastically with the crisis (e.g. sources became consumers and vice versa).

The Effect of Reputation Shocks to Rating Agencies on Corporate Disclosures

This paper explores the effect of credit rating agency’s (CRA) reputation on the discretionary disclosures of corporate bond issuers. Academics, practitioners, and regulators disagree on the informational role played by major CRAs and the usefulness of credit ratings in influencing investors’ perception of the credit risk of bond issuers. Using management earnings forecasts as a measure of discretionary disclosure, I find that investors demand more (less) disclosure from bond issuers when the ratings become less (more) credible. In addition, using content analytics, I find that bond issuers disclose more qualitative information during periods of low CRA reputation to aid investors better assess credit risk. That the corporate managers alter their voluntary disclosure in response to CRA reputation shocks is consistent with credit ratings providing incremental information to investors and reducing adverse selection in lending markets. Overall, my findings suggest that managers rely on voluntary disclosure as a credible mechanism to reduce information asymmetry in bond markets.

Trois essais sur les banques et le pouvoir de marché

Cette thèse examine le rôle du pouvoir de marché dans le marché bancaire. L’emphase est mis sur la prise de risque, les économies d’échelle, l’efficacité économique du marché et la transmission des chocs. Le premier chapitre présente un modèle d’équilibre général dynamique stochastique en économie ouverte comprenant un marché bancaire en concurrence monopolistique. Suivant l’hypothèse de Krugman (1979, 1980) sur la relation entre les économies d’échelle et les exportations, les banques doivent défrayer un coût de transaction pour échanger à l’étranger qui diminue à mesure que le volume de leurs activités locales augmente. Cela incite les banques à réduire leur marge locale afin de profiter davantage du marché extérieur. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats obtenus indiquent que deux forces contraires, les économies d’échelle et le pouvoir de marché, s’affrontent lorsque le marché se concentre. La concentration permet aussi aux banques d’accroître leurs activités étrangères, ce qui les rend en contrepartie plus vulnérables aux chocs extérieurs. Le deuxième chapitre élabore un cadre de travail semblable, mais à l’intérieur duquel les banques font face à un risque de crédit. Celui-ci est partiellement assuré par un collatéral fourni par les entrepreneurs et peut être limité à l’aide d’un effort financier. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats montrent qu’un plus grand pouvoir de marché réduit la taille du marché financier et de la production à l’état stationnaire, mais incite les banques à prendre moins de risques. De plus, les économies dont le marché bancaire est fortement concentré sont moins sensibles à certains chocs puisque les marges plus élevés donnent initialement de la marge de manoeuvre aux banques en cas de chocs négatifs. Cet effet modérateur est éliminé lorsqu’il est possible pour les banques d’entrer et de sortir librement du marché. Une autre extension avec économies d’échelle montre que sous certaines conditions, un marché moyennement concentré est optimal pour l’économie. Le troisième chapitre utilise un modèle en analyse de portefeuille de type Moyenne-Variance afin de représenter une banque détenant du pouvoir de marché. Le rendement des dépôts et des actifs peut varier selon la quantité échangée, ce qui modifie le choix de portefeuille de la banque. Celle-ci tend à choisir un portefeuille dont la variance est plus faible lorsqu’elle est en mesure d’obtenir un rendement plus élevé sur un actif. Le pouvoir de marché sur les dépôts amène un résultat sembable pour un pouvoir de marché modéré, mais la variance finit par augmenter une fois un certain niveau atteint. Les résultats sont robustes pour différentes fonctions de demandes.

Modelo de valoración ajustado a la evolución del riesgo crediticio para carteras colectivas que invierten en títulos valores no tradicionales en la comisionista global Securities Colombia de la Ciudad de Medellín

Con los comportamientos del mercado financiero, las comisionistas de bolsa deben tener un modelo de valoración ajustado a la evolución del riesgo crediticio para las inversiones en títulos valores no tradicionales y de esta manera cumplir con los requerimientos emitidos por la Superintendencia Financiera de Colombia. En particular, se diseña el modelo sugerido por el regulador para la comisionista Global Securities de la ciudad de Medellín, para la cartera colectiva Credit Opportunities Fund - Compartimiento Facturas. El estudio de tipo descriptivo, analiza y diseña a partir del método CreditMetrics desarrollado por J.P Morgan, una valoración completa de la cartera teniendo en cuenta las pérdidas y ganancias por modificaciones de calidad crediticia.

Auditoria e risco no setor bancário - Caso Banco Espírito Santo

Mestrado em Auditoria

Modelo de Scoring para o Crédito à Habitação: Um estudo de caso em Portugal

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Atividade Bancária - Condicionantes do Crédito nos Particulares Caixa Leasing & Factoring – Instituição Financeira de Crédito, S.A

Mestrado em Contabilidade e Análise Financeira

Modelo de regressão beta para teste de estresse em risco de crédito de instituições financeiras

Dissertação (mestrado)—Universidade de Brasília, Instituto de Ciências Exatas, Departamento de Estatistica, 2015.

Estudo comparativo entre técnicas de aprendizado de máquina para estimação de risco de crédito

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Programa de Pós-Graduação em Administração, 2016.

Determinantes del spread financiero del sector cooperativo de ahorro y crédito ecuatoriano

Esta investigación analiza los determinantes del spread financiero del sector cooperativo de ahorro y crédito ecuatoriano. La base teórica corresponde al modelo expuesto por Ho y Saunders (1981). Se construyeron variables micro y macroeconómicas para recoger los efectos que estas tienen sobre el margen de intermediación financiera. Se empleó un panel de datos mensuales para el periodo 2007-2014. Las estimaciones fueron realizadas mediante la metodología de errores estándar corregidos para datos de panel. Los resultados explican que el spread financiero del sector cooperativo depende particularmente de los niveles de morosidad, la eficiencia en sus gastos operacionales y el grado de endeudamiento público externo de la economía. Además, la concentración de mercado, los niveles de liquidez y la incertidumbre en los mercados internacionales inciden levemente en la determinación del spread.

The Selection Process of Applications to the Portuguese Innovation Incentive System: Who Gets Financial Support?

Public policies to support entrepreneurship and innovation play a vital role when firms have difficulties in accessing external finance. However, some authors have found evidence of long-term inefficiency in subsidized firms (Bernini and Pelligrini, 2011; Cerqua and Pelligrini, 2014) and ineffectiveness of public funds (Jorge and Suárez, 2011). The aim of the paper is to assess the effectiveness in the selection process of applications to public financial support for stimulating innovation. Using a binary choice model, we investigate which factors influence the probability of obtaining public support for an innovative investment. The explanatory variables are connected to firm profile, the characteristics of the project and the macroeconomic environment. The analysis is based on the case study of the Portuguese Innovation.Incentive System (PIIS) and on the applications managed by the Alentejo Regional Operational Program in the period 2007 – 2013. The results show that the selection process is more focused on the expected impact of the project than on the firm’s past performance. Factors that influence the credit risk and the decision to grant a bank loan do not seem to influence the government evaluator regarding the funding of some projects. Past activities in R&D do not significantly affect the probability of having an application approved under the PIIS, whereas an increase in the number of patents and the number of skilled jobs are both relevant factors. Nevertheless, some evidence of firms’ short-term inefficiency was found, in that receiving public financial support is linked to a smaller increase in productivity compared to non-approved firm applications. At the macroeconomic level, periods with a higher cost of capital in financial markets are linked to a greater probability of getting an application for public support approved, which could be associated with the effectiveness of public support in correcting market failings.

Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

The benefits of diversification from international real estate securities are generally well established. However, the drivers of international real estate securities returns are insufficiently understood. We jointly examine the empirical implications of three major international asset pricing models that account for broad macroeconomic risk factors. In addition, we develop the hypothesis that an indicator of mispriced credit is significant in explaining the time series variation in international real estate securities returns. We employ the returns generated by a large sample of firms from 20 countries over the period 1999 to 2011 to test our hypothesis. We find support for the predictions of the major international asset pricing models. We also find evidence in favour of our hypothesised link between local credit conditions and the performance of international real estate securities.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.