scholarly journals Scaling of High-Quantile Estimators

2011 ◽  
Vol 48 (04) ◽  
pp. 968-983 ◽  
Author(s):  
Matthias Degen ◽  
Paul Embrechts
Keyword(s):  
Heavy Tails ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Small Sample ◽  
Accurate Estimation ◽  
Risk Capital ◽  
High Quantile ◽  
Quantile Estimators ◽  
Small Sample Sizes ◽  
The Global Financial Crisis

Enhanced by the global financial crisis, the discussion about an accurate estimation of regulatory (risk) capital a financial institution needs to hold in order to safeguard against unexpected losses has become highly relevant again. The presence of heavy tails in combination with small sample sizes turns estimation at such extreme quantile levels into an inherently difficult statistical issue. We discuss some of the problems and pitfalls that may arise. In particular, based on the framework of second-order extended regular variation, we compare different high-quantile estimators and propose methods for the improvement of standard methods by focusing on the concept of penultimate approximations.

scholarly journals Scaling of High-Quantile Estimators

2011 ◽  
Vol 48 (4) ◽  
pp. 968-983 ◽  
Author(s):  
Matthias Degen ◽  
Paul Embrechts
Keyword(s):  
Heavy Tails ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Small Sample ◽  
Accurate Estimation ◽  
Risk Capital ◽  
High Quantile ◽  
Quantile Estimators ◽  
Small Sample Sizes ◽  
The Global Financial Crisis

Enhanced by the global financial crisis, the discussion about an accurate estimation of regulatory (risk) capital a financial institution needs to hold in order to safeguard against unexpected losses has become highly relevant again. The presence of heavy tails in combination with small sample sizes turns estimation at such extreme quantile levels into an inherently difficult statistical issue. We discuss some of the problems and pitfalls that may arise. In particular, based on the framework of second-order extended regular variation, we compare different high-quantile estimators and propose methods for the improvement of standard methods by focusing on the concept of penultimate approximations.

ASPEK ETIK DAN SISTEMIK DALAM EKONOMI DAN BISNIS ISLAM

ALQALAM ◽  
2014 ◽  
Vol 31 (1) ◽  
pp. 187
Author(s):  
Budi Harsanto
Keyword(s):  
Financial Crisis ◽  
Business Ethics ◽  
Moral Hazard ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Research Question ◽  
Academic Journals ◽  
Lehman Brothers ◽  
The World ◽  
The Global Financial Crisis

The fall of Enron, Lehman Brothers and other major financial institution in the world make researchers conduct various studies about crisis. The research question in this study is, from Islamic economics and business standpoint, why the global financial crisis can happen repeatedly. The purpose is to contribute ideas regarding Islamic viewpoint linked with the global financial crisis. The methodology used is a theoretical-reflective to various article published in academic journals and other intellectual resources with relevant themes. There are lots of analyses on the causes of the crisis. For discussion purposes, the causes divide into two big parts namely ethics and systemic. Ethics contributed to the crisis by greed and moral hazard as a theme that almost always arises in the study of the global financial crisis. Systemic means that the crisis can only be overcome with a major restructuring of the system. Islamic perspective on these two aspect is diametrically different. At ethics side, there is exist direction to obtain blessing in economics and business activities. At systemic side, there is rule of halal and haram and a set of mechanism of economics system such as the concept of ownership that will early prevent the seeds of crisis. Keywords: Islamic economics and business, business ethics, financial crisis 

Proactive and reactive strategies deployed by restaurants in times of crisis

2015 ◽  
Vol 27 (7) ◽  
pp. 1641-1661 ◽  
Author(s):  
María del Mar Alonso-Almeida ◽  
Kerstin Bremser ◽  
Josep Llach
Keyword(s):  
Financial Crisis ◽  
Competitive Advantage ◽  
Dynamic Capabilities ◽  
Global Financial Crisis ◽  
Small Sample ◽  
Content Type ◽  
Organizational Effects ◽  
Subsequent Effect ◽  
One Year ◽  
The Global Financial Crisis

Purpose – This study aims to examine the development of dynamic capabilities and their effect on the competitive advantage of restaurants in 2009, one year after the beginning of the global financial crisis. Design/methodology/approach – The restaurants were personally surveyed to discern the importance of proactive and reactive strategies for the organization. The resulting two organizational effects – cost cutting and the development of dynamic capabilities – were tested for their influence on competitive advantage. Findings – The findings show that both proactive and reactive strategies reduce costs; however, only proactive strategies develop dynamic capabilities that improve competitive advantage. Research limitations/implications – The conclusions are drawn from a small sample of restaurants in Madrid, the capital of Spain. Given that Madrid enjoys a higher standard of living and greater business expenditures than other cities, the results may not be generalizable to the rest of the country or to other southern European capitals. Practical implications – Managers must use proactive strategies for companies to survive during times of crisis. A focus on proactive strategies will improve a company’s competitive position. Social implications – Policy makers should support the development of proactive strategies and provide an adequate infrastructure of counseling and network creation. Originality/value – To the best of our knowledge, no previous research specifically analyzes both the type of strategy deployed and its subsequent effect on dynamic capabilities and the consequences of the strategy on competitive advantage during a financial crisis.

scholarly journals Financial phantasmagoria: corporate image-work in times of crisis

Organization ◽  
2011 ◽  
Vol 18 (2) ◽  
pp. 153-172 ◽  
Author(s):  
Christian De Cock ◽  
Max Baker ◽  
Christina Volkmann
Keyword(s):  
Financial Crisis ◽  
Financial Institutions ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Corporate Image ◽  
Limited Capacity ◽  
Determining Set ◽  
Words And Images ◽  
Set Up ◽  
The Global Financial Crisis

Our purpose in this article is to relate the real movements in the economy during 2008 to the ‘image-work’ of financial institutions. Over the period January—December 2008 we collected 241 separate advertisements from 61 financial institutions published in the Financial Times. Reading across the ensemble of advertisements for themes and evocative images provides an impression of the financial imaginaries created by these organizations as the global financial crisis unfolded. In using the term ‘phantasmagoria’ we move beyond its colloquial sense of a set of strange images designed to dazzle towards the more technical connotation used by Rancière (2004) who suggested that words and images can offer a trace of an overall determining set-up if they are torn from their obviousness so they become phantasmagoric figures. The key phantasmagoric figure we identify here is that of the financial institution as timeless, immortal and unchanging; a coherent and autonomous entity amongst other actors. This notion of uniqueness belies the commonality of thinking which precipitated the global financial crisis as well as the limited capacity for control of financial institutions in relation to market events. It also functions as a powerful naturalizing force, making it hard to question certain aspects of the recent period of ‘capitalism in crisis’.

scholarly journals The impact of the global financial crisis on the structure of investment portfolios of insurance companies

2011 ◽  
Vol 56 (191) ◽  
pp. 143-161 ◽  
Author(s):  
Jelena Kocovic ◽  
Tatjana Rakonjac-Antic ◽  
Marija Jovovic
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Developed Countries ◽  
Insurance Companies ◽  
Financial Health ◽  
Patterns Of Behavior ◽  
The Global Financial Crisis ◽  
Investment Portfolios ◽  
The Impact

This article deals with the impact of the global financial crisis on the scale and structure of investment portfolios of insurance companies, with respect to their difference compared to other types of financial institution, which derives from the specific nature of insurance activities. The analysis includes insurance companies? exhibited and expected patterns of behavior as investors in the period before, during, and after the crisis, considering both the markets of economically developed countries and the domestic financial market of Serbia. The direction of insurers? investments in the post-crisis period should be very carefully examined in terms of their future implications for the insurance companies? long-term financial health, and defined in a broader context of managing all risks to which they are exposed, taking into account the interdependence of these risks. Pertinent recommendations in this regard have arisen from research of relevant past experience and current trends, and also from an analysis and comparison of views on this subject presented by a number of authors.

scholarly journals EFFECTIVE CRISIS MANAGEMENT FOR ISLAMIC FINANCIAL INDUSTRY AND THE INSTITUTION OF HISBAH: LESSONS FROM GLOBAL FINANCIAL CRISIS

2016 ◽  
Vol 5 (1) ◽  
Author(s):  
Najeeb Zada ◽  
Ahcene Lahsasna ◽  
Muhammad Yusuf Saleem
Keyword(s):  
Financial Crisis ◽  
Moral Hazard ◽  
Crisis Management ◽  
Deposit Insurance ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Islamic Finance ◽  
Financial Industry ◽  
Finance Industry ◽  
The Global Financial Crisis

The recent financial crisis resulted destructive effects on finance industry. Islamic financial industry (IFI) is still naïve and largely untested in the face of a major financial turmoil. Major issues and uncertainties of the insolvency of IFI include the issue of moral hazard, government bailouts, excessive risk taking and deposit insurance. This paper addresses the issue of crisis management in IFI from the perspective of al-Siyasah al-Shar’iyyah and attempts to derive public policy guidelines that are useful in developing a timely and efficient crises management framework for Islamic finance industry. By using qualitative methods, the study found that the global financial crisis resulted in great destruction of financial institution. Although Islamic finance was quite immune to the global crisis as compared to its conventional peer, concerns still exist. It is time that Islamic finance industry learns from the financial woes of the rest of the world. =========================================== Krisis keuangan baru-baru ini mengakibatkan efek destruktif pada industri keuangan. Industri keuangan Islam (IKI) masih naif dan sebagian besar belum teruji dalam menghadapi gejolak keuangan besar. Isu utama dan ketidakpastian dari kebangkrutan IKI meliputi moral hazard, dana talangan pemerintah, pengambilan risiko yang berlebihan dan asuransi deposito. Makalah ini membahas isu manajemen krisis dalam IKI dari perspektif al-Siyasah al-Shar'iyyah dan berusaha mendapatkan pedoman kebijakan publik yang bermanfaat dalam mengembangkan kerangka kerja manajemen krisis yang tepat waktu dan efisien bagi IKI. Dengan menggunakan metode kualitatif, studi ini menemukan bahwa krisis keuangan global mengakibatkan kehancuran besar bagi industri keuangan. Meskipun keuangan Islam cukup kebal terhadap krisis global dibandingkan dengan keuangan konvensional, kekhawatiran masih ada. Sudah saatnya industri keuangan Islam belajar dari krisis keuangan dari seluruh dunia.

The interbank payment network and financial system stability

2019 ◽  
Vol 37 (1) ◽  
pp. 1-17
Author(s):  
Imaduddin Sahabat ◽  
Tumpak Silalahi ◽  
Ratih Indrastuti ◽  
Marizsa Herlina
Keyword(s):  
Global Financial Crisis ◽  
Financial Institution ◽  
Causal Effect ◽  
Financial System ◽  
Payment System ◽  
System Stability ◽  
Financial Risks ◽  
Content Type ◽  
Network Characteristics ◽  
The Global Financial Crisis

Purpose The financial turbulence resulting from the global financial crisis sparked the interest in improving understanding of financial risks. The transmission of financial institution failures can be determined from the prevailing network structures between banks. The purpose of this study is to identify relationship between payment system network characteristics and financial system condition. Design/methodology/approach The characteristics of the interbank network structure in the payment system are identified using a graph theory and the relationship between the network characteristics of interbank transactions in the payment system and financial system stability is examined using a vector auto regression model. Findings This study shows that the connectedness of large-value payment transaction is more segmented compared to that of retail value payments. A significant relationship is observed between the characteristics of the network and the large-value payment transactions. Research limitations/implications This study found the connectedness of large-value transactions is more segmented when compared to retail-value transactions. It also shows a causal effect of the network characteristic on the financial system stability. Originality/value Unlike existing studies, this study considers both the connectedness in large-value transactions and retail-value transactions.

scholarly journals Penyebab Krisis Finansial Global tahun 2008: Kegagalan Financial Development dalam Mendorong Pertumbuhan dan Stabilitas Ekonomi

2018 ◽  
Vol 11 (1) ◽  
pp. 155
Author(s):  
Yohanes William Santoso
Keyword(s):  
United States ◽  
Financial Development ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
The United States ◽  
Subprime Mortgages ◽  
Us Economy ◽  
The Us ◽  
Ease Of Access ◽  
The Global Financial Crisis

The Global Financial Crisis has raised questions for economists on the causes of the issue and how to prevent similar case in the future. One of the causes of the crisis was a large and rapid increase of credit accumulation in the United States (US) on the period of 2000 to 2007. While according to the theory of Financial Development, credit is one of the indicator that shows the ongoing national financial system. Credit includes the access get credit and the ability of financial institution to lend credit. Both can be seen in the United States, proved by the ease of access to home loans and increasing amount of subprime mortgages. In accordance with the theory of financial development, the US economy should had experienced growth and stability. However, the rapid increase of credit accumulation in US has led to instability and crisis. The anomaly proves the failure of Financial Development and encourage the International Monetary Fund (IMF) to review the theory and prove its relevance in explaining economic growth and stability.

scholarly journals Effect of bank levy introduction on bank risk-taking

2021 ◽  
Author(s):  
Karolina Puławska
Keyword(s):  
Financial Institutions ◽  
Risk Taking ◽  
Global Financial Crisis ◽  
Negative Impact ◽  
Financial Institution ◽  
Banking Regulation ◽  
Bank Risk ◽  
Bank Levy ◽  
The One ◽  
The Global Financial Crisis

Abstract Risk-taking by financial institutions is widely regarded as the one of the causes of the global financial crisis. To reduce the probability of crises and internalize the costs of financial institution distress, policymakers have introduced bank levies (BLs). In this study, we evaluate the effects of the Hungarian and German BLs on the risk-taking behavior of financial institutions. We compare two totally different BL designs. The results unambiguously demonstrate that a BL on assets has a negative impact on the financial sector’s stability. The results of analyzing the influence that introducing BLs has had on the German financial sector demonstrate that BLs on liabilities decrease credit risk. An improved understanding of the determinants of the risk of EU financial institutions is very important for regulators and supervisors interested in benchmarking and validation issues related to the new EU banking regulation.

Part II The Financial Crisis of 2007–2011, 7 The Initial Impact of the Financial Crisis on Financial Markets

2018 ◽  
Author(s):  
Mccormick Roger ◽  
Stears Chris
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Financial Markets ◽  
Financial Market ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Financial Failure ◽  
Regulatory Failure ◽  
The Global Financial Crisis ◽  
The Uk

This chapter discusses the initial impact of the global financial crisis, covering the seize-up of the inter-bank market; the run on Northern Rock in September 2007; the ‘regulatory failure’ in the UK and proposed changes; other UK financial institution failures, near failures, and rescues; and US financial market problems. It argues that throughout history, there have been episodes of over-eager lending, reckless investing and poor risk management, leading to financial failure and calls for help. Although the recent crisis was supposedly different because the securitization of debt gave the appearance of liquidity and sophisticated risk management, it also had the same common themes of greed and stupidity.

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