Securitization and Italian banks’ risk during the crisis

2014 ◽  
Vol 15 (4) ◽  
pp. 458-478 ◽  
Author(s):  
Francesca Battaglia ◽  
Maria Mazzuca
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Risk Profile ◽  
Ordered Probit ◽  
Empirical Literature ◽  
Basel Iii ◽  
Content Type ◽  
Probit Models ◽  
Different Types ◽  
Ordered Probit Models

Purpose – The purpose of this study was to examine the 2007-2009 financial crisis to analyze how securitization relates to the Italian bank risk profile, both in terms of credit and liquidity risks. Design/methodology/approach – To test our research hypotheses, we adopt ordered probit models, in which we regress the changes in credit risk and liquidity on a set of regressors, including two securitization dummy variables plus a vector of control variables. Findings – Our results show that the impact of securitization on the originators risk-taking is not uniform. When credit risk is considered, the securitization effects seem to be statistically significant only during the crisis period. However, when we turn to analyze the bank’s liquidity position, our results show that securitization improves it both during the pre-crisis and the crisis years. Our results support the Basel III initiatives aimed to realize a better integration between the different types of risks (i.e. credit and liquidity risks). Research limitations/implications – The major limitation of our study is related to the analyzed geographic area. Practical implications – First, our results support the Basel III initiatives aimed to realize a better integration between the different types of risks (i.e. credit and liquidity risks). In general, the broad policy implication of the paper is that in some contexts, such as the Italian market, securitization does not necessarily produce negative effects in terms of bank’s risk. Originality/value – This study contributes to the empirical literature on the effects of securitization for banks in several ways. First, we consider the complexity of the bank’s risk profile; second, despite the importance of the Italian securitization market, there is a research void on it. Furthermore, unlike previous studies, our analysis covers the period 2000-2009, including the financial crisis years. Finally, to our knowledge, our methodology (ordered probit models) has not been used in the past in this context.

scholarly journals Adoption of multiple climate-smart agricultural practices in the Gangetic plains of Bihar, India

2018 ◽  
Vol 10 (3) ◽  
pp. 407-427 ◽  
Author(s):  
Jeetendra Prakash Aryal ◽  
M.L. Jat ◽  
Tek B. Sapkota ◽  
Arun Khatri-Chhetri ◽  
Menale Kassie ◽  
...  
Keyword(s):  
Nutrient Management ◽  
Positive Impact ◽  
Agricultural Practices ◽  
Ordered Probit ◽  
Extension Services ◽  
Content Type ◽  
Minimum Tillage ◽  
Climate Risks ◽  
Probit Models ◽  
Ordered Probit Models

Purpose The adoption of climate-smart agricultural practices (CSAPs) is important for sustaining Indian agriculture in the face of climate change. Despite considerable effort by both national and international agricultural organizations to promote CSAPs in India, adoption of these practices is low. This study aims to examine the elements that affect the likelihood and intensity of adoption of multiple CSAPs in Bihar, India. Design/methodology/approach The probability and intensity of adoption of CSAPs are analyzed using multivariate and ordered probit models, respectively. Findings The results show significant correlations between multiple CSAPs, indicating that their adoptions are interrelated, providing opportunities to exploit the complementarities. The results confirm that both the probability and intensity of adoption of CSAPs are affected by numerous factors, such as demographic characteristics, farm plot features, access to market, socio-economics, climate risks, access to extension services and training. Farmers who perceive high temperature as the major climate risk factor are more likely to adopt crop diversification and minimum tillage. Farmers are less likely to adopt site-specific nutrient management if faced with short winters; however, they are more likely to adopt minimum tillage in this case. Training on agricultural issues is found to have a positive impact on the likelihood and the intensity of CSAPs adoption. Practical implications The major policy recommendations coming from of our results are to strengthen local institutions (public extension services, etc.) and to provide more training on CSAPs. Originality/value By applying multivariate and ordered probit models, this paper provides some insights on the long-standing discussions on whether farmers adopt CSAPs in a piecemeal or in a composite way.

Attitudes and responses to corruption in tax systems: peer effects and social influences in transition countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
John E. Anderson
Keyword(s):  
Peer Effects ◽  
Social Influences ◽  
Transition Countries ◽  
Ordered Probit ◽  
Tax Morale ◽  
Content Type ◽  
Probit Models ◽  
Tax Systems ◽  
Ordered Probit Models ◽  
Practical Implications

PurposeAnalyze how peer effects and social influences affect attitudes and responses to corruption in tax systems, identifying factors that improve tax morale.Design/methodology/approachLife in Transition Survey (LITS III, 2016) data are analyzed using ordered probit models of corrupt tax officials, Heckman-style selection models of the extent of corruption, probit models of reasons given for not reporting corruption and ordered probit models of the frequency of informal payments to tax officials.FindingsPeer effects and social influences significantly affect perceptions of and responses to corruption. Tax morale is supported in communities where people trust one another, where there is greater respect for the law and where people can achieve greater life satisfaction.Research limitations/implicationsResults are specific to transition countries represented in the data.Practical implicationsFindings can help improve tax morale and stabilize fiscal systems in transition countries.Social implicationsEnhanced tax morale can be facilitated by building inclusive, respectful and transparent institutions.Originality/valueThis study uses the latest LITS III data with a focus on peer effects and social influences, with improved empirical strategies.

Impacts of COVID-19 on patterns of meat and seafood consumption: evidence from Australia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
John Rolfe ◽  
Darshana Rajapaksa ◽  
Jeremy De Valck ◽  
Megan Star
Keyword(s):  
National Level ◽  
Meat Consumption ◽  
Consumption Patterns ◽  
Ordered Probit ◽  
Seafood Consumption ◽  
Content Type ◽  
Probit Models ◽  
Consumption Rates ◽  
Future Consumption ◽  
Ordered Probit Models

PurposeIn 2020, mechanisms to limit the chain of transmission of coronavirus disease 2019 (COVID-19) in Australia led to widespread restrictions on population mobility and business operations. Such conditions provide a natural experiment that may help to provide insights into consumer behaviour and future trends in food consumption. The overall objective of this study is to explore the possible impacts of COVID-19 on meat consumption patterns in Australia, both in the short and medium term, and to explore whether there have been impacts on the underlying drivers for consumption.Design/methodology/approachThe research reported in this paper analyses the impacts of COVID-19 on meat and seafood consumption in Australia, drawing on a national random survey of 1,200 participants in June 2020. Survey data on past and current consumption rates are compared to respondent estimates of their future consumption behaviour, and ordered probit models are used to identify whether consumption changes can be explained by socio-demographic, attitudinal or economic factors.FindingsTwo potential scenarios were evaluated to explore future consumption trends. The first “acceleration” scenario is that the restrictions would encourage people to speed up existing declines in meat consumption, perhaps taking more account of credence factors such as health, animal welfare and environmental issues. The second “transformation” scenario is that people will change consumption patterns, perhaps moving more towards home-cooked meals and increased consumption. Slightly stronger support was found for the transformation scenario, indicating that consumption rates for most meats and seafood will be stable or increase over the next five years.Originality/valueThis study capitalises on changed social and economic settings generated by COVID-19 to test the effects on consumption of meat (chicken, beef, pork, lamb) and seafood at a national level. Ordered probit models are applied to evaluate participant data on their future intentions for meat consumption to test two scenarios, finding stronger support for the “transformative” scenario than the “accelerate” scenario.

scholarly journals An Analysis of Consumer Preferences for Value-Added Seafood Products Derived from Crawfish

2002 ◽  
Vol 31 (2) ◽  
pp. 157-170 ◽  
Author(s):  
R. Wes Harrison ◽  
Timothy Stringer ◽  
Witoon Prinyawiwatkul
Keyword(s):  
Conjoint Analysis ◽  
Consumer Preferences ◽  
Value Added ◽  
Utility Functions ◽  
Ordered Probit ◽  
Probit Models ◽  
Seafood Products ◽  
Ordered Probit Models ◽  
Old Men

Conjoint analysis is used to evaluate consumer preferences for three consumer-ready products derived from crawfish. Utility functions are estimated using two-limit tobit and ordered probit models. The results show women prefer a baked nugget or popper type product, whereas 35- to 44-year-old men prefer a microwavable nugget or patty type product. The results also show little difference between part-worth estimates or predicted rankings for the tobit and ordered probit models, implying the results are not sensitive to assumptions regarding the ordinal and cardinal nature of respondent preferences.

Risk and risk management practices

2020 ◽  
Vol 11 (8) ◽  
pp. 1555-1581 ◽  
Author(s):  
Adel Elgharbawy
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Management Practices ◽  
Archival Data ◽  
Islamic Banks ◽  
Monitoring And Control ◽  
Content Type ◽  
Different Types ◽  
Conventional Banks ◽  
And Control

Purpose This study aims to compare types and levels of risk and risk management practices (RMPs) including the recognition, identification, assessment, analysis, monitoring and control of risk in both Islamic and conventional banks. Design/methodology/approach A questionnaire survey was conducted among the Islamic and conventional banks in Qatar, together with an analysis of archival data extracted from the Thomson Reuters Eikon database for the period 2009-2018. Data were analysed using descriptive statistics, ANOVA and regression analysis. Findings Islamic banks encounter unique types and levels of risk that are not encountered by conventional banks. In Islamic banks, risks such as those of operation and Sharia non-compliance are perceived to be higher, while in conventional banks other risks such as those of credit and insolvency are higher; other risks, for example, liquidity risk, are faced by both. RMPs are determined by understanding risk and risk management, risk identification, risk monitoring and control and credit risk analysis, but not by risk assessment and analysis. However, the RMPs of the two types of bank are not significantly different, except in the analysis of credit risk. Research limitations/implications The study contributes to the debate in the literature by developing a better understanding of the dynamism of risk management in Qatari banks, which can be extended to similar contexts in the region. However, the relatively small sample size in only one country limits the possibility of generalizing the findings. The survey methodology is based on the perception of bankers rather than their actual actions and does not provide in-depth analysis for each type of risk, especially credit risk. However, using archival data, in addition to those from the survey, minimises the bias that would result from depending on one source of data. Practical implications The study provides valuable insights into the different types and levels of risk, as well as the RMPs in Islamic and conventional banks, which can help in guiding the future development and regulation of risk management in the banking sector of Qatar and its region. Originality/value The study helps to explain the mixed results of previous studies that compare types and levels of risk and RMPs in Islamic and conventional banks. Using different types of data and analysis, it provides evidence from one of the fastest growing economies in the world. It also addresses the concerns over RMPs in banks since the global financial crisis.

scholarly journals A primer on counterparty valuation adjustments in South Africa

2014 ◽  
Vol 17 (5) ◽  
pp. 584-600
Author(s):  
Gary Wayne Van Vuuren ◽  
Ja'nel Esterhuysen
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Credit Risk ◽  
South African ◽  
Credit Spreads ◽  
Basel Iii ◽  
Credit Quality ◽  
Counterparty Credit Risk ◽  
Market Variables

Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads. Of the losses attributed to counterparty credit risk incurred during the financial crisis of 2008-9 were due to CVA risk; the remaining third were due to actual defaults. Regulatory authorities have acknowledged and included this risk in the new Basel III rules. The capital implications of CVA risk in the South African milieu are explored, as well as the sensitivity of CVA risk components to market variables. Proposed methodologies for calculating changes in CVA are found to be unstable and unreliable at high average spread levels.

scholarly journals Does competition only impact on insolvency risk? New evidence from the Chinese banking industry

2017 ◽  
Vol 13 (3) ◽  
pp. 332-354 ◽  
Author(s):  
Yong Tan ◽  
John Anchor
Keyword(s):  
Credit Risk ◽  
Commercial Banks ◽  
Banking Industry ◽  
Liquidity Risk ◽  
Empirical Literature ◽  
Content Type ◽  
Insolvency Risk ◽  
Chinese Banking Industry ◽  
The Impact ◽  
Chinese Banking

Purpose The purpose of this paper is to investigate the impact of competition on credit risk, liquidity risk, capital risk and insolvency risk in the Chinese banking industry during the period 2003-2013. Design/methodology/approach This study uses a generalized method of moments system estimator to examine the impact of competition on risk. In particular, translog specifications are used to measure the competition and insolvency risk. Findings The results show that greater competition within each bank ownership type (state-owned commercial banks, joint-stock commercial banks and city commercial banks) leads to higher credit risk, higher liquidity risk, higher capital risk, but lower insolvency risk. Originality/value This paper is the first piece of research testing the impact of competition on different types of risk in banking industry and it further contributes to the empirical literature by using a more accurate competition indicator (efficiency-adjusted Lerner index) and a more precise insolvency risk indicator (stability inefficiency).

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