dunnettreader + risk_management   38

Understanding the Surge in Commercial Real Estate Lending - Economic Brief, August 2017 | Richmond FRB
HELEN FESSENDEN AND CATHERINE MUETHING
U.S. banks have increased their commercial real estate (CRE) lending significantly in the past five years. Economists and regulators note that some positive factors are driving this trend, but they also see potential risks. Analysts at the Richmond Fed have found that some banks could be especially vulnerable if economic conditions deteriorate. These include institutions that are in certain major urban areas and have high concentrations of CRE loans, rapid CRE loan growth, and heavy reliance on "noncore" (or illiquid) funding. But the analysts also conclude that, overall, banks' CRE exposures do not appear to be as elevated as they were before the Great Recession.
commercial_real_estate  liquidity  risk_management  credit_booms  leverage  mortgages  financial_regulation  real_estate  Great_Recession  business_cycles  financial_crisis  Evernote  banking 
august 2017 by dunnettreader
Gary Gorton
Mobile Collateral versus Immobile Collateral
Gary Gorton, Tyler Muir
NBER Working Paper No. 22619
Issued in September 2016
NBER Program(s):   AP   CF   DAE   EFG   ME
In the face of the Lucas Critique, economic history can be used to evaluate policy. We use the experience of the U.S. National Banking Era to evaluate the most important bank regulation to emerge from the financial crisis, the Bank for International Settlement's liquidity coverage ratio (LCR) which requires that (net) short-term (uninsured) bank debt (e.g. repo) be backed one-for-one with U.S. Treasuries (or other high quality bonds). The rule is narrow banking. The experience of the U.S. National Banking Era, which also required that bank short-term debt be backed by Treasury debt one-for-one, suggests that the LCR is unlikely to reduce financial fragility and may increase it.
NBFI  NBER  financial_stability  risk_management  collateral  financial_economics  capital_markets  bad_regulation  leverage  financial_system  risk-systemic  paywall  money_market  banking  paper  financial_regulation  BIS 
october 2016 by dunnettreader
Henry Farrell - Privatization as State Transformation — Crooked Timber - Sept 2016
This account helps explain not only why key parts of the state have become privatized or semi-privatized, being put out to private operators, but why states are increasingly relying on private systems of ordering. It shows how the privatization of governance spans the international sphere as well as domestic politics, since international and cross-national forms of regulation have sometimes been partly privatized, and sometimes structured so as to provide private entities with new opportunities to challenge government decisions. Finally, it provides the basis for a specific normative critique of privatization. Here, I do not try to evaluate whether the economy works worse, or better, after privatization than it did in an era when the state exercised control through ownership rather than regulation. Instead, more simply, I show that privatization did not work as its enthusiasts argued and believed that it would, looking to evaluate it in terms of its own promises. Rather than pushing back the state, and replacing political inefficiency with the competitive disciplines of the market, it has replaced one form of political control with another. -- downloaded via iPhone to DBOX
competition-political  political_science  efficiency  political_change  downloaded  international_organizations  international_political_economy  IR-domestic_politics  hierarchy  accountability  reform-political  competition  political_economy  risk_management  paper  government-forms  political_sociology  political_order  politics-and-money  political_discourse  privatization  organizations  decision_theory  bureaucracy  political_culture 
october 2016 by dunnettreader
Centre for the Study of Existential Risk - Cambridge
The Centre for Study of Existential Risk is an interdisciplinary research centre focused on the study of human extinction-level risks that may emerge from technological advances. We aim to combine key insights from the best minds across disciplines to tackle the greatest challenge of the coming century: safely harnessing our rapidly-developing technological power. Our current major research projects include Managing Extreme Technological Risk (supported by the Templeton World Charity Foundation) and Extreme Risks and the Global Environment (supported by the Grantham Foundation), as well as our Blavatnik Public Lecture series and the Hauser-Raspe workshop series
website  risk  risk-systemic  risk_assessment  risk_management  risk-mitigation  environment  climate  technology  innovation-risk_management  Innovation  robotics  AI  video 
august 2016 by dunnettreader
Hanson, Shleifer, Stein & Vishny - Banks as patient fixed-income investors (2015) | Andrei Shleifer - J of Fin Econ
Hanson, Samuel, Andrei Shleifer, Jeremy C Stein, and Robert W Vishny. 2015. “Banks as patient fixed-income investors.” Journal of Financial Economics 117 (3): 449-469.
We examine the business model of traditional commercial banks when they compete with shadow banks. While both types of intermediaries create safe “money-like” claims, they go about this in different ways. Traditional banks create money-like claims by holding illiquid fixed-income assets to maturity, and they rely on deposit insurance and costly equity capital to support this strategy. This strategy allows bank depositors to remain “sleepy”: they do not have to pay attention to transient fluctuations in the market value of bank assets. In contrast, shadow banks create money-like claims by giving their investors an early exit option requiring the rapid liquidation of assets. Thus, traditional banks have a stable source of funding, while shadow banks are subject to runs and fire-sale losses. In equilibrium, traditional banks have a comparative advantage at holding fixed-income assets that have only modest fundamental risk but are illiquid and have substantial transitory price volatility, whereas shadow banks tend to hold relatively liquid assets. -- downloaded via iPhone to DBOX
article  institutional_investors  banking  shadow_banking  NBFI  long-term  equity  liquidity  bond_markets  money_market  deposits  risk-systemic  investment  downloaded  asset_prices  insolvency  risk_management  capital_adequacy 
august 2016 by dunnettreader
Bordalo, Gennaioli and Shleifer - Salience and Asset Prices (2013) | Andrei Shleifer - Am Econ Rev Papers
Bordalo, Pedro, Nicola Gennaioli, and Andrei Shleifer. 2013. “Salience and Asset Prices.” American Economic Review Papers and Proceedings 103 (3): 623-628. -- In Bordalo, Gennaioli, and Shleifer (2012a)— henceforth, BGS (2012a)—we described a new approach to choice under risk that we called salience theory. In comparisons of risky lotter- ies, we argued, individuals’ attention is drawn to those payoffs which are most different or salient relative to the average. In making choices, indi- viduals overweight these salient payoffs relative to their objective probabilities. A simple for- malization of such salience-based probability weighting provides an intuitive account of a vari- ety of puzzling evidence in decision theory, such as Allais paradoxes and preference reversals.
Salience theory naturally lends itself to the analysis of the demand for risky assets. After all, risky assets are lotteries evaluated in a context described by the alternative investments avail- able in the market. An asset’s salient payoff is naturally de ned as one most different from the average market payoff in a given state of the world. We present a simple model of inves- tor choice and market equilibrium in which salience in uences the demand for risky assets. This model accounts for several time series and cross-sectional puzzles in nance in an intuitive way, based on its key implication that extreme payoffs receive disproportionate weight in the market valuation of assets. -- downloaded via iPhone to DBOX
downloaded  risk_management  investors  investment  cognitive_bias  behavioral_economics  article  cognition  risk  heuristics  asset_prices 
august 2016 by dunnettreader
Olivier Blanchard & Michael Kremer - Disorganization - Quarterly Journal of Economics (1997)
Abstract
Under central planning, many firms relied on a single supplier for critical inputs. Transition has led to decentralized bargaining between suppliers and buyers. Under incomplete contracts or asymmetric information, bargaining may inefficiently break down, and if chains of production link many specialized producers, output will decline sharply. Mechanisms that mitigate these problems in the West, such as reputation, can only play a limited role in transition. The empirical evidence suggests that output has fallen farthest for the goods with the most complex production process, and that disorganization has been more important in the former Soviet Union than in Central Europe. - downloaded via iPhone to DBOX
trust  Russia  information-asymmetric  20thC  privatization  industrialization  reputation  Eastern_Europe  risk_management  article  Central_Asia  economic_history  information-markets  transition_economies  supply_chains  manufacturing  downloaded  post-Cold_War 
august 2016 by dunnettreader
Dewatripont, M. and Rochet, J., Tirole, J. - Balancing the Banks: Global Lessons from the Financial Crisis (orig 2010) - Princeton University Press
The financial crisis that began in 2007 in the United States swept the world, producing substantial bank failures and forcing unprecedented state aid for the crippled global financial system. Bringing together three leading financial economists to provide an international perspective, Balancing the Banks draws critical lessons from the causes of the crisis and proposes important regulatory reforms, including sound guidelines for the ways in which distressed banks might be dealt with in the future.

While some recent policy moves go in the right direction, others, the book argues, are not sufficient to prevent another crisis. The authors show the necessity of an adaptive prudential regulatory system that can better address financial innovation. Stressing the numerous and complex challenges faced by politicians, finance professionals, and regulators, and calling for reinforced international coordination (for example, in the treatment of distressed banks), the authors put forth a number of principles to deal with issues regarding the economic incentives of financial institutions, the impact of economic shocks, and the role of political constraints.

Offering a global perspective, Balancing the Banks should be read by anyone concerned with solving the current crisis and preventing another such calamity in the future.
Downloaded Chapters 1 & 2 to Tab S2
books  kindle-available  downloaded  financial_system  financial_regulation  financial_crisis  banking  bank_runs  shadow_banking  capital_markets  capital_flows  capital_adequacy  liquidity  risk_management  incentives-distortions  incentives  international_finance  global_governance  regulatory_arbitrage  regulatory_avoidance  regulation-costs  regulation-enforcement  regulation-harmonization  regulation 
august 2016 by dunnettreader
J Oldfather, S Gissler & D Ruffino - Bank Complexity: Is Size Everything? | FRB: FEDS Notes: July 2016
Jeremy Oldfather, Stefan Gissler, and Doriana Ruffino - Can we measure the complexity of large banks by comparing their balance sheets? The Basel Committee on Banking Supervision (BCBS) acknowledges that we cannot, but it stops short of defining alternative non-balance-sheet measures.1 In this note, we propose a network-based analysis to study the structural complexity of banks through publicly available data on the structure of large U.S. banks. We show that our analysis is also informative more broadly for tailoring bank resolution plans. - interesting use of network graphs - downloaded to Tab S2
paper  Fed  financial_system  financial_regulation  financial_crisis  capital_adequacy  banking-universal  bank_holding_cos  networks-architecture  networks-financial  risk_management  complexity  downloaded 
july 2016 by dunnettreader
William T. Lynch - Steve Fuller’s Account of Knowledge as a Divine Spark for Human Domination (pages 191-205) | Symposion. Theoretical and Applied Inquiries in Philosophy and Social Sciences - April 2016
ABSTRACT: In his new book, Knowledge: The Philosophical Quest in History, Steve Fuller returns to core themes of his program of social epistemology that he first outlined in his 1988 book, Social Epistemology. He develops a new, unorthodox theology and philosophy building upon his testimony in Kitzmiller v. Dover Area School District in defense of intelligent design, leading to a call for maximal human experimentation. Beginning from the theological premise rooted in the Abrahamic religious tradition that we are created in the image of God, Fuller argues that the spark of the divine within us distinguishes us from animals. I argue that Fuller’s recent work takes us away from key insights of his original work. In contrast, I advocate for a program of social epistemology rooted in evolutionary science rather than intelligent design, emphasize a precautionary and ecological approach rather than a proactionary approach that favors risky human experimentation, and attend to our material and sociological embeddedness rather than a transhumanist repudiation of the body. - Asst Prof of History at Wayne State - 2001 Stanford book on early Riyal Society
theodicy  anthropocentrism  posthumanism  intelligent_design  gnostic  downloaded  sociology_of_knowledge  books  Innovation  Darwinism  risk_management  risk-mitigation  imago_dei  transhumanism  populism  social_costs  article  epistemology-social  norms  technology  social_contract  constructivism  sociology_of_science_ 
may 2016 by dunnettreader
Steve Cecchetti and Kim Schoenholtz - Liquidity Runs - April 2016
"We do not want to face Bear." Email from a Goldman employee to a hedge fund manager, March 11, 2008 ( Financial Crisis Inquiry Report , p. 288) Despite mixed…
Instapaper  financial_system  financial_crisis  liquidity  insolvency  financial_system-government_back-stop  contagion  clearing_&_settlement  risk_assessment  risk_management  risk-systemic  from instapaper
may 2016 by dunnettreader
Avinash Persaud - A blueprint for overcoming systemic risk | VOX, CEPR’s Policy Portal - 20 November 2015
As the recent Financial Stability Board decision on loss-absorbing capital shows, repairing the financial system is still a work in progress. This column reviews the author’s new book on the matter, Reinventing Financial Regulation: A Blueprint for Overcoming Systemic Risks. It argues that financial institutions should be required to put up capital against the mismatch between each type of risk they hold and their natural capacity to hold that type of risk. -- downloaded as pdf to Note
books  financial_regulation  financial_crisis  risk-systemic  risk_shifting  risk_management  risk_assessment  leverage  hedging  capital_adequacy  shadow_banking  liquidity  risk_premiums  firesales  banking  banking-universal  credit_ratings  balance_sheet  international_finance  maturity_transformation  downloaded 
november 2015 by dunnettreader
Emily Erikson : Between Monopoly and Free Trade: The English East India Company, 1600–1757 | Princeton University Press
The EIF was one of the most powerful and enduring organizations in history. "Between Monopoly and Free Trade" locates the source of that success in the innovative policy by which the Court of Directors granted employees the right to pursue their own commercial interests while in the firm’s employ. Exploring trade network dynamics, decision-making processes, and ports and organizational context, Emily Erikson demonstrates why the EIC was a dominant force in the expansion of trade between Europe and Asia, and she sheds light on the related problems of why England experienced rapid economic development and how the relationship between Europe and Asia shifted in the 18thC and 19thC.(..) Building on the organizational infrastructure of the Company and the sophisticated commercial institutions of the markets of the East, employees constructed a cohesive internal network of peer communications that directed English trading ships during their voyages. This network integrated Company operations, encouraged innovation, and increased the Company’s flexibility, adaptability, and responsiveness to local circumstance. -- assistant professor in the department of sociology and the school of management (by courtesy) at Yale University, as well as a member of the Council of South Asian Studies. -- excerpt Chapter 1 downloaded pdf to Note
books  kindle-available  buy  economic_history  business_history  17thC  18thC  19thC  British_history  British_Empire  British_foreign_policy  colonialism  imperialism  networks-business  networks-political  networks-information  networks-social  India  Indian_Ocean  Central_Asia  Chinese_history  China-international_relations  monopolies  trading_companies  trading_privileges  VOC  East_India_Company  trade  trade_finance  shipping  ports  British_Navy  business-and-politics  business_practices  business_influence  business-norms  nabobs  MPs  Board_of_Trade  Parliament  entrepreneurs  organizations  firms-structure  firms-organization  consumer_revolution  exports  Navigation_Acts  Anglo-Dutch_wars  French_foreign_policy  competition-interstate  risk-mitigation  risk_management  corporate_governance  corporate_citizenship  downloaded 
july 2015 by dunnettreader
Financial Market Trends - OECD Journal - Home page | OECD
‌The articles in Financial Market Trends focus on trends and prospects in the international and major domestic financial markets and structural issues and developments in financial markets and the financial sector. This includes financial market regulation, bond markets and public debt management, insurance and private pensions, as well as financial statistics. -- links to the contents of each issue of the journal
journal  website  paper  financial_system  global_economy  global_system  financial_regulation  financial_crisis  capital_markets  risk-systemic  international_finance  banking  NBFI  insurance  markets-structure  risk_assessment  risk_management  sovereign_debt  corporate_finance  corporate_governance  institutional_investors  pensions  consumer_protection  equity-corporate  equity_markets  debt  debt-overhang  leverage  capital_flows  capital_adequacy  financial_economics  financial_innovation  financial_system-government_back-stop  bailouts  too-big-to-fail  cross-border  regulation-harmonization  regulation-costs  statistics 
july 2015 by dunnettreader
Sáni Zou, et al -Mainstreaming Climate Change into Financial Governance: Rationale and Entry Points | CIGI June 17, 2015
Sáni Zou, Romain Morel, Thomas Spencer, Ian Cochran, and Michel Colombier -- Fixing Climate Governance Policy Brief No. 5 -- Today, the financial sector is exposed to the physical risks associated with climate change and the impact of climate policies. Securing global financial and economic stability and scaling up low-carbon, climate-resilient investments are not conflicting, but rather mutually reinforcing, objectives. The fifth policy brief in the Fixing Climate Governance series argues that while crucial, classic climate policies do not appear sufficient to address the challenges from climate change that the financial sector is facing. Policies affecting and instruments matching the demand side and supply side of finance need to be aligned with climate objectives to efficiently shift investments toward a low-carbon, climate-resilient economy. Once the link between climate change and the mandates of international financial sector governance and regulatory institutions is understood, the existing tool kits and processes of these institutions — common standards, principles and guidelines with various levels of legal force, country surveillance and technical assistance — present entry points to mainstream climate-related risks and opportunities into their core operations. -- didn't download
paper  green_finance  international_finance  financial_regulation  financial_innovation  risk_assessment  risk_management  climate  investment-socially_responsible  sustainability 
july 2015 by dunnettreader
Olaf Merk - The Impact of Mega-Ships | OECD Insights Blog - June 2015
Ports and Shipping, International Transport Forum (ITF) at the OECD. -- A new publication by the ITF assesses the impacts of these giant container ships. -- Our research casts serious doubts over whether this capacity can in fact be filled. We found a disconnect between what is going on in the boardrooms of shipping lines and the real world. -- There are also several supply chain costs and risks related to mega-ships. There are adaptations needed to infrastructure and equipment: ...cranes, quays, access channels... Mega-ships stay on average 20% longer in ports – ... this requires massive efforts to accommodate these longer-stay guests. The higher risks associated with mega-ships are linked to difficulties in insuring and salvaging ... (..)more cargo is concentrated on a single ship, leading to lower service frequencies and lower supply chain resilience (..) decision-making by ports and countries should be more balanced. Many public policies stimulate mega-ship use, but public benefits are limited whereas public costs can be high. This should change, first by aligning incentives to public interests. For example, not to have port tariffs that cross-subsidise mega-ships, to clarify state aid rules for ports, increase their financial transparency and possibly link state aid for shipping companies to commitments to share in certain costs (e.g. dredging). Another way would be to increase collaboration at regional level, between countries, ports and regulators. This might include coordination of port development and investment, possibly port mergers and more national or supra-national planning and focus. -- didn't download
report  OECD  global_economy  transport  maritime_issues  shipping  ports  infrastructure  supply_chains  risk_management  insurance  trade-policy  globalization  regional_blocs  regulation-harmonization  labor_standards 
july 2015 by dunnettreader
Sticky Covenants by Gus De Franco, Florin P. Vasvari, Dushyantkumar Vyas, Regina Wittenberg Moerman :: SSRN ( rev'd Jan 2014)
Gus De Franco, U of Toronto, Rotman School of Management; Florin P. Vasvari, London Business School; Dushyantkumar Vyas, Rotman School of Management; Regina Wittenberg Moerman, U of Chicago, Booth School of Business -- We examine the determinants of the strength of bond covenants in protecting bondholders’ interests using a unique dataset constructed by Moody’s that allows us to measure the restrictiveness of bond covenant packages beyond the covenant inclusion measures used in the prior literature. We find that the covenant restrictiveness of a bond is highly persistent over time: it is strongly associated with the covenant restrictiveness of the borrower’s previous bond issues. We show that this persistence is driven by the restrictiveness of the covenant packages in previous bonds arranged by the firm’s underwriter or advised by the firm’s and underwriter’s legal counsels, consistent with these debt market intermediaries facing high switching costs in changing bond contractual terms. The restrictiveness of covenants in bonds issued by industry peers is another driver of the persistence, suggesting that covenants are written to facilitate bonds’ comparability. We next document that the bond covenant restrictiveness changes only when the borrower experiences a significant decline in its creditworthiness or when there is a substantial tightening in the credit supply in the economy. We also show that secondary bond market investors discount bond prices when bond covenants’ restrictiveness remains persistent despite a substantial decline in a borrower’s creditworthiness since the previous bond issue. PDF File: 64 -- Covenants, Covenant Restrictiveness, Persistence, Secondary Bond -- saved to briefcase
paper  SSRN  capital_markets  corporate_finance  bond_markets  risk  risk_management  asset_prices  spreads  risk_assessment  credit_ratings  covenants  intermediation  primary_markets  secondary_markets  creditors 
july 2015 by dunnettreader
Michael Minnis, Andrew G. Sutherland - Financial Statements as Monitoring Mechanisms: Evidence from Small Commercial Loans :: SSRN February 1, 2015
Both at University of Chicago - Booth School of Business -- We examine when banks use financial statements to monitor small commercial firms. Theoretical research offers competing predictions surrounding the use of financial statements as a monitoring device in such settings where reporting between firms and banks is not mandated. Using a proprietary dataset of bank information requests after loan initiation, we examine these predictions and find that financial statements are requested for only half of the loans in the sample. This variation is mediated by borrower credit risk, contracting mechanisms, such as collateral, and alternative information sources, such as tax returns. However, the relations we identify are not straightforward — the relation between borrower risk and financial statement requests is nonlinear and financial statements can be both substitutes and complements to the alternative mechanisms. Collectively, our results provide novel evidence of the fundamental demand for financial reporting in the small commercial loan market and the manner in which banks fulfill their role as delegated monitors. -- PDF File: 50 -- Keywords: loan monitoring, financial contracting, collateral, debt, relationship lending, taxes -- saved to briefcase
paper  SSRN  banking  SMEs  access_to_finance  credit  collateral  relationship_lending  intermediation  risk_management  risk_assessment  accounting  disclosure  credit_ratings 
july 2015 by dunnettreader
The Contribution of Bank Regulation and Fair Value Accounting to Procyclical Leverage by Amir Amel-Zadeh, Mary E. Barth, Wayne R. Landsman :: SSRN ( rev'd June 19, 2015)
Amir Amel-Zadeh, University of Cambridge, Judge Business School; Mary E. Barth, Stanford, Graduate School of Business; Wayne R. Landsman, U of North Carolina Kenan-Flagler Business School -- Rock Center for Corporate Governance at Stanford University Working Paper No. 147 -- Our analytical description of how banks’ responses to asset price changes can result in procyclical leverage reveals that for banks with a binding regulatory leverage constraint, absent differences in regulatory risk weights across assets, leverage is not procyclical. For banks without a binding constraint, fair value and bank regulation both can contribute to procyclical leverage. Empirical findings based on a large sample of US commercial banks reveal that bank regulation explains procyclical leverage for banks facing a binding regulatory leverage constraint and contributes to procyclical leverage for those that do not. Fair value accounting does not contribute to procyclical leverage. -- PDF File: 46 -- Keywords: Fair value accounting, procyclicality, leverage, risk-based capital regulation, financial institutions, commercial banks -- saved to briefcase
paper  SSRN  financial_system  financial_regulation  banking  capital_adequacy  leverage  procyclical  countercyclical_policy  macroprudential_regulation  risk  risk_management  asset_prices  firesales  accounting  financial_crisis  bubbles  Basle  international_finance 
july 2015 by dunnettreader
Steve Cecchetti and Kim Schoenholtz - Dodd-Frank: Five Years After — Money, Banking and Financial Markets - June 2015
On July 21, 2010, President Obama signed the Dodd-Frank Wall Street Reform and Consumer Protection Act (hereafter, DF), the most sweeping financial regulatory… Very good roundup of the holes that are left, the inability to force a coherent inter-agency approach to key risk regulation areas (e.g. the Financial Stability Oversight couldn't force the SEC to write adequate Money Market Funds reg, making it even worse than before the crisis), and the areas where regs are excessively complex, costly etc -- so they either won't do the job (and regulators will wind up making ad hoc exceptions because they're not workable) or their going to get gamed. Basically comes down to the age-old problem of regulation by institutional form rather than by function. The financial crisis was the best chance we had to rationalize the system, and Paulson had Treasury working on a proposal to do just that, but it got trashed when the financial system blew up and everybody was battling for narrow interests in a crisis atmosphere with inflamed populist politics -- only thing positive was finally getting rid of OCC. I do think they're unnecessarily suspicious of the new consumer protection agency -- given that a full overhaul wasn't possible, somebody needs to be responsible for looking out for consumers, since the main regulators are focused on financial risk issues at the institutional or system level.
Instapaper  US_economy  US_politics  financial_regulation  financial_crisis  Fed  SEC  banking  capital_markets  government_agencies  risk  risk-systemic  risk_management  NBFI  shadow_banking  money_market  institutional_investors  consumer_protection  leverage  capital_adequacy  inter-agency  liquidity  arbitrage  markets-structure  intermediation  financial_instiutions  financial_system-government_back-stop  from instapaper
june 2015 by dunnettreader
Andrew W. Lo - The Gordon Gekko Effect: The Role of Culture in the Financial Industry | NBER June 2015
NBER Working Paper No. 21267 -- Culture is a potent force in shaping individual and group behavior, yet it has received scant attention in the context of financial risk management and the recent financial crisis. I present a brief overview of the role of culture according to psychologists, sociologists, and economists, and then present a specific framework for analyzing culture in the context of financial practices and institutions in which three questions are answered: (1) What is culture?; (2) Does it matter?; and (3) Can it be changed? I illustrate the utility of this framework by applying it to five concrete situations—Long Term Capital Management; AIG Financial Products; Lehman Brothers and Repo 105; Société Générale’s rogue trader; and the SEC and the Madoff Ponzi scheme—and conclude with a proposal to change culture via “behavioral risk management.” -- check SSRN
paper  paywall  SSRN  financial_instiutions  business_practices  business-norms  risk_management  economic_culture  financial_crisis  financial_regulation  incentives  incentives-distortions  social_psychology  economic_sociology  firms-structure  firms-organization 
june 2015 by dunnettreader
Georges Gloukoviezoff - Les banques face à leurs clients: Salariés de banque et inclusion bancaire | La Vie des idées - 28 janvier 2013
English translation March 2014 -- http://www.booksandideas.net/When-French-Banks-Encounter-their.html -- Most banks have now abandoned their previous function of providing advice. Instead, they view their services as products designed to maximize profits. They have started invoking the client’s autonomy as a way of passing on the risk of financial exclusion to their customers. In what ways have bank employees reacted to these new circumstances? -- Georges Gloukoviezoff est docteur en économie et spécialiste des questions d’inclusion financière des particuliers. Il est membre de l’Observatoire national de la pauvreté et de l’exclusion sociale. Il a publié en octobre 2010 aux Presses Universitaires de France "L’Exclusion bancaire. Le Lien social à l’épreuve de la rentabilité". Il tient également un blog sur la page d’Alternatives Economiques. -- downloaded French version as pdf to Note
article  France  financial_system  banking  access_to_finance  access_to_services  labor  labor-service_sector  consumer_protection  risk_management  risk_shifting  knowledge_economy  knowledge_workers  financial_innovation  advisory_services  business_practices  business-norms  profit  profit_maximization  financial_regulation  customer_relations  exclusion  exclusion-economic  economic_sociology  poverty  workforce  know-how  services  services-worker_autonomy  managerialism  productivity  incentives-distortions  consumer-know-how  downloaded 
june 2015 by dunnettreader
Pedro Gurrola-Perez and David Murphy - :Filtered historical simulation Value-at-Risk models and their competitors | Bank of England - Working Paper No. 525 March 2015-
Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered historical simulation VaR models have become popular tools due to their ability to incorporate information on recent market returns and thus produce risk estimates conditional on them. These estimates are often superior to the unconditional ones produced by the first generation of VaR models. This paper explores the properties of various filtered historical simulation models. We explain how these models are constructed and illustrate their performance, examining in particular how filtering transforms various properties of return distribution. The procyclicality of filtered historical simulation models is also discussed and compared to that of unfiltered VaR. A key consideration in the design of risk management models is whether the model’s purpose is simply to estimate some percentile of the return distribution, or whether its aims are broader. We discuss this question and relate it to the design of the model testing framework. Finally, we discuss some recent developments in the filtered historical simulation paradigm and draw some conclusions about the use of models in this tradition for the estimation of initial margin requirements. -- downloaded pdf to Note
paper  financial_instiutions  risk  risk_management  financial_regulation  banking  business_cycles  capital_markets  capital_adequacy  NBFI  probability  economic_models  Basel  downloaded 
june 2015 by dunnettreader
Steve Cecchetti and Kim Schoenholtz -The mythic quest for early warnings — Money, Banking and Financial Markets - April 2015
Reviews a number of stress indexes developed since the financial crisis -- most show a good way of indicating where we are at any one time, and several may be useful in crisis management for identifying institutions with liquidity vs insolvency problems, but none tell us where we're going **--** Where does this leave us? Our answer is that we have yet another reason to be skeptical of time-varying, discretionary regulatory policy. In an earlier post, we noted that the combination of high information requirements, long transmission lags and significant political resistance made it unlikely time-varying capital requirements will be effective in reducing financial vulnerabilities. Our conclusion then, which we reiterate now, is that the solution is to build a financial system that is safe and resilient all of the time, since we really never know what is coming. That means a regulatory system based on economic function, not legal form, with sufficient capital buffers to guard against all but the very worst possibilities. In the end, a financial system that relies on an early warning indicator of imminent financial collapse seems destined to fail. -- copied to Pocket
financial_system  financial_regulation  financial_crisis  capital_adequacy  capital_markets  NBFI  information-markets  information-asymmetric  risk  risk-systemic  risk_management  Great_Recession  global_governance  banking  bank_runs  liquidity  Pocket 
april 2015 by dunnettreader
Robert G. Eccles, George Serafeim - Corporate and Integrated Reporting: A Functional Perspective (revised September 2014) :: SSRN
Robert G. Eccles, Harvard Business School -- George Serafeim, Harvard University - Harvard Business School *--* Chapter in Stewardship of the Future, edited by Ed Lawler, Sue Mohrman, and James O’Toole, Greenleaf, 2015. *--* In this paper, we present the two primary functions of corporate reporting (information and transformation) and why currently isolated financial and sustainability reporting are not likely to perform effectively those functions. We describe the concept of integrated reporting and why integrated reporting could be a superior mechanism to perform these functions. Moreover, we discuss, through a series of case studies, what constitutes an effective integrated report (Coca-Cola Hellenic Bottling Company) and the role of regulation in integrated reporting (Anglo-American). -- Pages in PDF File: 21 -- Keywords: corporate reporting, integrated reporting, information, investing, sustainability, accounting -- downloaded pdf to Note
paper  SSRN  CSR  sustainability  accounting  disclosure  disclosure-integrated  corporate_governance  corporate_citizenship  business_practices  information-markets  investors  risk_management  institutional_change  downloaded 
april 2015 by dunnettreader
Reading About the Financial Crisis: A 21-Book Review by Andrew W. Lo :: SSRN
Massachusetts Institute of Technology (MIT) - Sloan School of Management; Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL); National Bureau of Economic Research (NBER) -- The recent financial crisis has generated many distinct perspectives from various quarters. In this article, I review a diverse set of 21 books on the crisis, 11 written by academics, and 10 written by journalists and one former Treasury Secretary. No single narrative emerges from this broad and often contradictory collection of interpretations, but the sheer variety of conclusions is informative, and underscores the desperate need for the economics profession to establish a single set of facts from which more accurate inferences and narratives can be constructed. -- Pages in PDF File: 41 -- Keywords: Financial Crisis, Systemic Risk, Book Review -- downloaded pdf to Note
paper  SSRN  reviews  books  economic_history  21stC  Great_Recession  financial_crisis  financial_system  financial_regulation  financialization  capital_markets  banking  NBFI  shadow_banking  regulation-enforcement  rent-seeking  fraud  debt  debtors  housing  securitization  derivatives  bank_runs  banking-universal  Glass-Steagal  risk_management  risk-systemic  financial_economics  global_system  global_imbalance  capital_flows  institutional_investors  institutional_economics  bubbles  Minsky  downloaded 
april 2015 by dunnettreader
CDP - About us
CDP works to transform the way the world does business to prevent dangerous climate change and protect our natural resources. We see a world where capital is efficiently allocated to create long-term prosperity rather than short-term gain at the expense of our environment.

Evidence and insight is vital to driving real change. We use the power of measurement and information disclosure to improve the management of environmental risk. By leveraging market forces including shareholders, customers and governments, CDP has incentivized thousands of companies and cities across the world’s largest economies to measure and disclose their environmental information. We put this information at the heart of business, investment and policy decision making.

We hold the largest collection globally of self reported climate change, water and forest-risk data. Through our global system companies, investors and cities are better able to mitigate risk, capitalize on opportunities and make investment decisions that drive action towards a more sustainable world.
website  Lon  risk_management  risk-systemic  climate  climate-adaptation  institutional_investors  disclosure  water  energy  energy-markets  industry  supply_chains  sustainability  corporate_governance  green_finance  green_economy 
march 2015 by dunnettreader
Pricing Carbon - Program site | World Bank
Background papers, events, reports etc on carbon pricing methods, markets, integration of markets, internal pricing by businesses etc
website  World_Bank  climate  energy  energy-markets  carbon_pricing  risk_management  local_government  global_governance 
march 2015 by dunnettreader
Gennaioli Shleifer and Vishny - Money Doctors (2015) | Andrei Shleifer
2015. “Money Doctors.” Journal of Finance 70 (1): 91-114.
Abstract
We present a new model of investors delegating portfolio management to professionals based on trust. Trust in the manager reduces an investor’s perception of the riskiness of a given investment, and allows managers to charge fees. Money managers compete for investor funds by setting fees, but because of trust, fees do not fall to costs. In equilibrium, fees are higher for assets with higher expected return, managers on average under perform the market net of fees, but investors nevertheless prefer to hire managers to investing on their own. When investors hold biased expectations, trust causes managers to pander to investor beliefs. -- downloaded via iPhone to DBOX
investors  risk-mitigation  risk_premiums  risk  liquidity  long-term  article  benchmarks  consumer_demand  institutional_investors  asset_prices  trust  capital_markets  financial_instiutions  risk_management  flight-to-quality  behavioral_economics  investment  management_fees  financial_innovation  downloaded  risk_assessment  asset_management 
march 2015 by dunnettreader
Sven Ove Hansson -Risk (updated 2011) | Stanford Encyclopedia of Philosophy
Since the 1970s, studies of risk have grown into a major interdisciplinary field of research. Although relatively few philosophers have focused their work on risk, there are important connections between risk studies and several philosophical subdisciplines. This entry summarizes the most well-developed of these connections and introduces some of the major topics in the philosophy of risk. It consists of six sections dealing with the definition of risk and with treatments of risk related to epistemology, the philosophy of science, the philosophy of technology, ethics, and the philosophy of economics.
1. Defining risk [including objective vs subjective and risk vs uncertainty - the latter comparison mostly formalized in decision tgeory]
2. Epistemology
3. Philosophy of science
4. Philosophy of technology
5. Ethics
6. Risk in economic analysis
Related Entries -- causation: in the law | causation: probabilistic | consequentialism | contractarianism | economics, philosophy of | game theory | luck: justice and bad luck | scientific knowledge: social dimensions of | technology, philosophy of
philosophy  epistemology  epistemology-social  epistemology-moral  causation  causation-social  probability  Bayesian  moral_philosophy  utilitarianism  utility  rights-legal  game_theory  philosophy_of_science  philosophy_of_social_science  economic_theory  behavioral_economics  financial_economics  sociology_of_knowledge  philosophy_of_law  risk  risk-mitigation  risk_management  uncertainty  rational_choice  rationality-economics 
february 2015 by dunnettreader
Ron Harris - (pdf) The Institutional Dynamics of Early Modern Eurasian Trade: The Commenda and the Corporation
The focus of this article is on legal-economic institutions that organized early- modern Eurasian trade. It identifies two such institutions that had divergent dispersion patterns, the corporation and the commenda. The corporation ended up as a uniquely European institution that did not migrate until the era of European colonization. The commenda that originated in Arabia migrated all the way to Western Europe and to China. The article explains their divergent dispersion based on differences in their institutional and geographical environments and on dynamic factors. It claims that institutional analysis errs when it ignores migration of institutions. It provides building blocks for the modeling of institutional migration. -- via Dick Langlois at organizationsandmarkets.com presented at Nov 2014 conference put together by Business History program at Harvard Business School, on the History of Law and Business Enterprise -- downloaded to iPhone
paper  downloaded  economic_history  institutional_economics  legal_history  medieval_history  firms-structure  firms-theory  trade  colonialism  Europe-Early_Modern  China  India  MENA  Islamic_law  business_practices  risk_management  economic_culture  cultural_influence  trade-cultural_transmission  corporate_law  business_history  comparative_economics  Eurasia  business  organizations 
january 2015 by dunnettreader
Peter Lee - Lack of secondary market liquidity exacerbates sell-off | Euromoney magazine - Oct 17 2014
Lack of secondary market liquidity exacerbates sell-off by As equity markets have sold off and investors rushed into risk-free bonds, even supposedly liquid US treasuries have seen prices gapping. As volatility rises and investors focus on grim fundamentals, they see a broken bond-market structure. Amid the market turbulence this week as investors panicked about slowing growth in Europe and around the world, equity markets sold off sharply and panic-buyers drove down 10-year US treasury yields, market sources reported surprisingly thin liquidity, even in benchmark US government bonds. With dealers unwilling to position risk ahead of Fed stress tests and amid heightened regulatory reporting requirements on Volcker rule compliance, even in the supposedly most liquid bond markets prices gapped around.
capital_markets  bond_markets  banking  markets-structure  liquidity  financial_regulation  Volker_Rule  NBFI  shadow_banking  asset_prices  risk-systemic  risk_management  uncertainty  volatility 
november 2014 by dunnettreader

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