La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Monetary Policy Implementation in the Interbank Market

The liquidity crisis that swept through the financial markets in 2007 triggered multi-billion losses and forced buyouts of some large banks. The resulting credit crunch is sometimes compared to the great recession in the early twentieth century. But the crisis also serves as a reminder of the significance of the interbank market and of proper central bank policy in this market. This thesis deals with implementation of monetary policy in the interbank market and examines how central bank tools affect commercial banks' decisions. I answer the following questions: • What is the relationship between the policy setup and interbank interest rate volatility? (averaging reserve requirement reduces the volatility) • What can explain a weak relationship between market liquidity and the interest rate? (high reserve requirement buffer) • What determines banks' decisions on when to satisfy the reserve requirement? (market frictions) • How did the liquidity crisis that began in 2007 affect interbank market behaviour? (resulted in higher credit risk and trading frictions as well as expected liquidity shortage)

A model of competition and interbank network formation

This work aims to understand the interaction between competition and network formation in the banking market. Combining Matutes and Padilla (1994) and Matutes and Vives (2000), we build a model of imperfect bank competition for deposits in which an interbank relationship network is a key strategic decision: it affects banks’ profit and risk position. The competition level exerts influence in the banking network structure since it affects the network outcomes. As result, we have that different competition levels imply different network topologies. Specifically, greater competition imply denser networks. Finally, when we allow for the possibility of collusion, the denser network can come out in the least competitive environment.

Essays on Bank Risk

This PhD Thesis is composed of three chapters, each discussing a specific type of risk that banks face. The first chapter talks about Systemic Risk and how banks get exposed to it through the Interbank Funding Market. Exposures in the said market have Systemic Risk implications because the market creates linkages, where the failure of one party can affect the others in the market. By showing that CDS Spreads, as bank risk indicators, are positively related to their Net Interbank Funding Market Exposures, this chapter establishes the above Systemic Risk Implications of Interbank Funding. Meanwhile, the second chapter discusses how banks may handle Illiquidity Risk, defined as the possibility of having sudden funding needs. Illiquidity Risk is embodied in this chapter through Loan Commitments as they oblige banks to lend to its clients, up to a certain amount of funds at any time. This chapter points out that using Securitization as funding facility, could allow the banks to manage this Illiquidity Risk. To make this case, this chapter demonstrates empirically that banks having an increase in Loan Commitments, may experience an increase in risk profile but such can be offset by an accompanying increase in Securitization Activity. Lastly, the third chapter focuses on how banks manage Credit Risk also through Securitization. Securitization has a Credit Risk management property by allowing the offloading of risk. This chapter investigates how banks use such property by looking at the effect of securitization on the banks’ loan portfolios and overall risk and returns. The findings are that securitization is positively related to loan portfolio size and the portfolio share of risky loans, which translates to higher risk and returns. Thus, this chapter points out that Credit Risk management through Securitization may be have been done towards higher risk taking for high returns.

Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

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).

No evidence for association of ataxia-telangiectasia mutated gene T2119C and C3161G amino acid substitution variants with risk of breast cancer

Background There is evidence that certain mutations in the double-strand break repair pathway ataxia-telangiectasia mutated gene act in a dominant-negative manner to increase the risk of breast cancer. There are also some reports to suggest that the amino acid substitution variants T2119C Ser707Pro and C3161G Pro1054Arg may be associated with breast cancer risk. We investigate the breast cancer risk associated with these two nonconservative amino acid substitution variants using a large Australian population-based case–control study. Methods The polymorphisms were genotyped in more than 1300 cases and 600 controls using 5' exonuclease assays. Case–control analyses and genotype distributions were compared by logistic regression. Results The 2119C variant was rare, occurring at frequencies of 1.4 and 1.3% in cases and controls, respectively (P = 0.8). There was no difference in genotype distribution between cases and controls (P = 0.8), and the TC genotype was not associated with increased risk of breast cancer (adjusted odds ratio = 1.08, 95% confidence interval = 0.59–1.97, P = 0.8). Similarly, the 3161G variant was no more common in cases than in controls (2.9% versus 2.2%, P = 0.2), there was no difference in genotype distribution between cases and controls (P = 0.1), and the CG genotype was not associated with an increased risk of breast cancer (adjusted odds ratio = 1.30, 95% confidence interval = 0.85–1.98, P = 0.2). This lack of evidence for an association persisted within groups defined by the family history of breast cancer or by age. Conclusion The 2119C and 3161G amino acid substitution variants are not associated with moderate or high risks of breast cancer in Australian women.