scholarly journals France

2019 ◽  
Vol 19 (263) ◽  
Author(s):  
Keyword(s):  
Default Risk ◽  
Quantitative Method ◽  
Structural Model ◽  
Macroprudential Policy ◽  
Policy Makers ◽  
Actual Performance ◽  
Macroeconomic Variables ◽  
Financial Variables ◽  
Risk Dynamics ◽  
Policy Setting

Macroprudential policy setting faces the challenge of identifying growth of financial and macroeconomic variables above and below potential. The gaps between actual performance and potential are crucial for policy makers but are unobserved. This is especially true for financial variables such as capital and risk of default of borrowers (firms and banks) and lenders (banks and households). Against this backdrop, a macrofinancial structural model is presented that captures (i) sectoral dynamics of firms and banks and feedbacks between them, (ii) capital and default risk dynamics of each sector, (iii) capital and risk gaps i.e., deviations of capital and default risk from potential (the welfare maximizing optimum), and it provides (iv) a quantitative method for measurement.

scholarly journals Stress Testing and Calibration of Macroprudential Policy Tools

2020 ◽  
Vol 20 (165) ◽  
Author(s):  
Lucyna Gornicka ◽  
Laura Valderrama
Keyword(s):  
Default Risk ◽  
Stress Testing ◽  
Structural Model ◽  
Mortgage Lending ◽  
Macroprudential Policy ◽  
Loan Default ◽  
Structural Shocks ◽  
Policy Interventions ◽  
History Of ◽  
Tail Events

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks’ loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.

scholarly journals A Strategic Framework for Transformational Leadership Development in Megaprojects

2021 ◽  
Vol 13 (6) ◽  
pp. 3480
Author(s):  
Abdulla Abdulaziz Al-Subaie ◽  
Mohd. Nishat Faisal ◽  
Belaid Aouni ◽  
Faisal Talib
Keyword(s):  
Transformational Leadership ◽  
Leadership Development ◽  
Leadership Style ◽  
Structural Model ◽  
Project Success ◽  
Project Managers ◽  
Transformational Leaders ◽  
Policy Makers ◽  
Transformational Leadership Style ◽  
Interpretive Structural Model

Project managers’ leadership has a direct and an indirect effect on project success. Extant literature has established that transformational leadership style positively affects project success in a major way. The main aim of this research is to understand the variables that positively affects transformational leadership development and their interrelationships in megaprojects. The Total Interpretive Structural Model (TISM) methodology is adopted to propose a framework, and Impact Matrix Cross-Reference Multiplication Applied to a Classification (MICMAC) approach is used to examine the strategic nature of the enablers. The research shows that there exists a group of enablers having a high driving power and low dependence, requiring maximum attention and of strategic importance, while another group consists of those variables that have high dependence and are resultant actions. Furthermore, the model explains the relationships among each pair of variables. Organisations dealing in megaprojects would be the major beneficiaries of this study. Policy makers in these organisations would explicitly understand the variables and their interrelationships that needs attention for transformational leadership development. This would help them to prioritize their efforts and implement suitable strategies to focus on the most important variables for developing transformational leaders ultimately leading to project success.

Αποτίμηση κινδύνων των ευρωπαϊκών τραπεζών και συστήματα έγκαιρης προειδοποίησης

2018 ◽  
Author(s):  
Παντελής Σταυρούλιας
Keyword(s):  
Logistic Regression ◽  
Discriminant Analysis ◽  
Cross Validation ◽  
Multinomial Logistic Regression ◽  
Classification Tree ◽  
Probit Regression ◽  
Macroprudential Policy ◽  
Policy Makers ◽  
Out Of Sample ◽  
Sample Testing

Οι έγκυρες προβλέψεις χρηματοοικονομικών κρίσεων διασφάλιζαν ανέκαθεν την σταθερότητα τόσο ολόκληρου του χρηματοοικονομικού οικοδομήματος γενικότερα, όσο και του τραπεζικού τομέα ειδικότερα. Με την παρούσα διατριβή επιτυγχάνεται η πρόβλεψη συστημικών τραπεζικών κρίσεων για χώρες της EE-14 αρκετά τρίμηνα προτού αυτές γίνουν αντιληπτές με την χρησιμοποίηση των πιο διαδεδομένων μεταβλητών (μακροοικονομικών, τραπεζικών και αγοράς) μέσω δύο προσεγγίσεων, της δυαδικής και της πολυεπίπεδης. Ακολουθώντας τη δυαδική προσέγγιση, εξάγονται μοντέλα ταξινόμησης με την εφαρμογή της Διακριτής Ανάλυσης (Discriminant Analysis), της Γραμμικής Παλινδρόμησης (Linear Regression), της Λογιστικής Παλινδρόμησης (Logistic Regression) και της Παλινδρόμησης Πιθανοομάδας (Probit Regression), για την έγκαιρη πρόβλεψη των κρίσεων -12 έως -7 τρίμηνα πριν την εμφάνισή τους. Επιπροσθέτως, συγκρίνεται η απόδοση της ανωτέρω ανάλυσης χρησιμοποιώντας τις νεότερες και πλέον υποσχόμενες μεθόδους του Δέντρου Ταξινόμησης (Classification Tree), του Τυχαίου Δάσους (Random Forest) και της C5. Ταυτόχρονα προτείνεται ένα νέο μέτρο επιλογής κατωφλίων και απόδοσης προσαρμογής (GoF) των μοντέλων πρόβλεψης και μια νέα συνδυαστική (combined) μέθοδος ταξινόμησης. Προκειμένου να διερευνηθεί η απόδοση της ανωτέρω ανάλυσης, χρησιμοποιείται ο εκτός του δείγματος έλεγχος (out-of-sample testing) με τη μέθοδο της ανά χώρα σταυρωτής επικύρωσης (country-blocked cross validation). Σύμφωνα με τη μέθοδο αυτή, πραγματοποιείται η ανάλυση και εξάγονται τα μοντέλα πρόβλεψης με τη χρήση των δεκατριών από τις δεκατέσσερις χώρες του δείγματος (in-sample), εφαρμόζονται τα εξαγόμενα μοντέλα για την δέκατη τέταρτη χώρα που είχε εξαιρεθεί από το αρχικό δείγμα (out-of-sample) και ελέγχονται τα αποτελέσματα πρόβλεψης με τα πραγματικά δεδομένα της χώρας αυτής. Η παραπάνω διαδικασία επαναλαμβάνεται δεκατέσσερις φορές, αφήνοντας δηλαδή κάθε φορά μια χώρα εκτός δείγματος και τελικά εξάγεται ο μέσος όρος των επαναλήψεων. Στην παρούσα διατριβή, και χρησιμοποιώντας τον εκτός του δείγματος έλεγχο, επιτυγχάνεται η κατά 82.4% σωστή ταξινόμηση (Ακρίβεια – Accuracy), 78.4% ποσοστό Αληθινών Θετικών (Τrue Ρositive Rate - TPR) και 80.6% ποσοστό Θετικής Τιμής Πρόβλεψης (Positive Predictive Value - PPV). Σύμφωνα με την πολυεπίπεδη προσέγγιση, διακρίνονται δύο επίπεδα-περίοδοι πρόβλεψης των Συστημικών Τραπεζικών Κρίσεων. Το πρώτο επίπεδο ονομάζεται έγκαιρη πρόβλεψη (early warning) και αφορά περίοδο -12 έως -7 τρίμηνα πριν την έλευση της κρίσης ενώ το δεύτερο επίπεδο ονομάζεται καθυστερημένη πρόβλεψη (late warning) και αφορά περίοδο -6 έως -1 τρίμηνα πριν την έλευση της κρίσης. Για την πολυεπίπεδη αυτή ταξινόμηση, γίνεται χρήση των Νευρωνικών Δικτύων (Neural Networks), της Πολυωνυμικής Λογιστικής Παλινδρόμησης (Multinomial Logistic Regression) και της Πολυεπίπεδης Γραμμικής Διακριτής Ανάλυσης (Multinomial Discriminant Analysis). Εφαρμόζοντας τον ίδιο εκτός του δείγματος έλεγχο με την πρώτη προσέγγιση επιτυγχάνεται η κατά 85.7% σωστή ταξινόμηση με την βέλτιστη μέθοδο που αποδεικνύεται ότι είναι η Πολυεπίπεδη Γραμμική Διακριτή Ανάλυση. Εφαρμόζοντας την ανωτέρω ανάλυση, οι ενδιαφερόμενοι φορείς άσκησης πολιτικής (policy makers) μπορούν να ανιχνεύσουν την ύπαρξης κρίσης σε βάθος χρόνου έως τριών ετών με τα προτεινόμενα μοντέλα, χρησιμοποιώντας μόνο δεδομένα που υπάρχουν ελεύθερα προσβάσιμα στο κοινό, ασκώντας με τον τρόπο αυτό την κατάλληλη ανά περίπτωση μακροπροληπτική πολιτική (macroprudential policy).

scholarly journals The Development of MSMEs International Networks through Internationalization

2020 ◽  
Vol 86 ◽  
pp. 01022
Author(s):  
M. Elfan Kaukab
Keyword(s):  
International Business ◽  
Social Factors ◽  
Network Theory ◽  
Structural Model ◽  
Social Determinant ◽  
Management Theory ◽  
Network Growth ◽  
Policy Makers ◽  
Central Java ◽  
Entrepreneurial Cognition

This article studies the effects of relationship bonding, entrepreneurial cognition, and market dynamism towards internationalization and their impacts in MSMEs network growth. This article examines hypotheses derived from theory and research employing structural model analysis in 150 exporting-MSMEs in Central Java province, Indonesia. This research reveals that relationship bonding influences internationalization while entrepreneurial cognition and market dynamism do not. Internationalization affects the MSMEs network growth. This leads to the finding that MSMEs internationalization in Central Java, Indonesia is promoted more by social factors instead of individual and macro environment, while network growth is stimulated by individual and macro environment instead of social factors. Social determinant directs internationalization and individual and macro determinant regulates network expansion. The implementation of network theory and ecosystem management theory to comprehend MSMEs internationalization and network growth. This research provides supports to encourage educators and policy makers upgrade the skills of MSMEs practitioners in developing international business. This research compares social perspective, individual perspective, and macro environment in an empirical study in a developing country. This research offers solution to comprehend internationalization and network growth involving market dynamism and entrepreneurial cognition as well as bonding relationship as determinants.

scholarly journals The impact of bank-specific and macroeconomic variables on profitability of Islamic rural bank in Indonesia

2019 ◽  
Vol 5 (3) ◽  
Author(s):  
Muhammad Sanusi
Keyword(s):  
Banking Sector ◽  
Time Series Data ◽  
Series Data ◽  
Estimation Model ◽  
Policy Makers ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
The Impact

This paper investigates the impact of bank-specific and macroeconomic variables on the profitability of Islamic rural bank (BPRS) in Indonesia. Using monthly time series data from January 2010 - December 2018. The estimation model used is a vector error correction model to analyze the long-term and short-term relationships between bank-specific and macroeconomic variables on the profitability of Islamic rural bank. The results showed that CAR and LnTA had a significant positive relationship, while NPF, BOPO and IPI had a negative and significant relationship to the profitability of Islamic rural banks. But FDR and Inflation variables are not significantly related to the profitability of Islamic rural bank. The results leave implications for policy makers, investors and banking sector managers. Based on evidence that bank profitability is more influenced by internal banks (as specific as banks), this research can help Islamic rural banks to help them understand which factors are important to be analyzed to obtain higher profitability.

Systemic risk in ASEAN-6: a new empirical investigation

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Trung Hai Le
Keyword(s):  
Empirical Evidence ◽  
Systemic Risk ◽  
Business Models ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Macroprudential Policy ◽  
Content Type ◽  
Risk Dynamics ◽  
Asean Countries ◽  
Book Values

PurposeThe authors provide a comprehensive study on systemic risk of the banking sectors in the ASEAN-6 countries. In particular, they investigate the systemic risk dynamics and determinants of 49 listed banks in the region over the 2000–2018 period.Design/methodology/approachThe authors employ the market-based SRISK measure of Brownlees and Engle (2017) to investigate the systemic risk of the ASEAN-6's banking sectors.FindingsThe authors find that the regional systemic risk fluctuates significantly and currently at par or higher level than that of the recent global financial crisis. Systemic risk is generally associated with banks that have bigger size, more traditional business models, lower quality in their loan portfolios, less profitable and with lower market-to-book values. However, these relationships vary significantly between ASEAN countries.Research limitations/implicationsThe research focuses on the systemic risk of ASEAN-6 countries. Therefore, the research results may lack generalizability to other countries.Practical implicationsThe authors’ empirical evidence advocates the use of capital surcharges on the systemically important financial institutions. Although the region has been pushing to higher financial integration in recent years, the authors encourage the regional regulators to account for the idiosyncratic characteristics of their banking sectors in designing effective macroprudential policy to contain systemic risk.Originality/valueThis paper provides the first study on the systemic risk of the ASEAN-6 region. The empirical evidence on the drivers of systemic risk would be of interest to the regional regulators.

Banks’ Risk Dynamics and Distance to Default

2019 ◽  
Vol 33 (6) ◽  
pp. 2421-2467 ◽  
Author(s):  
Stefan Nagel ◽  
Amiyatosh Purnanandam
Keyword(s):  
Default Risk ◽  
Structural Models ◽  
Return Volatility ◽  
Usual Assumption ◽  
Asset Volatility ◽  
Risk Dynamics ◽  
Asset Values ◽  
Distance To Default ◽  
Bank Equity ◽  
Risky Debt

Abstract We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of lognormally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims with concave payoffs. Because of the payoff nonlinearity, bank asset volatility rises following negative shocks to borrower asset values. As a result, standard structural models with constant asset volatility can severely understate banks’ default risk in good times when asset values are high. Additionally, bank equity return volatility is much more sensitive to negative shocks to asset values than in standard structural models.

Analysing the 3PL service provider’s evaluation criteria through a sustainable approach

2019 ◽  
Vol 68 (5) ◽  
pp. 958-980 ◽  
Author(s):  
Bhaskar B. Gardas ◽  
Rakesh D. Raut ◽  
Balkrishna E. Narkhede
Keyword(s):  
Structural Model ◽  
Evaluation Criteria ◽  
Third Party ◽  
Original Research ◽  
Policy Makers ◽  
Content Type ◽  
Expert Opinions ◽  
Quality Certification ◽  
Efficient Selection ◽  
Selection Of

Purpose The purpose of this paper is to identify and model the evaluation criteria for the selection of third-party logistics service provider (3PLSP) by an interpretive structural modelling (ISM) approach in the pharmaceutical sector. Design/methodology/approach Delphi technique was used for identifying the most significant criteria, and the ISM method was employed for developing the interrelationship among the criteria. Also, the critical criteria for having high influential power were identified by using the Matrice d’Impacts Croisés Multiplication Appliqués à un Classement analysis. Findings The most significant factors, namely, capability of robust supply network/distribution network, quality certification and health safety, service quality and environmental quality certifications, were found to have a high driving power, and these factors demand the maximum attention of the decision makers. Research limitations/implications As the ISM approach is a qualitative tool, the expert opinions were used for developing the structural model, and the judgments of the experts could be biased influencing the reliability of the model. The developed hierarchical concept is proposed to help the executives, decision and policy makers in formulating the strategies and the evaluation of sustainable 3PLSP. Originality/value It is an original research highlighting the association between the sustainable 3PLSP evaluation criteria by employing ISM tool in the pharmaceutical industry. This paper will guide the managers in understanding the importance of the evaluation criteria for the efficient selection of 3PLSP.

Sign in / Sign up

Export Citation Format

Share Document